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Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce

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Volume 20, Issue 5 (Dec 2016)

Issues

The place of gold in the cross-market dependencies

Sofiane Aboura
  • Université de Paris XIII, Sorbonne Paris Cité, CEPN (UMR-CNRS 7234), 93430 Villetaneuse, France
  • Other articles by this author:
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/ Julien Chevallier
  • Corresponding author
  • IPAG Business School (IPAG Lab), 184 Boulevard Saint-Germain, 75006 Paris, France
  • Université Paris 8 (LED), 2 rue de la Liberté, 93526 Saint Denis Cedex, France
  • Email
  • Other articles by this author:
  • De Gruyter OnlineGoogle Scholar
/ Rania Jammazi
  • IPAG business School, France and University of Management Sciences and Economics of Sousse, Erriadh City, Tunisia
  • Other articles by this author:
  • De Gruyter OnlineGoogle Scholar
/ Aviral Kumar Tiwari
Published Online: 2016-03-25 | DOI: https://doi.org/10.1515/snde-2015-0017

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.

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

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

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

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About the article

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


Published Online: 2016-03-25

Published in Print: 2016-12-01


Citation Information: Studies in Nonlinear Dynamics & Econometrics, ISSN (Online) 1558-3708, ISSN (Print) 1081-1826, DOI: https://doi.org/10.1515/snde-2015-0017.

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