Journal ArticleDOI
The Macroeconomic Determinants of Volatility in Precious Metals Markets
TLDR
In this article, the same macroeconomic factors jointly influence the volatility processes of the precious metal price series, although there is some evidence of volatility feedback between the precious metals, which lends weight to views that individual commodities are too distinct to be considered a single asset class or represented by a single index.Abstract:
We investigate key macroeconomic factors that impact the price returns of precious metals markets over a 20 year period. The markets investigated are gold, silver, platinum and palladium; whereas the macroeconomic factors accommodated business cycle, monetary environment and financial market sentiment factors. The key findings present limited evidence that the same macroeconomic factors jointly influence the volatility processes of the precious metal price series, although there is some evidence of volatility feedback between the precious metals. This finding lends weight to views that individual commodities are too distinct to be considered a single asset class or represented by a single index; a finding of considerable importance for portfolio managers and investors.read more
Citations
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Journal ArticleDOI
World gold prices and stock returns in China: Insights for hedging and diversification strategies
TL;DR: In this article, the authors used the VAR-GARCH framework of Ling and McAleer (2003) to explore both return and volatility spillovers between world gold prices and stock market in China over the period from March 22, 2004 through March 31, 2011.
Journal ArticleDOI
Commodity volatility breaks
Andrew Vivian,Mark E. Wohar +1 more
TL;DR: This paper examined whether there are structural breaks in commodity spot return volatility using an iterative cumulative sum of squares procedure and then used GARCH (1,1) to model volatility during each regime.
Posted Content
The Financial Economics of Gold - a survey
TL;DR: A review of the literature on gold as an investment can be found in this article, where a review of how the gold markets operate, including the under researched leasing market, is presented.
Journal ArticleDOI
Dynamic spillovers between commodity and currency markets
TL;DR: In this paper, the authors examined the dynamic link between returns and volatility of commodities and currency markets based on weekly data over the period from January 6, 1987 to July 22, 2014, and found the following empirical regularities.
References
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Journal ArticleDOI
Economic Forces and the Stock Market
TL;DR: In this paper, the authors test whether innovations in macroeconomic variables are risks that are rewarded in the stock market, and they find that these sources of risk are significantly priced and neither the market portfolio nor aggregate consumption are priced separately.
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Forward and spot exchange rates
TL;DR: In this paper, the authors find that most of the variation in forward rates is variation in premium, and the premium and expected future spot rate components of forward rates are negatively correlated, and they conclude that the forward market is not efficient or rational.
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The Determinants of Credit Spread Changes
TL;DR: In this article, the determinants of credit spread changes were investigated using dealer's quotes and transactions prices on straight industrial bonds, and the residuals from this regression are highly cross-correlated, and principal components analysis implies they are mostly driven by a single common factor.
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Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy
TL;DR: In this paper, the no-arbitrage martingale analysis is used to study the effect on asset prices of changes in the rate of information flow in a continuous-time setting.
Journal ArticleDOI
Predictability of Stock Returns: Robustness and Economic Significance
TL;DR: In this paper, the authors examine the robustness of the evidence on predictability of U.S. stock returns, and address the issue of whether this predictability could have been historically exploited by investors to earn profits in excess of a buy-and-hold strategy in the market index.