Extreme risk spillover effects in world gold markets and the global financial crisis

Using the approach of Granger causality in risk, we investigate extreme risk spillover effects among four major world gold markets (London, New York, Tokyo and Shanghai) before and after the recent global financial crisis. We find (i) that there are strong extreme risk spillover effects between London and New York, and London and Shanghai, (ii) that most of the extreme risk spillovers to Tokyo and Shanghai are from New York rather than from London, but London leads New York in risk spillovers, (iii) that extreme risk spillover effects from Tokyo and Shanghai to New York are limited, but those to London play an important role, and (iv) that extreme risk spillover effects between Tokyo and Shanghai are weak or negligible. We also find that extreme risk is more quickly transmitted in the post-crisis era than in the pre-crisis era, an effect that is related to the safe-haven or riskhedging property or the speculative value of gold. & 2016 Elsevier Ltd All rights reserved.