Which precious metals spill over on which, when and why? Some evidence

被引：88

作者：

Batten, Jonathan A. ^{[1
]}

Ciner, Cetin ^{[2
]}

Lucey, Brian M. ^{[3
,4
,5
,6
]}

机构：

[1] Monash Univ, Dept Banking & Finance, Clayton, Vic 3145, Australia

[2] Univ N Carolina, Cameron Sch Business, Wilmington, NC 28401 USA

[3] Trinity Coll Dublin, Sch Business, Dublin, Ireland

[4] Trinity Coll Dublin, Inst Int Integrat Studies, Dublin, Ireland

[5] Glasgow Caledonian Univ, Glasgow Business Sch, Glasgow G4 0BA, Lanark, Scotland

[6] Univ Ljubljana, Fac Econ, Ljubljana 1000, Slovenia

来源：

APPLIED ECONOMICS LETTERS | 2015年 / 22卷 / 06期

关键词：

gold; palladium; silver; platinum; integration; G15; G12; F49; C01; VOLATILITY;

D O I：

10.1080/13504851.2014.950789

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Much academic and investor analysis and commentary see 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 and 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.

引用

页码：466 / 473

页数：8

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