Startseite The place of gold in the cross-market dependencies
Artikel
Lizenziert
Nicht lizenziert Erfordert eine Authentifizierung

The place of gold in the cross-market dependencies

  • Sofiane Aboura , Julien Chevallier EMAIL logo , Rania Jammazi und Aviral Kumar Tiwari
Veröffentlicht/Copyright: 25. März 2016
Veröffentlichen auch Sie bei De Gruyter Brill

Abstract

This paper investigates the inter-relationships between the gold price on the one hand, other precious metals (e.g. silver, palladium, platinum) and asset markets (e.g. stocks, bonds, crude oil) on the other hand. The econometric methodology relies on the Markov-switching BEKK model by Haas and Mittnik (2008) that captures time-varying correlations and bull-bear regimes for bivariate specifications. The model is applied to daily data from 1988 to 2013. The main results indicate that gold’s influence, through return and/or volatility spillovers, seems almost intact whatever the economic regime. Robustness checks of the statement that gold occupies a special place among commodities are provided under the form of a multi-asset portfolio management exercise.

JEL Classification: L61; C34; C58; E44; G15

Corresponding author: Julien Chevallier, IPAG Business School (IPAG Lab), 184 Boulevard Saint-Germain, 75006 Paris, France, Phone: +33 (0)1 49 40 73 86, Fax: +33 (0)1 49 40 72 55, e-mail: ; and Université Paris 8 (LED), 2 rue de la Liberté, 93526 Saint Denis Cedex, France

Acknowledgments:

We thank very much the editor and the anonymous reviewers for their constructive comments, which helped us to improve the manuscript.

References

Adrangi, B., A. Chatrath, and D. R. Christie. 2000. “Price Discovery in Strategically-Linked Markets: The Case of the Gold-Silver Spread.” Applied Financial Economics 10: 227–234.10.1080/096031000331644Suche in Google Scholar

Aggarwal, R., and B. M. Lucey. 2007. “Psychological Barriers in Gold Prices?” Review of Financial Economics 16: 217–230.10.1016/j.rfe.2006.04.001Suche in Google Scholar

Aruga, K., and S. Managi. 2011. “Testing the International Linkage in the Platinum-Group Metal Futures Markets.” Resources Policy 36: 339–345.10.1016/j.resourpol.2011.09.003Suche in Google Scholar

Baba, Y., R. F. Engle, D. F. Kraft, and K. F. Kroner. 1991. “Multivariate Simultaneous Generalized ARCH.” unpublished, http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.27.1240.Suche in Google Scholar

Bampinas, G., and T. Panagiotidis. 2015. “On the Relationship between Oil and Gold before and after Financial Crisis: Linear, Nonlinear and Time-Varying Causality Testing.” Studies in Nonlinear Dynamics & Econometrics 19: 657–668.10.1515/snde-2014-0060Suche in Google Scholar

Baur, D. 2011. “Explanatory Mining for Gold: Contrasting Evidence from Simple and Multiple Regressions.” Resources Policy 36: 265–275.10.1016/j.resourpol.2011.03.003Suche in Google Scholar

Baur, D. 2013. “The Autumn Effect of Gold.” Research in International Business and Finance 27: 1–11.10.1016/j.ribaf.2012.05.001Suche in Google Scholar

Baur, D., and T. K. McDermott. 2010. “Is Gold a Safe Haven? International Evidence.” Journal of Banking and Finance 34: 1886–1898.10.1016/j.jbankfin.2009.12.008Suche in Google Scholar

Baur, D., and B. Lucey. 2010. “Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold.” The Financial Review 45: 217–229.10.1111/j.1540-6288.2010.00244.xSuche in Google Scholar

Baur, D., and K. J. Glover. 2014. “Heterogeneous Expectations in the Gold Market: Specification and Estimation.” Journal of Economic Dynamics and Control 40: 116–133.10.1016/j.jedc.2014.01.001Suche in Google Scholar

Bessler, W., and D. Wolff. 2015. “Do Commodities Add Value in Multi-Asset Portfolios? An Out-of-Sample Analysis for Different Investment Strategies.” Journal of Banking and Finance 60: 1–20.10.1016/j.jbankfin.2015.06.021Suche in Google Scholar

Blose, L. E. 2010. “Gold Prices, Cost of Carry, and Expected Inflation.” Journal of Economics and Business 62: 35–47.10.1016/j.jeconbus.2009.07.001Suche in Google Scholar

Bollerslev, T., R. Engle, and M. Wooldridge. 1988. “A Capital Asset Pricing Model with Time-Varying Covariances.” Journal of Political Economy 96: 116–131.10.1086/261527Suche in Google Scholar

Cai, J. 1994. “A Markov Model of Unconditional Variance in ARCH.” Journal of Business and Economic Statistics 12: 309–316.Suche in Google Scholar

Chan K. F., S. Treepongkaruna, R. Brooks, and S. Gray. 2011. “Asset Market Linkages: Evidence from Financial, Commodity and Real Estate Assets.” Journal of Banking and Finance 35: 1415–1426.10.1016/j.jbankfin.2010.10.022Suche in Google Scholar

Chng, M. T. 2009. “Economic Linkages across Commodity Futures: Hedging and Trading Implications.” Journal of Banking and Finance 33: 958–970.10.1016/j.jbankfin.2008.10.006Suche in Google Scholar

Chow, G. C. 1960. “Tests of Equality between Sets of Coefficients in Two Linear Regressions.” Econometrica 28: 591–605.10.2307/1910133Suche in Google Scholar

Chua, J., G. Stick, and R. Woodward. 1990. “Diversifying with Gold Stocks.” Financial AnalystsJournal 46: 76–79.10.2469/faj.v46.n4.76Suche in Google Scholar

Ciner, C. 2001. “On the Long run Relationship between Gold and Silver: A Note.” Global Finance Journal 12: 299–303.10.1016/S1044-0283(01)00034-5Suche in Google Scholar

Davidson, S., R. Faff, and D. Hillier. 2003. “Gold Factor Exposures in International Asset Pricing.” Journal of International Financial Markets, Institutions and Money 13: 271–289.10.1016/S1042-4431(02)00048-3Suche in Google Scholar

Ding, Z., and R. Engle. 2001. “Large Scale Conditional Covariance Modeling, Estimation and Testing.” Academia Economic Papers 29: 157–184.Suche in Google Scholar

Dooley, M. P., P. Isard, and M. P. Taylor. 1995. “Exchange Rates, Country-Specific Shocks and Gold.” Applied Financial Economics 5: 121–129.10.1080/758522999Suche in Google Scholar

Engle, R. 2004. “Risk and Volatility: Econometric Models and Financial Practice.” American Economic Review 94: 405–420.10.1257/0002828041464597Suche in Google Scholar

Engle, R., and F. K. Kroner. 1995. “Multivariate Simultaneous Generalized ARCH.” Econometric Theory 11: 122–150.10.1017/S0266466600009063Suche in Google Scholar

Faff, R., and H. Chan. 1998. “A Multifactor Model of Gold Industry Stock Returns: Evidence from the Australian Equity Market.” Applied Financial Economics 8: 21–28.10.1080/096031098333212Suche in Google Scholar

Ghosh, D., E. J. Levin, P., MacMillan, and R. E. Wright. 2002. “Gold as an Inflation Hedge?” WorkingPaper, University of Stirling, UK.10.1108/eb043380Suche in Google Scholar

Gray, S. F. 1996. “Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process.” Journal of Financial Economics 42: 27–62.10.1016/0304-405X(96)00875-6Suche in Google Scholar

Haas, M., and S. Mittnik. 2008. “Multivariate Regime Switching GARCH with an Application to International Stock Markets.” unpublished, http://www.ifkcfs.de/fileadmin/downloads/publications/wp/08_08.pdf.Suche in Google Scholar

Haas, M., S. Mittnik, and M. S. Paolella. 2004. “A New Approach to Markov-Switching GARCH Models.” Journal of Financial Econometrics 2: 493–530.10.1093/jjfinec/nbh020Suche in Google Scholar

Hamilton, J. D. 1989a. “A New Approach to the Economic Analysis of Non-Stationary Time Series and the Business Cycle.” Econometrica 57: 357–384.10.2307/1912559Suche in Google Scholar

Hamilton, J. D. 1989b. “Rational-Expectations Econometric Analysis of Changes in Regime.” Journal of Economic Dynamics and Control 12: 385–423.10.1016/0165-1889(88)90047-4Suche in Google Scholar

Hamilton, J. D., and R. Susmel. 1994. “Autoregressive Conditional Heteroskedasticity and Changes in Regime.” Journal of Econometrics 64: 307–333.10.1016/0304-4076(94)90067-1Suche in Google Scholar

Hood, M., and F. Malik. 2013. “Is Gold the Best Hedge and a Safe Haven under Changing Stock Market Volatility?” Review of Financial Economics 22: 47–52.10.1016/j.rfe.2013.03.001Suche in Google Scholar

Kasch, M., and M. Caporin. 2013. “Volatility Threshold Dynamic Conditional Correlations: An International Analysis.” Journal of Financial Econometrics 11: 706–742.10.1093/jjfinec/nbs028Suche in Google Scholar

Kearney, A. A., and R. E. Lombra. 2009. “Gold and Platinum: Toward Solving the Price Puzzle.” Quarterly Review of Economics and Finance 49: 884–892.10.1016/j.qref.2008.08.005Suche in Google Scholar

Koutsoyiannis, A. 1983. “A Short-Run Pricing Model for a Speculative Asset, Tested with Data from the Gold Bullion Market.” Applied Economics 15: 563–581.10.1080/00036848300000037Suche in Google Scholar

Lee, H. T., and J. K. Yoder. 2007. “A Bivariate Markov Regime Switching GARCH Approach to Estimate the Time Varying Minimum Variance Hedge Ratio.” Applied Economics 39: 253–265.10.1080/00036840500438970Suche in Google Scholar

Lucey, B. M., and E. Tully. 2006a. “Seasonally, Risk and Return in Daily Comex Gold and Silver Data 1982–2002.” Applied Financial Economics 16: 319–333.10.1080/09603100500386586Suche in Google Scholar

Lucey, B. M., and E. Tully. 2006b. “The Evolving Relationship between Gold and Silver 1978–2002: Evidence from a Dynamic Cointegration Analysis – a Note. Applied Financial Economics Letters 2: 47–53.10.1080/17446540500426789Suche in Google Scholar

Markowitz, H. 1952. “Portfolio Selection.” Journal of Finance, 7 (1): 77–91.10.12987/9780300191677Suche in Google Scholar

Mahdavi, S., and S. Zhou. 1997. “Gold and Commodity Prices as Leading Indicators of Inflation: Tests of Long-Run Relationship and Predictive Performance.” Journal of Economics andBusiness 49: 475–489.10.1016/S0148-6195(97)00034-9Suche in Google Scholar

Maheu, J. M., T. H. McCurdy, and Y. Song 2012. “Components of Bull and Bear Markets: Bull Corrections and Bear Rallies.” Journal of Business and Economic Statistics 30: 391–403.10.1080/07350015.2012.680412Suche in Google Scholar

Mensi, W., M., Beljid, A. Boubaker, and S. Managi. 2013. “Correlations and Volatility Spillovers across Commodity and Stock Markets: Linking Energies, Food and Gold.” Economic Modelling 32: 15–22.10.1016/j.econmod.2013.01.023Suche in Google Scholar

Mills, T. C. 2004. “Statistical Analysis of Daily Gold Price Data.” Physica A: Statistical Mechanics and its Applications 338: 559–566.10.1016/j.physa.2004.03.003Suche in Google Scholar

Shafiee, S., and E. Topal. 2010. “An Overview of Global Gold Market and Gold Price Forecasting.” Resources Policy 35: 178–189.10.1016/j.resourpol.2010.05.004Suche in Google Scholar

Sherman, E. 1982. “Gold: A Conservative, Prudent Diversifier.” Journal of Portfolio Management 8: 21–27.10.3905/jpm.1982.408850Suche in Google Scholar

Tang, K., and W. Xiong. 2012. “Index Investment and Financialization of Commodities.” Financial Analysts Journal 68: 54–74.10.3386/w16385Suche in Google Scholar


Supplemental Material:

The online version of this article (DOI: 10.1515/snde-2015-0017) offers supplementary material, available to authorized users.


Published Online: 2016-3-25
Published in Print: 2016-12-1

©2016 Walter de Gruyter GmbH, Berlin/Boston

Heruntergeladen am 9.9.2025 von https://www.degruyterbrill.com/document/doi/10.1515/snde-2015-0017/html
Button zum nach oben scrollen