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

Brian M. Lucey · Charles James Larkin · Fergal A. O’Connor

87 citations0/0 files storedApplied Economics Letters

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

Abstract

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 is the London cash market and COMEX. Returns spill over more strongly than do volatilities. Spillovers show significant time variation

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References

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