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Volatility Linkages Among Gold Futures in Emerging Markets

Author

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  • Hasan F. Baklaci
  • Ömür Süer
  • Tezer Yelkenci

Abstract

We aim to detect the cross-border volatility linkages among gold futures in emerging markets, which still remain an untapped area. China, India, Japan, Taiwan, Turkey, and U.S. futures markets are included in the sample. The volatility linkage analyses confirm the existence of volatility transmission among the majority of the sample countries’ gold futures. This article carries vital inferences and implications for policy makers and investors. The policy making is particularly important for China, which is a relatively isolated market. From investors’ perspective, the results indicate that the risk diversification and cross-market hedging opportunities in the emerging gold futures markets are quite limited.

Suggested Citation

  • Hasan F. Baklaci & Ömür Süer & Tezer Yelkenci, 2016. "Volatility Linkages Among Gold Futures in Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(1), pages 1-9, January.
    • Handle: RePEc:mes:emfitr:v:52:y:2016:i:1:p:1-9
    DOI: 10.1080/1540496X.2015.1062292
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    Cited by:

    1. Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Stanley, H. Eugene, 2016. "Extreme risk spillover effects in world gold markets and the global financial crisis," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 55-77.
    2. Sanjay Sehgal & Neharika Sobti & Florent Diesting, 2021. "Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1092-1123, July.
    3. Ashfaq, Saleha & Tang, Yong & Maqbool, Rashid, 2023. "Insights of energy and its trade networking impacts on sustainable economic development," Energy, Elsevier, vol. 265(C).
    4. Mala Dutt & Sanjay Sehgal, 2018. "Domestic and International Information Linkages between Gold Spot and Futures Markets: An Empirical Study for India," Metamorphosis: A Journal of Management Research, , vol. 17(1), pages 1-17, June.

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