Speculative trading in the gold market

Baur, Dirk G.; Glover, Kristoffer

doi:10.1016/j.irfa.2015.02.004

Cited by 27 publications

(14 citation statements)

References 38 publications

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“…The standard deviations of gold returns are very high in all cases, around 18% per year. This confirms the high volatility of gold prices shown in previous studies (e.g., Baur and Glover, 2015;Ntantamis and Zhou, 2015). The gap between the minimal and maximal values stresses once again this high volatility.…”

Section: Data and Descriptive Statisticssupporting

confidence: 90%

Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach

2016

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This paper aims to study the role of gold as a hedge against inflation based on local monthly gold prices in China, India, Japan, France, the United Kingdom and the United States of America in periods ranging from 1955 to 2015. We extend the literature by using a novel approach with the nonlinear autoregressive distributed lags (NARDL) model (Shin et al., 2014). The main advantage of this model relies on its ability to simultaneously capture the short-and long-run asymmetries through positive and negative partial sum decompositions of changes in the independent variable(s). Moreover, we rely on local gold prices instead of those from London converted into local currencies like in most of previous studies. The results show that gold is not a hedge against inflation in the long run in all cases. In the short run, gold is an inflation hedge only in the UK, USA, and India. Furthermore, there is no long-run equilibrium between gold prices and the CPI in China, India and France. This difference may be due to traditional aspects of gold and custom controls for gold trade in these countries. Our robustness check suggests that the data time-frequency does not change the specification of the NARDL model but can change conclusions regarding the role of gold as a hedge against inflation in certain countries.

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Section: Data and Descriptive Statisticssupporting

confidence: 90%

Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach

2016

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“…In preliminary work for UNCTAD, Gilbert (2010) used the same prototype PWY test during a different sampling period -just the 2006-08 crisis -and reported no mildly explosive episodes in gold and silver, his representatives of the previous metals complex. And again using same test, but over a different sample period, Baur and Glover (2015) found evidence for mild explosivity in nominal monthly prices in gold in the decade from around 2002 that was punctuated by the 2 The results we obtained using monthly data were qualitatively the same as for weekly data but there was evidence to suggest the algorithm to detect mildly explosive periods was less accurate. Results are available from the authors on request.…”

Section: Introductionmentioning

confidence: 60%

“…4 Baur and Glover (2015) argue that mildly explosive periods can be equated with speculation and propose their own framework for defining bubbles based on heterogeneous agents. Figuerola-Ferretti et al (2015) offered a context, however, in which inelastic mine supply combined with fluctuating demand saw departures in non-ferrous metals prices from the random walk with drift model that could be explained by a standard stock-to-use-ratio fundamental.…”

Section: Introductionmentioning

confidence: 99%

The shine of precious metals around the global financial crisis

Figuerola‐Ferretti

McCrorie

2016

Journal of Empirical Finance

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We analyze the price behaviour of the main precious metals -gold, silver, platinum and palladium -before, during and in the aftermath of the 2007-08 financial crisis. Using the mildly explosive/multiple bubbles technology developed by Phillips, Shi and Yu (2015, International Economic Review 56(4), 1043-1133), we find significant, short periods of mildly explosive behaviour in the spot and futures prices of all four metals. Fewer periods are detected using exchange-rate adjusted prices, and almost none when deflated prices are used.We assess whether these findings are indicative of bubble behaviour. Convenience yield is shown to have little efficacy in this regard, while other fundamentals proxy variables and position data offer only very limited evidence against prices having been anything other than fundamentals-driven. Possible exceptions are in gold in the run-up to the highpoint of the financial crisis, and in silver and palladium around the launch of specific financial products. Some froth, however, is reported and discussed for each metal.JEL classification: C22; D84; G13

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“…As many factors have been used in modelling gold prices and determining what are the factors that drives the gold prices, Baur and Glover (2015) suggest that many previous literatures actually have failed to identify the correct factors.…”

Section: Iiianalysis and Resultsmentioning

confidence: 99%

The Gold Cliché

Zubir¹,

Ali²

2020

IJMH

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This study reports the findings from an extensive literature review on the factors that influence the prices of gold and the connections/interrelationships among global gold markets. Among other things, evidence observed from the literature review suggests that whilst there are seven main markets for gold across the world now, the prices of gold in the US and other markets do not have much impact on the prices of gold in the UK. The evidence also suggests that the impacts of the other factors like the exchange rate of the US dollar, inflation rate, interest rate, etc., on the price of gold are hard to quantify and use in a pricing model. Further, as more researches being published regarding gold factors, the newly discovered factors become intertwined with the factors that were discovered earlier by previous researches, hence complicates the explanation of gold factors.

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Speculative trading in the gold market

Cited by 27 publications

References 38 publications

Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach

Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach

The shine of precious metals around the global financial crisis

The Gold Cliché

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