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Precious Metals Comovements in Turbulent Times: COVID-19 and the Ukrainian Conflict

Author

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  • Antonis A. Michis

    (Central Bank of Cyprus, Nicosia 1076, Cyprus
    Department of Business Administration, School of Business and Law, Frederick University, Nicosia 1036, Cyprus)

Abstract

We examined the evolution of cross-market linkages between four major precious metals and US stock returns, before (Phase I) and after (Phase II) the COVID-19 outbreak. Phase II was also extended to encompass the Ukrainian conflict, which prolonged the period of uncertainty in financial markets. Due to the increase in volatility observed in Phase II, we used a heteroskedasticity-adjusted correlation coefficient to examine the evolution of correlation changes since the COVID-19 outbreak. We also propose a relevant dissimilarity measure in multidimensional scaling analysis that can be used for depicting associations between financial returns in turbulent times. Our results suggest that (i) the correlation levels of gold, silver, platinum, and palladium returns with US stock returns have not changed substantially since the COVID-19 outbreak, and (ii) all precious metal returns exhibit movements that are less synchronized with US stock returns, with palladium and gold being the least synchronized.

Suggested Citation

  • Antonis A. Michis, 2023. "Precious Metals Comovements in Turbulent Times: COVID-19 and the Ukrainian Conflict," JRFM, MDPI, vol. 16(5), pages 1-18, May.
    • Handle: RePEc:gam:jjrfmx:v:16:y:2023:i:5:p:280-:d:1151894
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    References listed on IDEAS

    as
    1. Antonis A. Michis, 2022. "Multiscale Partial Correlation Clustering of Stock Market Returns," JRFM, MDPI, vol. 15(1), pages 1-22, January.
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