Extreme risk spillover effects in world gold markets and the global financial crisis

Gang-Jin Wang, Chi Xie, Zhi-Qiang Jiang and H. Eugene Stanley

International Review of Economics & Finance, 2016, vol. 46, issue C, 55-77

Abstract: Using the approach of Granger causality in risk, we investigate extreme risk spillover effects among four major world gold markets (London, New York, Tokyo and Shanghai) before and after the recent global financial crisis. We find (i) that there are strong extreme risk spillover effects between London and New York, and London and Shanghai, (ii) that most of the extreme risk spillovers to Tokyo and Shanghai are from New York rather than from London, but London leads New York in risk spillovers, (iii) that extreme risk spillover effects from Tokyo and Shanghai to New York are limited, but those to London play an important role, and (iv) that extreme risk spillover effects between Tokyo and Shanghai are weak or negligible. We also find that extreme risk is more quickly transmitted in the post-crisis era than in the pre-crisis era, an effect that is related to the safe-haven or risk-hedging property or the speculative value of gold.

Keywords: Gold; Risk spillover; Financial crisis; VaR (search for similar items in EconPapers)
JEL-codes: C12 C58 G15 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (46)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:46:y:2016:i:c:p:55-77

DOI: 10.1016/j.iref.2016.08.004

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