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Dynamic Correlation of Precious Metals and Equity Markets: A Mixed Data Sampling Approach

In: Modern Finance and Risk Management Festschrift in Honour of Hermann Locarek-Junge

Author

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  • Tony Klein
  • Thomas Walther

Abstract

We re-examine the conditional volatility and dynamic correlation of precious metals and equity markets of developed countries by employing mixed data sampling. We find that Gold and Silver serve as short-term safe-haven with decreasing correlation towards zero during equity market recessions. A similar behaviour, albeit not as pronounced, is found for Platinum and Palladium. During normal market periods, Gold might be characterised as a hedge, while the other precious metals show features of a diversifier.

Suggested Citation

  • Tony Klein & Thomas Walther, 2022. "Dynamic Correlation of Precious Metals and Equity Markets: A Mixed Data Sampling Approach," World Scientific Book Chapters, in: Tony Klein & Sven Loßagk & Mario Straßberger & Thomas Walther (ed.), Modern Finance and Risk Management Festschrift in Honour of Hermann Locarek-Junge, chapter 20, pages 437-452, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781800611917_0020
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    Cited by:

    1. Dinh, Theu & Goutte, Stéphane & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Economic drivers of volatility and correlation in precious metal markets," Journal of Commodity Markets, Elsevier, vol. 28(C).

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