PRICE LINKAGES AMONG EMERGING GOLD FUTURES MARKETS

Baklaci H. F., Süer Ö., Yelkenci T.

SINGAPORE ECONOMIC REVIEW, vol.63, no.5, pp.1345-1365, 2018 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 63 Issue: 5
  • Publication Date: 2018
  • Doi Number: 10.1142/s021759081650020x
  • Journal Name: SINGAPORE ECONOMIC REVIEW
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.1345-1365
  • Keywords: Price linkages, gold futures, emerging markets, Johansen test, vector error correction model, TIME-SERIES, UNIT-ROOT, STOCK-MARKET, MODELS
  • Galatasaray University Affiliated: Yes

Abstract

The gold futures in emerging markets have gained more importance in parallel to the increase in the size of gold trading in these markets. This research aims to detect the long-run price linkages and causality effects in these markets. China, Brazil, Russia, India, Korea, Taiwan, Turkey and Indonesia have been selected to represent emerging markets. US and Japan are also included as benchmark markets. The results denote the existence of long-term price dependencies and limited risk diversification benefits in the sample countries. The results further signify that China and Russia are the most isolated countries among the emerging markets sample.