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Price Linkages Among Emerging Gold Futures Markets

Author

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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)

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.

Suggested Citation

  • Hasan F. Baklaci & Ömür Süer & Tezer Yelkenci̇, 2018. "Price Linkages Among Emerging Gold Futures Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 63(05), pages 1345-1365, December.
    • Handle: RePEc:wsi:serxxx:v:63:y:2018:i:05:n:s021759081650020x
    DOI: 10.1142/S021759081650020X
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    Cited by:

    1. Xie, Xiaoyu & Zhu, Heliang, 2021. "The role of gold futures in mitigating the impact of economic uncertainty on spot prices: Evidence from China," Research in International Business and Finance, Elsevier, vol. 56(C).

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