Return spillovers between White Metals ETFs The Role of Oil, Gold, and Global Equity

Lau, Marco Chi Keung and Vigne, Samuel A. and Wang, Shixuan and Yarovaya, Larisa (2017) Return spillovers between White Metals ETFs The Role of Oil, Gold, and Global Equity. International Review of Financial Analysis. ISSN 1057-5219

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Official URL: https://doi.org/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 10 years 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.

Item Type: Journal Article
Keywords: white metals ETFs, volatility spillovers, gold, oil and global equity
Faculty: Lord Ashcroft International Business School
Depositing User: Dr Larisa Yarovaya
Date Deposited: 30 May 2017 09:50
Last Modified: 30 May 2017 09:57
URI: http://arro.anglia.ac.uk/id/eprint/701771

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