PRICE LINKAGES AMONG EMERGING GOLD FUTURES MARKETS

Baklaci H. F., Süer Ö., Yelkenci T.

SINGAPORE ECONOMIC REVIEW, cilt.63, sa.5, ss.1345-1365, 2018 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 63 Sayı: 5
  • Basım Tarihi: 2018
  • Doi Numarası: 10.1142/s021759081650020x
  • Dergi Adı: SINGAPORE ECONOMIC REVIEW
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.1345-1365
  • Anahtar Kelimeler: Price linkages, gold futures, emerging markets, Johansen test, vector error correction model, TIME-SERIES, UNIT-ROOT, STOCK-MARKET, MODELS
  • Galatasaray Üniversitesi Adresli: Evet

Özet

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.