PRICE LINKAGES AMONG EMERGING GOLD FUTURES MARKETS

Hasan F. Baklaci, Ömür Süer () and Tezer Yelkenci̇ ()
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Hasan F. Baklaci: Izmir University of Economics, Sakarya Caddesi, No. 156, Balcova 35330, Izmir, Turkey
Ömür Süer: #x2020;Galatasaray University, Ciragan Caddesi, No. 36, Ortakoy 34349, Istanbul, Turkey
Tezer Yelkenci̇: Izmir University of Economics, Sakarya Caddesi, No. 156, Balcova 35330, Izmir, Turkey

The Singapore Economic Review (SER), 2018, vol. 63, issue 05, 1345-1365

Abstract: 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.

Keywords: Price linkages; gold futures; emerging markets; Johansen test; vector error correction model (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S021759081650020X

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