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

Abstract : 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.
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https://hal.umontpellier.fr/hal-02091704
Contributeur : Odile Hennaut <>
Soumis le : samedi 6 avril 2019 - 10:23:42
Dernière modification le : jeudi 6 juin 2019 - 14:42:17

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Sangram Keshari Jena, Aviral Kumar Tiwari, David Roubaud. Comovements of gold futures markets and the spot market: A wavelet analysis. Finance Research Letters, Elsevier, 2018, 24, pp.19-24. ⟨10.1016/j.frl.2017.05.006⟩. ⟨hal-02091704⟩

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