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

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

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.

Suggested Citation

  • Lau, Marco Chi Keung & Vigne, Samuel A. & Wang, Shixuan & Yarovaya, Larisa, 2017. "Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 316-332.
    • Handle: RePEc:eee:finana:v:52:y:2017:i:c:p:316-332
    DOI: 10.1016/j.irfa.2017.04.001
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    More about this item

    Keywords

    Precious metals; Oil; Spillovers; Volatility transmission;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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