Co-movements and spillovers between prices of precious metals and non-ferrous metals: A multiscale analysis

Khamis Hamed Al-Yahyaee, Mobeen Ur Rehman, Idries Mohammad Wanas Al-Jarrah, Walid Mensi and Xuan Vinh Vo

Resources Policy, 2020, vol. 67, issue C

Abstract: This study examines the co-movements between price returns of precious metals (gold and silver) and non-ferrous metals (aluminium, copper, Lead and zinc). To do this, we use the spillover index developed by Diebold and Yilmaz (2012) and various wavelet. The results show that aluminum is the highest contributor to shocks in the other metal markets whereas Lead and copper are the least contributors. Moreover, silver, copper, zinc and Lead are net receivers of shocks while gold and aluminium are net contributors to shocks in the other markets. In addition, the trajectory of the spillover index among all metals under investigation is influenced by economic crises. On the other hand, the results of wavelet methods reveal strong co-movements between precious and non-ferrous metals under medium and low frequencies where gold and silver are leading the non-ferrous metals. Besides, precious metal-non-ferrous metal pairs are in phase. The results show strong multiscale co-movements among non-ferrous metals. Gold offers better diversification benefits to non-ferrous metals under 2–4 days. The diversification benefits decrease as scale rise. These findings are interesting and entail significant implications to investors, portfolio managers, and policy-makers to inform their decision-making.

Keywords: Co-Movements; Spillovers; Precious metals; Non-ferrous metals; Multivariate wavelet (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420720301173
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:67:y:2020:i:c:s0301420720301173

DOI: 10.1016/j.resourpol.2020.101680

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().