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.

Original languageEnglish
Pages (from-to)887-892
Number of pages6
JournalApplied Economics Letters
Volume21
Issue number13
DOIs
Publication statusPublished - Sept 2014

Bibliographical note

cited By 31

Keywords

  • COMEX, LBMA
  • gold
  • information share

ASJC Scopus subject areas

  • Economics and Econometrics

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