Gold markets around the world – who spills over what, to whom, when?
Lucey, Brian M.
Taylor & Francis Group
MetadataDangos cofnod eitem llawn
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
Applied Economics Letters
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
Dynodwr Gwrthrych Digidol (DOI)http://dx.doi.org/10.1080/13504851.2014.896974
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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