Economics at your fingertips  

The intertemporal relation between expected returns and conditional correlations between precious metals and the stock market

Ryuta Sakemoto

Economics and Business Letters, 2018, vol. 7, issue 1, 24-35

Abstract: This study explores whether conditional correlations between precious metals and stock markets impact upon expected returns on precious metals. The empirical evidence presents that there is no significant trade–off between conditional correlations and expected returns, which means that high returns on precious metals are not related to a lack of diversification benefits. Interestingly, high absolute values of conditional correlations lead to increases in expected returns, suggesting that the unstable cross-asset market condition is associated with the expected returns. This impact is stronger on silver than on gold. Â

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (text/html)

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:

Access Statistics for this article

Economics and Business Letters is currently edited by Francisco J. Delgado

More articles in Economics and Business Letters from Oviedo University Press Contact information at EDIRC.
Bibliographic data for series maintained by Francisco J. Delgado ().

Page updated 2020-05-13
Handle: RePEc:ove:journl:aid:12565