Time and frequency connectedness and network across the precious metal and stock markets: Evidence from top precious metal importers and exporters

Walid Mensi, Xuan Vinh Vo and Sang Hoon Kang

Resources Policy, 2021, vol. 72, issue C

Abstract: This paper examines the time–frequency connectedness between major precious metals markets (gold, palladium, platinum and silver) and their importer and exporter countries’ stock indices (China, Germany, Japan, Korea, UK, Australia, Bulgaria, Mexico, and Russia). We use the time-frequency domain spillover index methodology of Baruník and Křehlík (2018). The results show that the UK stock market is the largest contributor to and receipt of short-term spillovers. Gold, palladium, Chinese, Japanese, Korean, Bulgarian, Mexican, and Russian stock markets are the next receivers of spillover. German and Australian stock markets are, respectively, the largest source and receipt of spillovers in the long term. Furthermore, the spillovers in the short term are higher than their counterparts in the long term, and they are more pronounced during the global financial crisis (GFC). Precious metals contribute more to the forecasting variance for stock markets in the top precious metal exporter economies than in the top precious metal importer economies. They receive more spillovers from stock markets in the top precious metal exporters irrespective of time horizons. In addition, the spillover effects in the short term are higher than their counterparts in the long term in top precious metal exporters. Precious metals provide a better hedging effectiveness than individual equity portfolios. Finally, the hedging effectiveness is higher in the short term relative to the long term for stock markets of precious metal-exporter economies.

Keywords: Top precious metal importers; Top precious metal exporters; Time-frequency connectedness; Network (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420721000714
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:72:y:2021:i:c:s0301420721000714

DOI: 10.1016/j.resourpol.2021.102054

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 ().