Sentiment and asset price bubble in the precious metals markets
Finance Research Letters, 2018, vol. 26, issue C, 106-111
This study investigates the relationship between asset bubbles for precious metals and market sentiment from January 1990 to October 2017 using a newly developed recursive right-tailed unit root test. There is strong evidence of explosive behaviour towards gold and silver prices in 2008 and 2011 which corresponds to the last financial and European debt crises. After controlling other variables, the logistic regression model is used to find evidence to suggest that price bubbles tend to occur when the volatility index (VIX) level increases (decreasing confidence, and increasing fear). Thus, this study provides valuable insights for both policymakers and investors.
Keywords: Asset price bubbles; Market sentiment; Supremum Augmented Dickey-Fuller; Gold (search for similar items in EconPapers)
JEL-codes: G12 G40 C15 C32 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:26:y:2018:i:c:p:106-111
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