TY - JOUR
T1 - Time-varying volatility spillovers between stock and precious metal markets with portfolio implications
AU - Mensi, Walid
AU - Al-Yahyaee, Khamis Hamed
AU - Hoon Kang, Sang
N1 - Publisher Copyright:
© 2017 Elsevier Ltd
PY - 2017/9
Y1 - 2017/9
N2 - This paper investigates the time-varying risk spillovers between precious metals (gold, silver, palladium, and platinum) and major stock markets (USA, Japan, Europe and Asia) using the spillover index of Diebold and Yilmaz (2012). We also analyze asset allocations, hedge ratios, and hedging strategies. The results show evidence of volatility spillovers between precious metal and stock markets. Further, all the stock markets (except for Japanese market) are a source of volatility spillovers and the four precious metal markets are net receipt of volatility spillovers during the Global Financial Crisis and European Sovereign Debt Crisis. Finally, we find evidence of cross-market hedging, asset allocation, and hedging effectiveness.
AB - This paper investigates the time-varying risk spillovers between precious metals (gold, silver, palladium, and platinum) and major stock markets (USA, Japan, Europe and Asia) using the spillover index of Diebold and Yilmaz (2012). We also analyze asset allocations, hedge ratios, and hedging strategies. The results show evidence of volatility spillovers between precious metal and stock markets. Further, all the stock markets (except for Japanese market) are a source of volatility spillovers and the four precious metal markets are net receipt of volatility spillovers during the Global Financial Crisis and European Sovereign Debt Crisis. Finally, we find evidence of cross-market hedging, asset allocation, and hedging effectiveness.
KW - Hedging
KW - Precious metal
KW - Stock markets
KW - Volatility spillovers
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U2 - 10.1016/j.resourpol.2017.06.001
DO - 10.1016/j.resourpol.2017.06.001
M3 - Article
AN - SCOPUS:85020623021
SN - 0301-4207
VL - 53
SP - 88
EP - 102
JO - Resources Policy
JF - Resources Policy
ER -