PRICE LINKAGES AMONG EMERGING GOLD FUTURES MARKETS HASAN F. BAKLACI Izmir University of Economics, Sakarya Caddesi No. 156, Balcova 35330, Izmir, Turkey hasan.baklaci@ieu.edu.tr ÖMÜR SÜER Galatasaray University, Ciragan Caddesi No. 36, Ortakoy 34349, Istanbul, Turkey osuer@gsu.edu.tr TEZER YELKENCİ Izmir University of Economics, Sakarya Caddesi No. 156, Balcova 35330, Izmir, Turkey tezer.yelkenci@ieu.edu.tr Published 17 June 2016 The gold futures in emerging markets have gained more importance in parallel to the increase in the size of gold trading in these markets. This research aims to detect the long-run price linkages and causality effects in these markets. China, Brazil, Russia, India, Korea, Taiwan, Turkey and Indonesia have been selected to represent emerging markets. US and Japan are also included as benchmark markets. The results denote the existence of long-term price dependencies and limited risk diver- sification benefits in the sample countries. The results further signify that China and Russia are the most isolated countries among the emerging markets sample. Keywords: Price linkages; gold futures; emerging markets; Johansen test; vector error correction model. JEL Classification: G13, G15. 1. Introduction Gold is undoubtedly the most ancient financial asset and one that still preserves its pop- ularity and functionality. It stands as the oldest medium of exchange and store of value. In this respect, gold served all the primary functions of money long before the introduction of paper money and other financial instruments. Moreover, gold has been extensively used for hedging and speculative purposes, especially during the periods of financial turmoil. Particularly, with the introduction of gold derivatives, investors have been able to benefit from the hedging and speculative functions of gold more effectively. The first gold futures The Singapore Economic Review, Vol. 62, No. 2 (2016) 1650020 (21 pages) © World Scientific Publishing Company DOI: 10.1142/S021759081650020X 1650020-1