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

13 Pages Posted: 7 Feb 2014 Last revised: 29 Jul 2014

See all articles by Jonathan A. Batten

Jonathan A. Batten

RMIT University; The University of Sydney

Cetin Ciner

University of North Carolina at Wilmington

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Date Written: February 5, 2014

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

JEL Classification: C01, F49, G12, G15

Suggested Citation

Batten, Jonathan A. and Ciner, Cetin and Lucey, Brian M., Which Precious Metals Spill Over on Which, When and Why? – Some Evidence. (February 5, 2014). Applied Economics Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2391213 or http://dx.doi.org/10.2139/ssrn.2391213

Jonathan A. Batten

RMIT University ( email )

Level 12, 239 Bourke Street
Melbourne, Victoria
Australia

HOME PAGE: http://https://www.rmit.edu.au/contact/staff-contacts/academic-staff/b/batten-professor-jonathan

The University of Sydney ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

HOME PAGE: http://https://business.sydney.edu.au/staff/jonathan.batten

Cetin Ciner

University of North Carolina at Wilmington ( email )

Wilmington, NC 28403
United States

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

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