Which Precious Metals Spill Over on Which, When and Why? – Some Evidence.
13 Pages Posted: 7 Feb 2014 Last revised: 29 Jul 2014
Date Written: February 5, 2014
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: Suggested Citation