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The intertemporal relation between expected returns and conditional correlations between precious metals and the stock market

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  • Ryuta Sakemoto

Abstract

This study explores whether conditional correlations between precious metals and stock markets impact upon expected returns on precious metals. The empirical evidence presents that there is no significant trade–off between conditional correlations and expected returns, which means that high returns on precious metals are not related to a lack of diversification benefits. Interestingly, high absolute values of conditional correlations lead to increases in expected returns, suggesting that the unstable cross-asset market condition is associated with the expected returns. This impact is stronger on silver than on gold. Â

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  • Ryuta Sakemoto, 2018. "The intertemporal relation between expected returns and conditional correlations between precious metals and the stock market," Economics and Business Letters, Oviedo University Press, vol. 7(1), pages 24-35.
    • Handle: RePEc:ove:journl:aid:12565
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    File URL: https://reunido.uniovi.es/index.php/EBL/article/view/12565
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    1. Toan Luu Duc Huynh & Tobias Burggraf, 2020. "If worst comes to worst: Co-movement of global stock markets in the US-China trade war," Economics and Business Letters, Oviedo University Press, vol. 9(1), pages 21-30.

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