Gold Markets Around the World – Who Spills Over What, to Whom, When?
15 Pages Posted: 5 Feb 2014 Last revised: 16 May 2014
Date Written: February 4, 2014
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: Suggested Citation