Do precious metal spot prices influence each other? Evidence from a nonparametric causality-in-quantiles approach

Bhatia, Vaneet; Das, Debojyoti; Tiwari, Aviral Kumar; Shahbaz, Muhammad; Hasim, Haslifah Mohamad

doi:10.1016/j.resourpol.2017.12.008

Cited by 56 publications

(11 citation statements)

References 42 publications

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“…Overall, our results show that futures returns lead to spot returns, which confirms the dominant contribution of the futures market toward price discovery in commodity markets. Our results are in line with the strand of literature supporting bidirectional causality (such as Bhatia et al 2018 ; Dash et al 2010 ) and contradicts the strand supporting unidirectional causality from the futures market to the spot market and otherwise (e.g., Jena et al 2018 ; Joseph et al 2014 ; Srinivasan, 2012 ). However, our findings complete this literature from at least two aspects.…”

Section: Data and Empirical Resultssupporting

confidence: 77%

Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework

2021

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This study aims to investigate the relationship between the spot and futures commodity markets. Considering the complexity of the relationship, we use a nonlinear autoregressive distributed lag (NARDL) framework that considers the asymmetry and nonlinearity in both the long and short run. Based on the daily returns of six commodity indices reaggregated on three commodity types, our study reaches some interesting findings. Our analysis highlights a bidirectional relationship between both markets over the short and long run, with a greater lead for the futures market. This result confirms the future market’s dominant contribution to price discovery in commodities. Changes in commodity prices appear first in the futures market, as informed investors and speculators prefer trading on this market that is characterized by low costs and a high-leverage effect. Then, the information is transmitted from the futures to the spot market through arbitrageurs’ activity, which explains the nonlinearity of the relationship. These results are helpful to scholars, investors and policymakers.

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Section: Data and Empirical Resultssupporting

confidence: 77%

Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework

2021

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“…The latter authors studied the effect of oil price shocks volatility on macroeconomic variables and viceversa. Moreover, a number of researchers such as Reboredo (2013), Behmiri and Manera (2015), Raza et al (2016) and Bhatia et al (2018) investigate impacts of oil volatility shocks on commodity markets. However, all these studies are limited to models with constant coefficients.…”

Section: Literature Reviewmentioning

confidence: 99%

Oil Price Volatility Models During Coronavirus Crisis: Testing With Appropriate Models Using Further Univariate Garch and Monte Carlo Simulation Models

Bouazizi¹,

Lassoued²,

Hadhek³

2020

IJEEP

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Coronavirus (2019-nCoV) not only has an effect on human health but also on economic variables in countries around the world. Coronavirus has an effect on the price of black gold and on its volatility. The shock on all markets is already very strong. Volatility patterns in Brent crude oil simulation are examined during COVID-19 crisis that significantly affected the oil market volatility. The selected crisis of coronavirus arose due to different triggers having diverse implications for oil returns volatility. Our findings indicate that model choice with data modeling is the same appropriate model EGARCH(0,2) with different parameters between pre-coronavirus and post-coronavirus. We find that oil prices are the most strongly and negatively influenced by the Coronavirus crisis. The downward movement post-covid-19 crisis is very noticeable in energy volatility. The return series, on the other hand, do not appear smooth, they rather appear volatile. We conduct a Monte Carlo simulation exercise during coronavirus crisis to investigate whether this decline is real or an artefact of the oil market. Our findings support the fact that the decline in oil prices volatility is an artefact of the covid-19 crisis.

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“…Author argues that Bitcoin is not a safe port due to its price volatility, except China. Bhatia et al (2018) discuss the relationship between gold, silver, platinum and palladium prices with causality analysis. In this context, the authors examine the period of April 2000-June 2016.…”

Section: Balcılar Et Al (2017) Investigate the Causality Relationship Between Bitcoinmentioning

confidence: 99%

Koronavirüs Salgını ve Bilinirliğinin Bitcoin ile Kıymetli Metal Fiyatları Üzerindeki Etkisi: Bir Nedensellik Analizi

ŞERBETÇİ

Alptürk

Ceyhan

2021

Kahramanmaraş Sütçü İmam Üniversitesi Sosyal Bilimler Dergisi

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Coronavirus , which emerged as an epidemic in China in December 2019, has been recognized as a pandemic by the World Health Organization as of March 2020. Events regarding the coronavirus shocked the markets and were seen as a threat to the markets. In this context, this study aims to examine the effect of the COVID-19 on Bitcoin prices and precious metals which are seen as low-risk assets in global markets.In the study, the causality relationship between the daily number of COVID-19 cases approved by the WHO and Google trends, and the price series of Bitcoin, Gold, Silver, Platinum, Palladium was investigated to determine the effects of the developments in the course of the epidemic on the prices of Bitcoin and precious

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Do precious metal spot prices influence each other? Evidence from a nonparametric causality-in-quantiles approach

Cited by 56 publications

References 42 publications

Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework

Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework

Oil Price Volatility Models During Coronavirus Crisis: Testing With Appropriate Models Using Further Univariate Garch and Monte Carlo Simulation Models

Koronavirüs Salgını ve Bilinirliğinin Bitcoin ile Kıymetli Metal Fiyatları Üzerindeki Etkisi: Bir Nedensellik Analizi

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