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Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach

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  • Gupta, Rangan
  • Majumdar, Anandamayee
  • Pierdzioch, Christian
  • Wohar, Mark E.

Abstract

Much significant research has been done to study how terror attacks affect financial markets. We contribute to this research by studying whether terror attacks, in addition to standard predictors considered in earlier research, help to predict gold returns. To this end, we use a quantile-predictive-regression (QPR) approach that accounts for model uncertainty and model instability. We find that terror attacks have predictive value for the lower and especially for the upper quantiles of the conditional distribution of gold returns.

Suggested Citation

  • Gupta, Rangan & Majumdar, Anandamayee & Pierdzioch, Christian & Wohar, Mark E., 2017. "Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 276-284.
    • Handle: RePEc:eee:quaeco:v:65:y:2017:i:c:p:276-284
    DOI: 10.1016/j.qref.2017.01.005
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    14. David Gabauer & Rangan Gupta & Sayar Karmakar & Joshua Nielsen, 2022. "Stock Market Bubbles and the Forecastability of Gold Returns (and Volatility)," Working Papers 202228, University of Pretoria, Department of Economics.
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    18. Nicholas Apergis & Matteo Bonato & Rangan Gupta & Clement Kyei, 2016. "Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach," Working Papers 201671, University of Pretoria, Department of Economics.
    19. Dichtl, Hubert, 2020. "Forecasting excess returns of the gold market: Can we learn from stock market predictions?," Journal of Commodity Markets, Elsevier, vol. 19(C).
    20. Mazhar Ummad, 2019. "Terrorism and Firm Performance: Empirical Evidence from Pakistan," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 19(1), pages 1-17, January.
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    More about this item

    Keywords

    Gold returns; Terror attacks; Forecasting model; Quantile regression;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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