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Gold markets around the world – who spills over what, to whom, when?

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journal contribution
posted on 03.03.2022, 16:13 by Brian M Lucey, Charles Larkin, Fergal A. O’Connor
Gold is traded worldwide, mainly in London, New York, Tokyo and Shanghai. We apply the recently developed spillover index approach of Diebold and Yilmaz (2009) to investigate the degree to which these markets are integrated, and which are net senders or recipients of information. The evidence suggests that Shanghai remains isolated as a market both in terms of volatility and return spillovers. The strongest and most integrated pair of markets are the London Cash market and COMEX. Returns spill over more strongly than do volatilities. Spillovers show significant time variation

History

Published in

Applied Economics Letters

Publisher

Taylor & Francis

Version

AM (Accepted Manuscript)

Citation

Lucey, B.M., Larkin, C. and O’Connor, F. (2014) Gold markets around the world–who spills over what, to whom, when?. Applied Economics Letters, 21(13), pp.887-892.

Print ISSN

1350-4851

Electronic ISSN

1466-4291

Cardiff Met Affiliation

  • Cardiff School of Management

Cardiff Met Research Centre/Group

  • Welsh Centre for Business and Management Research

Copyright Holder

© The Publisher

Language

en

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