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

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Author
Lucey, Brian M.
Larkin, Charles
O'Connor, Fergal
Date
2014Type
Article
Publisher
Taylor & Francis Group
ISSN
1350-4851
Metadata
Show full item recordAbstract
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
Journal/conference proceeding
Applied Economics Letters
Citation
Larkin, C., Lucey, B. and O’Connor. F. (2014) 'Gold Markets Around the World – Who spills over what, to whom, when?', Applied Economic Letters, 21 (13), pp. 887-892
Description
This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics Letters. The final published version is available at http://dx.doi.org/10.1080/13504851.2014.896974
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