Cross-correlations and influence in world gold markets
نویسندگان
چکیده
Using the detrended cross-correlation analysis (DCCA) coefficient and the detrendedpartial cross-correlation analysis (DPCCA) coefficient, we investigate cross-correlations and net cross-correlations among five major world gold markets (London, New York, Shanghai, Tokyo, and Mumbai) at different time scales. We propose multiscale influence measures for examining the influence of individual markets on other markets and on the entire system. We find (i) that the cross-correlations, net cross-correlations, and net influences among the five gold markets vary across time scales, (ii) that the cross-market correlation between London andNewYork at each time scale is intense and inherent, meaning that the influence of other gold markets on the London–New Yorkmarket is negligible, (iii) that the remaining cross-market correlations (i.e., those other than London–New York) are greatly affected by other gold markets, and (iv) that the London gold market significantly affects the other four gold markets and dominates the world-wide gold market. Our multiscale findings give market participants and market regulators new information on cross-market linkages in the world-wide gold market. © 2017 Elsevier B.V. All rights reserved.
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