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The place of gold in the cross-market dependencies

Author

Listed:
  • Aboura Sofiane

    (Université de Paris XIII, Sorbonne Paris Cité, CEPN (UMR-CNRS 7234), 93430 Villetaneuse, France)

  • Chevallier Julien

    (IPAG Business School (IPAG Lab), 184 Boulevard Saint-Germain, 75006 Paris, France)

  • Jammazi Rania

    (IPAG business School, France and University of Management Sciences and Economics of Sousse, Erriadh City, Tunisia)

  • Tiwari Aviral Kumar

    (Faculty of Management Studies, ICFAI University Tripura, India)

Abstract

This paper investigates the inter-relationships between the gold price on the one hand, other precious metals (e.g. silver, palladium, platinum) and asset markets (e.g. stocks, bonds, crude oil) on the other hand. The econometric methodology relies on the Markov-switching BEKK model by Haas and Mittnik (2008) that captures time-varying correlations and bull-bear regimes for bivariate specifications. The model is applied to daily data from 1988 to 2013. The main results indicate that gold’s influence, through return and/or volatility spillovers, seems almost intact whatever the economic regime. Robustness checks of the statement that gold occupies a special place among commodities are provided under the form of a multi-asset portfolio management exercise.

Suggested Citation

  • Aboura Sofiane & Chevallier Julien & Jammazi Rania & Tiwari Aviral Kumar, 2016. "The place of gold in the cross-market dependencies," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(5), pages 567-586, December.
    • Handle: RePEc:bpj:sndecm:v:20:y:2016:i:5:p:567-586:n:3
    DOI: 10.1515/snde-2015-0017
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    References listed on IDEAS

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    More about this item

    Keywords

    BEKK; commodities; financial markets; gold; markov-switching; multi-asset portfolio management;
    All these keywords.

    JEL classification:

    • L61 - Industrial Organization - - Industry Studies: Manufacturing - - - Metals and Metal Products; Cement; Glass; Ceramics
    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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