Which Precious Metals Spill Over on Which, When and Why? – Some Evidence

Jonathan Batten, Cetin Ciner () and Brian Lucey
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Cetin Ciner: University of North Carolina at Wilmington

The Institute for International Integration Studies Discussion Paper Series from IIIS

Abstract: Much academic and investor analysis and commentary sees the four main precious metals as a single market, integrated and to some degree with each metal a substitute for the other. This proposition, which can be explicit or implicit can be challenged on economic grounds and on statistical grounds. Using the Diebold and Yilmaz (2009) methodology we show that the market is only weakly integrated, that this degree of integration is time varying and that it differs as between returns and volatility.

Keywords: Gold; Silver; Platinum; Palladium; integration (search for similar items in EconPapers)
JEL-codes: C01 F49 G12 G15 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2014-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Journal Article: Which precious metals spill over on which, when and why? Some evidence (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:iis:dispap:iiisdp460

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