Volatility linkages among gold futures in emerging markets

• Autores: Hasan F. Baklaci, Ömür Süer, Tezer Yelkenci
• Localización: Emerging Markets Finance & Trade, ISSN-e 1558-0938, Vol. 52, Nº. 1, 2016, págs. 1-9
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • We aim to detect the cross-border volatility linkages among gold futures in emerging markets, which still remain an untapped area. China, India, Japan, Taiwan, Turkey, and U.S. futures markets are included in the sample. The volatility linkage analyses confirm the existence of volatility transmission among the majority of the sample countries’ gold futures. This article carries vital inferences and implications for policy makers and investors. The policy making is particularly important for China, which is a relatively isolated market. From investors’ perspective, the results indicate that the risk diversification and cross-market hedging opportunities in the emerging gold futures markets are quite limited