Dynamic Correlation of Precious Metals and Equity Markets: A Mixed Data Sampling Approach

Tony Klein and Thomas Walther

Chapter 20 in Modern Finance and Risk Management:Festschrift in Honour of Hermann Locarek-Junge, 2022, pp 437-452 from World Scientific Publishing Co. Pte. Ltd.

Abstract: We re-examine the conditional volatility and dynamic correlation of precious metals and equity markets of developed countries by employing mixed data sampling. We find that Gold and Silver serve as short-term safe-haven with decreasing correlation towards zero during equity market recessions. A similar behaviour, albeit not as pronounced, is found for Platinum and Palladium. During normal market periods, Gold might be characterised as a hedge, while the other precious metals show features of a diversifier.

Keywords: Finance; Risk Management; Commodities; Energy Finance; Risk; Cryptocurrencies; Asset Management; Banking; Behavioral Finance; Behavioural Finance; Markowitz; Portfolio Selection; Asset Allocation; Crowdfunding; COVID; Pandemic; Corona; Investment Strategies; Low-Risk Investments; Social Banks; Excess Liquidity; Cost of Capital; Utilities; Network Industries; Private Equity; Small and Medium-Sized Enterprises; Black Swan; Statistical Inference; Maximum Likelihood; Bayesian Methods; Tail Risks; Conditional Value-at-Risk; Tail Nonlinearly Transformed Risk; Capital Constraints; Bank Regulation; Subjective Risk Assessment; Expert Knowledge; Model Risk; Risk Factors; Option Pricing; Volatility; Resilience; Supply Chains; Disruption; Systemic Risk; Oil; Renewable Energies; Corporate Risk Management; Power Purchase Agreements; Gold; Precious Metals; Dynamic Correlation; Mixed Data Sampling (search for similar items in EconPapers)
JEL-codes: G11 G3 G32 G4 (search for similar items in EconPapers)
Date: 2022
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