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

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  • Brian M. Lucey
  • Charles Larkin
  • Fergal O'Connor

Abstract

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 is the London cash market and COMEX. Returns spill over more strongly than do volatilities. Spillovers show significant time variation

Suggested Citation

  • Brian M. Lucey & Charles Larkin & Fergal O'Connor, 2014. "Gold markets around the world - who spills over what, to whom, when?," Applied Economics Letters, Taylor & Francis Journals, vol. 21(13), pages 887-892, September.
    • Handle: RePEc:taf:apeclt:v:21:y:2014:i:13:p:887-892
    DOI: 10.1080/13504851.2014.896974
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    References listed on IDEAS

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    1. Francis X. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
    2. Gonzalo, Jesus & Granger, Clive W J, 1995. "Estimation of Common Long-Memory Components in Cointegrated Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
    3. Molnár, Peter, 2012. "Properties of range-based volatility estimators," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 20-29.
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