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Gold market price spillover between COMEX, LBMA and SGE

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  • Xinyi Qian

    (Faculty III)

Abstract

In this paper, the author investigates spillover between the main markets from New York, London and Shanghai. Specific contract prices from the Commodity Exchange Inc. (COMEX), London Bullion Market Association (LBMA) and Shanghai Gold Exchange (SGE) were utilized. Results suggest that even with the increasing market influence of SGE, it still remains an isolated market, COMEX and LBMA maintain their dominant positions and act as the net spillover spreaders in the world gold market with almost equally strong market impacts.

Suggested Citation

  • Xinyi Qian, 2020. "Gold market price spillover between COMEX, LBMA and SGE," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 810-831, October.
    • Handle: RePEc:spr:jecfin:v:44:y:2020:i:4:d:10.1007_s12197-020-09517-5
    DOI: 10.1007/s12197-020-09517-5
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    References listed on IDEAS

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    Cited by:

    1. Ki-Hong Choi & Ron P. McIver & Salvatore Ferraro & Lei Xu & Sang Hoon Kang, 2021. "Dynamic volatility spillover and network connectedness across ASX sector markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(4), pages 677-691, October.

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    More about this item

    Keywords

    Gold; Volatility; Spillover; COMEX; LBMA; SGE;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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