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dc.contributor.authorLucey, Brian M.
dc.contributor.authorLarkin, Charles
dc.contributor.authorO'Connor, Fergal
dc.date.accessioned2016-02-04T14:18:48Z
dc.date.available2016-02-04T14:18:48Z
dc.date.issued2014
dc.identifier.citationLarkin, 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. 887-892en_US
dc.identifier.issn1350-4851
dc.identifier.urihttp://hdl.handle.net/10369/7641
dc.descriptionThis 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/10.1080/13504851.2014.896974en_US
dc.description.abstractGold 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 variationen_US
dc.language.isoenen_US
dc.publisherTaylor & Francis Groupen_US
dc.relation.ispartofseriesApplied Economics Letters
dc.subjectGolden_US
dc.subjectInformation shareen_US
dc.subjectCOMEXen_US
dc.subjectLBMAen_US
dc.titleGold markets around the world – who spills over what, to whom, when?en_US
dc.typeArticleen_US
dc.identifier.doihttp://dx.doi.org/10.1080/13504851.2014.896974
dc.date.dateAccepted2014-04-04


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