Return Spillovers Between White Precious Metal ETFs

The Role of Oil, Gold, and Global Equity

Marco Chi Keung Lau, Samuel A. Vigne, Shixuan Wang, Larisa Yarovaya

Research output: Contribution to journalArticle

28 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)316-332
Number of pages17
JournalInternational Review of Financial Analysis
Volume52
Early online date20 Apr 2016
DOIs
Publication statusPublished - Jul 2017
Externally publishedYes

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Oil
Equity
Spillover
Metals
Markov model
EGARCH model
Connectedness
Assets
Volatility transmission

Cite this

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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.",
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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 journalArticle

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