At the beginning of the 2020 global COVID-2019 pandemic, Chinese financial markets acted as the epicentre of both physical and financial contagion. Our results indicate that a number of characteristics expected during a "flight to safety" were present during the period analysed. The volatility...

We show that the statistical properties of gold are negatively correlated with equities and that including Gold in a portfolio will provide diversification benefits. As there is no consensus on the proportion of gold that should be included in a strategic portfolio allocation we propose a visual...

What is the relationship between gold prices and inflation? The answer does not only depend on the studied time window, but also on the definition of inflation. We work with forty years of data and apply a Johansen test of cointegration to the price of gold and inflation indices in the United...

We investigate the information shares of the two main centers of gold trading, over a 25 year period, using non-overlapping 4 month windows. We find that neither London nor New York are dominant in terms of price information share, that the dominant market switches from time to time and that...

Gold is traded worldwide, mainly in London, New York, Tokyo and Shanghai. We apply the recently developed spillover index approach of Diebold and Yilmaz (2009) to investigate the degree to which these markets are integrated, and which are net senders or recipients of information. The evidence...

Much academic and investor analysis and commentary sees the four main precious metals as a single market, integrated and to some degree with each metal a substitute for the other. This proposition, which can be explicit or implicit can be challenged on economic grounds and on statistical...