Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14365/1758
Title: | Volatility Linkages Among Gold Futures in Emerging Markets |
Authors: | Baklaci, Hasan F. Suer, Omur Yelkenci, Tezer |
Keywords: | emerging markets gold futures multivariate GARCH volatility spillover Stock Transmission Information Exchange Auction |
Publisher: | Routledge Journals, Taylor & Francis Ltd |
Abstract: | 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. |
URI: | https://doi.org/10.1080/1540496X.2015.1062292 https://hdl.handle.net/20.500.14365/1758 |
ISSN: | 1540-496X 1558-0938 |
Appears in Collections: | Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection |
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