Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity

Lau, Chi Keung Marco; Vigne, Samuel A.; Wang, Shixuan; Yarovaya, Larisa

doi:10.1016/j.irfa.2017.04.001

Cited by 108 publications

(44 citation statements)

References 55 publications

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“…In a more recent study, Lovcha and Perez-Laborda [22] used the Diebold-Yilmaz approach and the Barunik and Krehlik methodology to analyze the volatility connectedness between Henry Hub natural gas and West Texas Intermediate (WTI) crude oil in the time and frequency domains. Lau et al [23] used the E-GARCH model and the Barunik and Krehlik methodology approach to investigate the return and volatility spillover effects among white precious metals, gold, oil, and global equity.…”

Section: Introductionmentioning

confidence: 99%

Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe

Liu

Nakajima

et al. 2020

Energies

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Using a fresh empirical approach to time-frequency domain frameworks, this study analyzes the return and volatility spillovers from fossil fuel markets (coal, natural gas, and crude oil) to electricity spot and futures markets in Europe. In the time domain, by an approach developed by Diebold and Yilmaz (2012) which can analyze the directional spillover effect across different markets, we find natural gas has the highest return spillover effect on electricity markets followed by coal and oil. We also find that return spillovers increase with the length of the delivery period of electricity futures. In the frequency domain, using the methodology proposed by Barunik and Krehlik (2018) that can decompose the spillover effect into different frequency bands, we find most of the return spillovers from fossil fuels to electricity are produced in the short term while most of the volatility spillovers are generated in the long term. Additionally, dynamic return spillovers have patterns corresponding to the use of natural gas for electricity generation, while volatility spillovers are sensitive to extreme financial events.

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Section: Introductionmentioning

confidence: 99%

Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe

Liu

Nakajima

et al. 2020

Energies

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“…), between oil and gold (Le and Chang (2012), Tiwari and Sahadudheen (2015), Shahbaz et al (2017) and Kumar (2017) ), and among oil, gold and stock markets (i.e. Raza et al (2016), Mensi et al (2017b), Lau et al (2017), Bouri et al (2017, Tursoy andFaisal (2018) ) using various kinds of econometric methods.…”

Section: Introductionmentioning

confidence: 99%

Dynamic return and volatility spillovers among S&P 500, crude oil, and gold

Balcılar

Özdemir

2019

Int. J Fin Econ

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This paper examines the return and volatility spillover effects among S&P 500, crude oil and gold by employing the spillover index of Diebold and Yilmaz (2012). Monthly realized volatility and return series covering the period from January 1986 to August 2018 are used to examine the return and volatility spillovers. Our findings indicate a bi-directional return and volatility spillover among these assets. The full sample empirical evidence is consistent with the structure in which oil plays a central role in the information transmission mechanism. The role of oil and gold as a safe haven has changed over time in financial and non-financial economic turbulence time-span. Commodity market financialization has decreased the effectiveness of adding commodities to portfolios after 2002.

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“…Here the examples are numerous, particularly in regards to strategic metals (rare-earth elements such as indium, iridium, rhodium) and precious metals. Recent contributions include Batten et al (2010), Aruga and Managi (2011), Mancheri andMarukawa (2016), O'Connor et al (2015), Lucey et al (2016), Ge et al (2016), and Lau et al (2017) -see also the special issue on white metals in this journal. Indeed, in that spirit, a change in the nature of white precious metals can be observed, shifting from commodities to investment assets (Vigne et al (2017)).…”

Section: Commodity Marketsmentioning

confidence: 99%

Future directions in international financial integration research - A crowdsourced perspective

Lucey

Vigne

Ballester

et al. 2018

International Review of Financial Analysis

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This paper is the result of a crowdsourced effort to surface perspectives on the present and future direction of international finance. The authors are researchers in financial economics who attended the INFINITI 2017 conference in the University of Valencia in June 2017 and who participated in the crowdsourcing via the Overleaf platform. This paper highlights the actual state of scientific knowledge in a multitude of fields in finance and proposes different directions for future research.

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Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity

Cited by 108 publications

References 55 publications

Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe

Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe

Dynamic return and volatility spillovers among S&P 500, crude oil, and gold

Future directions in international financial integration research - A crowdsourced perspective

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