Cross-market linkages between U.S. and Japanese precious metals futures trading

We use a bivariate asymmetric GARCH model to examine patterns of across-market information flows for gold, platinum, and silver futures contracts traded in both the U.S. and Japanese markets. Our results indicate that pricing transmissions for these precious metals contracts are strong across the two markets, but information flows appear to lead from the U.S. market to the Japanese market in terms of returns. There are strong volatility spillover feedback effects across both markets, and their impacts appear to be comparable and similar. There is evidence that intraday pricing information transmission across the two precious metals futures markets is rapid, as offshore trading information can be absorbed in the domestic market within a trading day.