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Gold Markets around the world – Who spills over what, to whom, when? 2014.

by on February 13, 2014

This paper updates these authors 2013 work by expanding the number of markets examine to 4 and applies a new methodology to find which market is dominate in forming the gold price. Both returns and volatility spillovers are examined providing the first study of the 4 largest markets for gold.

In keeping with earlier findings London and New York are found to be consistently dominant as the drives of returns and volatility in the 4 markets throughout the sample, with each taking a leading role at different times. Interestingly the Shanghai gold market is quite insulated from the others with little spillover into or out of it throughout the sample period. Tokyo is affected by the two major markets but does not significantly and consistently affect the others.

Data: Daily High, Low, opening and closing price as well as volume for  London Spot, COMEX futures, TOCOM Futures and SHFE Futures. 9/1/08 – 9/10/13.

Methodology: Diebold and Yilmaz (2009) VAR variance decomposition

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).  Available at SSRN:

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.


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