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Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce


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1558-3708
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The place of gold in the cross-market dependencies

Sofiane Aboura1 / 23 / Rania Jammazi4 / Aviral Kumar Tiwari5

1Université de Paris XIII, Sorbonne Paris Cité, CEPN (UMR-CNRS 7234), 93430 Villetaneuse, France

2IPAG Business School (IPAG Lab), 184 Boulevard Saint-Germain, 75006 Paris, France

3Université Paris 8 (LED), 2 rue de la Liberté, 93526 Saint Denis Cedex, France

4IPAG business School, France and University of Management Sciences and Economics of Sousse, Erriadh City, Tunisia

5Faculty of Management Studies, ICFAI University Tripura, India

Corresponding author: Julien Chevallier, IPAG Business School (IPAG Lab), 184 Boulevard Saint-Germain, 75006 Paris, France, Phone: +33 (0)1 49 40 73 86, Fax: +33 (0)1 49 40 72 55, e-mail: ; and Université Paris 8 (LED), 2 rue de la Liberté, 93526 Saint Denis Cedex, France

Citation Information: Studies in Nonlinear Dynamics & Econometrics. Volume 20, Issue 5, Pages 567–586, ISSN (Online) 1558-3708, ISSN (Print) 1081-1826, DOI: https://doi.org/10.1515/snde-2015-0017, March 2016

Publication History

Published Online:
2016-03-25

This article offers supplementary material which is provided at the end of the article.

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.

Keywords: BEKK; commodities; financial markets; gold; markov-switching; multi-asset portfolio management

JEL Classification: L61; C34; C58; E44; G15

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