Return spillovers between white precious metal ETFs: the role of oil, gold, and global equity
Return spillovers between white precious metal ETFs: the role of oil, gold, and global equity
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
316-332
Vigne, Samuel
c36a65c5-56b3-4257-97af-395966be099d
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Wang, Shixuan
40159b08-a38a-4193-9bd4-a8b8a30cab27
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
July 2017
Vigne, Samuel
c36a65c5-56b3-4257-97af-395966be099d
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Wang, Shixuan
40159b08-a38a-4193-9bd4-a8b8a30cab27
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Vigne, Samuel, Lau, Chi Keung Marco, Wang, Shixuan and Yarovaya, Larisa
(2017)
Return spillovers between white precious metal ETFs: the role of oil, gold, and global equity.
International Review of Financial Analysis, 52, .
(doi:10.1016/j.irfa.2017.04.001).
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.
Text
Return.2017
- Accepted Manuscript
More information
Accepted/In Press date: 11 April 2017
e-pub ahead of print date: 20 April 2017
Published date: July 2017
Keywords:
precious metals, oil, spillovers, volatility transmission
Identifiers
Local EPrints ID: 426347
URI: http://eprints.soton.ac.uk/id/eprint/426347
ISSN: 1057-5219
PURE UUID: e3f0de8d-2cb2-43a0-ac35-cba4ca83dcc8
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Date deposited: 23 Nov 2018 17:30
Last modified: 16 Mar 2024 04:39
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Contributors
Author:
Samuel Vigne
Author:
Chi Keung Marco Lau
Author:
Shixuan Wang
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