Comovements of gold futures markets and the spot market: A wavelet analysis

被引：22
|
作者：
Jena, Sangram Keshari [1 ]
Tiwari, Aviral Kumar [2 ]
Roubaud, David [3 ]
机构：
[1] IFHE Univ, IBS Hyderabad, Dept Finance & Accounting, Hyderabad, Andhra Pradesh, India
[2] Montpellier Business Sch, Montpellier Res Management, 230 Ave Moulins, F-34080 Montpellier, France
[3] Montpellier Business Sch, Montpellier Res Management, 2300 Ave Moulins, F-34080 Montpellier, France
来源：
FINANCE RESEARCH LETTERS | 2018年 / 24卷
关键词：
Wavelet analysis; Wavelet multiple correlation; Wavelet multiple cross correlation; Gold futures and spot market; STOCK MARKETS; VOLATILITY; FREQUENCY; TIME;
D O I：
10.1016/j.frl.2017.05.006
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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. (C) 2017 Elsevier Inc. All rights reserved.
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页码：19 / 24
页数：6
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