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

Universiti Utara Malaysia

Cetin Ciner

University of North Carolina at Wilmington

Brian M. Lucey

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

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

Universiti Utara Malaysia ( email )

School of Economics, Finance and Banking
Sintok, Kedah 06010
Malaysia

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

University of Economics Ho Chi Minh City ( email )

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

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