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Which Precious Metals Spill Over on Which, When and Why? – Some Evidence

Author

Listed:
  • Jonathan A. Batten

    (Monash University - Department of Accounting and Finance)

  • Cetin Ciner

    (University of North Carolina at Wilmington)

  • Brian M. Lucey

    (Institute for International Integration Studies, Trinity College Dublin)

Abstract

Much academic and investor analysis and commentary sees the four main precious metals as a single market, integrated and to some degree with each metal a substitute for the other. This proposition, which can be explicit or implicit can be challenged on economic grounds and on statistical grounds. Using the Diebold and Yilmaz (2009) methodology we show that the market is only weakly integrated, that this degree of integration is time varying and that it differs as between returns and volatility.

Suggested Citation

  • Jonathan A. Batten & Cetin Ciner & Brian M. Lucey, 2014. "Which Precious Metals Spill Over on Which, When and Why? – Some Evidence," The Institute for International Integration Studies Discussion Paper Series iiisdp460, IIIS.
    • Handle: RePEc:iis:dispap:iiisdp460
    as

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    References listed on IDEAS

    as
    1. Francis X. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
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    More about this item

    Keywords

    Gold; Silver; Platinum; Palladium; integration;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • F49 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Other
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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