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Interrelationship and Volatility Dynamics Among the Seven Main NYSE Mineral ETFs

Author

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  • Pedro Augusto Streck

    (Organizations and Markets Graduate Program, Federal University of Pelotas, Pelotas 96055-630, RS, Brazil)

  • Marcelo De Oliveira Passos

    (Organizations and Markets Graduate Program, Federal University of Pelotas, Pelotas 96055-630, RS, Brazil)

  • Mathias Schneid Tessmann

    (Economics and Management School, Brazilian Institute of Education Development and Research (IDP), Brasília 70830-401, DF, Brazil)

  • Alfrânio Rodrigo Trescher

    (Economics and Management School, Brazilian Institute of Education Development and Research (IDP), Brasília 70830-401, DF, Brazil)

  • Daniel De Abreu Pereira Uhr

    (Organizations and Markets Graduate Program, Federal University of Pelotas, Pelotas 96055-630, RS, Brazil)

  • Maria Laura Marques

    (Organizations and Markets Graduate Program, Federal University of Pelotas, Pelotas 96055-630, RS, Brazil)

Abstract

This paper aims to investigate the main mineral exchange-traded funds (ETFs) in terms of trading volumes on the New York Stock Exchange by measuring the volatility transmission among them and the connectivity of this market. Daily closing ETF data from 2019 to 2023 for platinum, silver, copper, lead, nickel, gold, and a diversified set of precious metals are considered to estimate a spillover index and apply complex network metrics that identify and cluster the intensity of these relationships. The results indicate that the ETFs that transmit and receive the most volatility in the modeled complex network, in ascending order, are precious metals: gold, silver, and platinum. They are described by the cluster analysis of the modularity optimization process as the group most used for hedging purposes in critical periods. These findings are helpful for the scientific literature about derivatives by bringing empirical evidence from metals markets, supply chain agents, and investors.

Suggested Citation

  • Pedro Augusto Streck & Marcelo De Oliveira Passos & Mathias Schneid Tessmann & Alfrânio Rodrigo Trescher & Daniel De Abreu Pereira Uhr & Maria Laura Marques, 2024. "Interrelationship and Volatility Dynamics Among the Seven Main NYSE Mineral ETFs," Economies, MDPI, vol. 12(12), pages 1-14, November.
    • Handle: RePEc:gam:jecomi:v:12:y:2024:i:12:p:322-:d:1530842
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    References listed on IDEAS

    as
    1. Victor DeMiguel & Lorenzo Garlappi & Raman Uppal, 2009. "Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?," The Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 1915-1953, May.
    2. Itzhak Ben-David & Francesco A. Franzoni & Rabih Moussawi, 2016. "Exchange Traded Funds (ETFs)," Swiss Finance Institute Research Paper Series 16-64, Swiss Finance Institute.
    3. Christie-David, Rohan & Chaudhry, Mukesh & Koch, Timothy W., 2000. "Do macroeconomics news releases affect gold and silver prices?," Journal of Economics and Business, Elsevier, vol. 52(5), pages 405-421.
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