Comovements of gold futures markets and the spot market: A wavelet analysis
Sangram Keshari Jena,
Aviral Tiwari () and
Finance Research Letters, 2018, vol. 24, issue C, 19-24
We analyse time and frequency varying comovements in gold futures trading in three of the world's largest derivative exchanges. We examine comovements using wavelet approaches. The findings indicate a stronger interaction among gold futures and the spot market at different time scales, with the correlation being very high at lower frequencies. Since markets are integrated in three to six month periods, any trading decision or policy measure should consider how other gold markets behave. In the short periods, market specific or idiosyncratic factors are important. As expected, COMEX and LBMA are the world's leading gold markets at different time-scales.
Keywords: Wavelet analysis; Wavelet multiple correlation; Wavelet multiple cross correlation; Gold futures and spot market (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:24:y:2018:i:c:p:19-24
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