Neoclassical finance, behavioral finance and noise traders: Assessment of gold–oil markets

Zied Ftiti (), Ibrahim Fatnassi and Aviral Tiwari

Finance Research Letters, 2016, vol. 17, issue C, 33-40

Abstract: This article investigates the relationship between oil and gold price movements. We use the wavelet approach to analyze the time and frequency of this relationship. Results show that oil and gold markets have a high level of co-movement during periods of crisis. Furthermore, results suggest that directional causality is explained through the sources of oil shocks. Oil precautionary demand shocks drive fluctuations in the gold market for a short time, whereas the causality direction is reversed for a medium timeframe. However, in the case of oil aggregate demand-side shocks, we show that variables have anti-cyclical effects on each other.

Keywords: Wavelet; Causality; Sources of oil shock; Precautionary demand; Aggregate demand; Safe haven (search for similar items in EconPapers)
JEL-codes: C10 F30 Q4 Q43 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:17:y:2016:i:c:p:33-40

DOI: 10.1016/j.frl.2016.01.002

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