Gold market price spillover between COMEX, LBMA and SGE

Abstract In this paper, the author investigates spillover between the main markets from New York, London and Shanghai. Specific contract prices from the Commodity Exchange Inc. (COMEX), London Bullion Market Association (LBMA) and Shanghai Gold Exchange (SGE) were utilized. Results suggest that even with the increasing market influence of SGE, it still remains an isolated market, COMEX and LBMA maintain their dominant positions and act as the net spillover spreaders in the world gold market with almost equally strong market impacts.

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