Gold Markets Around the World – Who Spills Over What, to Whom, When?

15 Pages Posted: 5 Feb 2014 Last revised: 16 May 2014

See all articles by Brian M. Lucey

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Fergal A. O'Connor

University College Cork; University of York - The York Management School; University of Dublin - Business School and Institute for International Integration Studies

Charles James Larkin

Institute for Policy Research (IPR), University of Bath; Trinity College Dublin

Date Written: February 4, 2014

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

Keywords: Gold, information share, COMEX, LBMA, Shanghai

JEL Classification: C01, F49, G12, G15

Suggested Citation

Lucey, Brian M. and O'Connor, Fergal A. and Larkin, Charles James, Gold Markets Around the World – Who Spills Over What, to Whom, When? (February 4, 2014). Applied Economics Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2390629 or http://dx.doi.org/10.2139/ssrn.2390629

Brian M. Lucey

Trinity Business School, Trinity College Dublin ( email )

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University of Sydney Business School ( email )

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Australia

Ho Chi Minh City University of Economics and Finance ( email )

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Vietnam

Jiangxi University of Finance and Economics ( email )

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China

Fergal A. O'Connor (Contact Author)

University College Cork ( email )

College Road
Cork
Ireland

University of York - The York Management School ( email )

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Heslington
York, North Yorkshire YO10 5DD
United Kingdom

University of Dublin - Business School and Institute for International Integration Studies ( email )

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Ireland

Charles James Larkin

Institute for Policy Research (IPR), University of Bath ( email )

10 West
Claverton Down
Bath, BA2 7AY
United Kingdom

Trinity College Dublin ( email )

AAP College Green
Dublin 2
Ireland

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