This paper investigates the relationship between white precious metals and gold, oil and global equity by means of spillovers and volatility transmission. Relying on the recently introduced ETFs, this study is the first to analyse return spillovers derived from an E-GARCH model and to take into account frequency dynamics to understand changes in connectedness across periods of time. Results uncover numerous channels of return transmission across the selected ETF markets over the last 10years and highlight the role of gold ETFs as the most influential market in the sample. Furthermore, our work provides insights into the characteristics of white precious metal markets using a hidden semi-Markov model. Finally, we argue that even though silver and platinum have gained more importance as investment assets over the last few years, palladium still very much remains an industrial metal.

Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity / Lau, M. C. K.; Vigne, Samuel Alexandre; Wang, S.; Yarovaya, L.. - In: INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS. - ISSN 1057-5219. - 52:(2017), pp. 316-332. [10.1016/j.irfa.2017.04.001]

Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity

Vigne, S. A.;
2017

Abstract

This paper investigates the relationship between white precious metals and gold, oil and global equity by means of spillovers and volatility transmission. Relying on the recently introduced ETFs, this study is the first to analyse return spillovers derived from an E-GARCH model and to take into account frequency dynamics to understand changes in connectedness across periods of time. Results uncover numerous channels of return transmission across the selected ETF markets over the last 10years and highlight the role of gold ETFs as the most influential market in the sample. Furthermore, our work provides insights into the characteristics of white precious metal markets using a hidden semi-Markov model. Finally, we argue that even though silver and platinum have gained more importance as investment assets over the last few years, palladium still very much remains an industrial metal.
Precious metals, Oil, Spillovers, Volatility transmission
Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity / Lau, M. C. K.; Vigne, Samuel Alexandre; Wang, S.; Yarovaya, L.. - In: INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS. - ISSN 1057-5219. - 52:(2017), pp. 316-332. [10.1016/j.irfa.2017.04.001]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/222400
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