Gold markets around the world – who spills over what, to whom, when?
journal contributionposted on 03.03.2022, 16:13 authored 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
Published inApplied Economics Letters
PublisherTaylor & Francis
VersionAM (Accepted Manuscript)
CitationLucey, 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.
Cardiff Met Affiliation
- Cardiff School of Management
Cardiff Met Research Centre/Group
- Welsh Centre for Business and Management Research