Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 316-332 |
| Number of pages | 17 |
| Journal | International Review of Financial Analysis |
| Volume | 52 |
| Early online date | 20 Apr 2016 |
| DOIs | |
| Publication status | Published - Jul 2017 |
| Externally published | Yes |
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Return Spillovers Between White Precious Metal ETFs : The Role of Oil, Gold, and Global Equity. / Lau, Marco Chi Keung; Vigne, Samuel A.; Wang, Shixuan; Yarovaya, Larisa.
In: International Review of Financial Analysis, Vol. 52, 07.2017, p. 316-332.Research output: Contribution to journal › Article
TY - JOUR
T1 - Return Spillovers Between White Precious Metal ETFs
T2 - The Role of Oil, Gold, and Global Equity
AU - Lau, Marco Chi Keung
AU - Vigne, Samuel A.
AU - Wang, Shixuan
AU - Yarovaya, Larisa
PY - 2017/7
Y1 - 2017/7
N2 - 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.
AB - 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.
KW - Precious metals
KW - Oil
KW - Spillovers
KW - Volatility transmission
U2 - 10.1016/j.irfa.2017.04.001
DO - 10.1016/j.irfa.2017.04.001
M3 - Article
VL - 52
SP - 316
EP - 332
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
SN - 1057-5219
ER -