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Quantile behaviour of cointegration between silver and gold prices

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  • Zhu, Huiming
  • Peng, Cheng
  • You, Wanhai

Abstract

This paper investigates the quantile behaviour of cointegration between silver and gold prices by employing the quantile autoregressive distributed lag (QARDL) model. Our empirical results suggest that the existence of cointegration is mainly due to the tail quantiles outside the interquartile range, revealing quantile-dependent (time-varying) cointegrating coefficients which may result in the absence of cointegration in traditional analysis. The silver price changes are more susceptible to the contemporaneous change of gold than the adjustment from ECM at tail quantiles. In addition, the tail-quantile cointegration also appears to change along with the market states of gold.

Suggested Citation

  • Zhu, Huiming & Peng, Cheng & You, Wanhai, 2016. "Quantile behaviour of cointegration between silver and gold prices," Finance Research Letters, Elsevier, vol. 19(C), pages 119-125.
  • Handle: RePEc:eee:finlet:v:19:y:2016:i:c:p:119-125
    DOI: 10.1016/j.frl.2016.07.002
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    Cited by:

    1. Zhe Huang & Franck Martin, 2017. "Optimal pairs trading strategies in a cointegration framework," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 2017-08, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
    2. repec:eee:finana:v:52:y:2017:i:c:p:292-308 is not listed on IDEAS
    3. BENKRAIEM, Ramzi & Lahiani, Amine & MILOUDI, Anthony & Shahbaz, Muhammad, 2018. "New Insights into the US Stock Market Reactions to Energy Price Shocks," MPRA Paper 84778, University Library of Munich, Germany, revised 18 Feb 2018.

    More about this item

    Keywords

    Gold price; Silver price; Quantile cointegration; QARDL model; Market states;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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