文献类型：期刊文献

英文题名：Extreme risk spillover effects in world gold markets and the global financial crisis

作者：Wang, Gang-Jin[1,2,3,4];Xie, Chi[1,2];Jiang, Zhi-Qiang[3,4,5];Stanley, H. Eugene[3,4]

机构：[1]Hunan Univ, Sch Business, Changsha 410082, Hunan, Peoples R China;[2]Hunan Univ, Ctr Finance & Investment Management, Changsha 410082, Hunan, Peoples R China;[3]Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA;[4]Boston Univ, Dept Phys, 590 Commonwealth Ave, Boston, MA 02215 USA;[5]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China

年份：2016

卷号：46

起止页码：55

外文期刊名：INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

收录：;WOS:【SSCI(收录号:WOS:000390638200005)】；

基金：We are, grateful to the Editor (Carl R. Chen) and three anonymous reviewers for their insightful suggestions that greatly improved the quality of this paper. This work was supported by the National Natural Science Foundation of China (grant numbers 71501066 and 71373072); the China Scholarship Council (grant number 201506135022); the Specialized Research Fund for the Doctoral Program of Higher Education (grant number 20130161110031); and the Foundation for Innovative Research Groups of the National Natural Science Foundation of China (grant number 71521061).

语种：英文

外文关键词：Gold; Risk spillover; Financial crisis; VaR

摘要：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 risk hedging property or the speculative value of gold. (C) 2016 Elsevier Ltd All rights reserved.