Volatility Linkages Among Gold Futures in Emerging Markets

Posted: 12 Oct 2015

See all articles by Hasan Baklaci

Hasan Baklaci

Izmir Ekonomi University

Omur Suer

Galatasaray University

Tezer Yelkenci

Independent

Date Written: August 10, 2015

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.

Keywords: emerging markets, gold futures, multivariate GARCH, volatility spillover

JEL Classification: G13, G15

Suggested Citation

Baklaci, Hasan and Suer, Omur and Yelkenci, Tezer, Volatility Linkages Among Gold Futures in Emerging Markets (August 10, 2015). Emerging Markets Finance and Trade, Vol. 51, 2015, Available at SSRN: https://ssrn.com/abstract=2668939

Hasan Baklaci (Contact Author)

Izmir Ekonomi University ( email )

Sakarya Cad. No: 156
Balcova
Izmir, 35330
Turkey

Omur Suer

Galatasaray University ( email )

Cyraoan Cad. 102
Ortakoy, 80840, Istanbul
Turkey

Tezer Yelkenci

Independent ( email )

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