Time-varying volatility spillovers between stock and precious metal markets with portfolio implications
Al-Yahyaee, Khamis Hamed and
Sang Hoon Kang
Resources Policy, 2017, vol. 53, issue C, 88-102
This paper investigates the time-varying risk spillovers between precious metals (gold, silver, palladium, and platinum) and major stock markets (USA, Japan, Europe and Asia) using the spillover index of Diebold and Yilmaz (2012). We also analyze asset allocations, hedge ratios, and hedging strategies. The results show evidence of volatility spillovers between precious metal and stock markets. Further, all the stock markets (except for Japanese market) are a source of volatility spillovers and the four precious metal markets are net receipt of volatility spillovers during the Global Financial Crisis and European Sovereign Debt Crisis. Finally, we find evidence of cross-market hedging, asset allocation, and hedging effectiveness.
Keywords: Precious metal; Stock markets; Volatility spillovers; Hedging (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:53:y:2017:i:c:p:88-102
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 Dana Niculescu ().