The intertemporal relation between expected returns and conditional correlations between precious metals and the stock market
Economics and Business Letters, 2018, vol. 7, issue 1, 24-35
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 tradeâ€“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
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Persistent link: https://EconPapers.repec.org/RePEc:ove:journl:aid:12565
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