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

Batten, Jonathan A.; Ciner, Cetin; Lucey, Brian M.

doi:10.2139/ssrn.2391213

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

Applied Economics Letters, Forthcoming

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

See all articles by Jonathan A. Batten

Cetin Ciner

University of North Carolina at Wilmington

Brian M. Lucey

Trinity Business School, Trinity College Dublin; 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: 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