Comparative analysis on the effects of the Asian and global financial crises on precious metal markets

贵金属 金融危机 波动性(金融) 经济 金融市场 溢出效应 货币经济学 新兴市场 黄金投资 财务 金融经济学 宏观经济学 有机化学 化学 金属
作者
Lucía Morales,Bernadette Andréosso-O’Callaghan
出处
期刊:Research in International Business and Finance [Elsevier]
卷期号:25 (2): 203-227 被引量:67
标识
DOI:10.1016/j.ribaf.2011.01.004
摘要

The global financial crisis has vigorously struck major financial markets around the world, in particular in the developed economies since they have suffered the most. However, some commodity markets, and in particular the precious metal markets, seem to be unscathed by this financial downturn. This paper investigates therefore the nature of volatility spillovers between precious metal returns over fifteen years (1995–2010 period) with the attention being focused on these markets' behavior during the Asian and the global financial crises. Daily closing values for precious metals are analyzed. In particular, the variables under study are the US$/Troy ounce for gold, the London Free Market Platinum price in US$/Troy ounce, the London Free Market Palladium price in US$/Troy once, and the Zurich silver price in US$/kg. The main sample is divided into a number of sub periods, prior to, during and after the Asian crisis. The aim of this division is to provide a wide and deep analysis of the behavior of precious metal markets during this financial event and of how these markets have reacted during times of market instability. In addition, this paper also looks at the effects of the global financial crisis from August 2007 to November 2010 using GARCH and EGARCH modeling. The main results show that there is clear evidence of volatility persistence between precious metal returns, a characteristic that is shared with financial market behavior as it has been demonstrated extensively by the existing literature in the area. In terms of volatility spillover effects, the main findings evidence volatility spillovers running in a bidirectional way during the periods; markets are not affected by the crises, with the exception of gold, that tends to generate effects in all other metal markets. However, there is little evidence in the case of the other precious metals generating any kind of influence on the gold market. On the other hand, there is little evidence of spillover effects during the two crisis episodes. Finally, the results from asymmetric spillover effects show that negative news/information have a stronger impact in these markets than positive news, again a characteristic that has been also exhibited by financial markets.
最长约 10秒,即可获得该文献文件

科研通智能强力驱动
Strongly Powered by AbleSci AI
更新
大幅提高文件上传限制,最高150M (2024-4-1)

科研通是完全免费的文献互助平台,具备全网最快的应助速度,最高的求助完成率。 对每一个文献求助,科研通都将尽心尽力,给求助人一个满意的交代。
实时播报
锦墨人生发布了新的文献求助10
2秒前
3秒前
5秒前
5秒前
笑看嫣红染半山完成签到,获得积分10
6秒前
7秒前
9秒前
OctRyer发布了新的文献求助10
9秒前
月亮发布了新的文献求助10
9秒前
科目三应助科研通管家采纳,获得10
10秒前
Akim应助科研通管家采纳,获得10
10秒前
所所应助锦墨人生采纳,获得30
10秒前
脑洞疼应助科研通管家采纳,获得10
11秒前
搜集达人应助科研通管家采纳,获得10
11秒前
深情安青应助科研通管家采纳,获得10
11秒前
CipherSage应助科研通管家采纳,获得10
11秒前
Hello应助科研通管家采纳,获得10
11秒前
子车茗应助科研通管家采纳,获得20
11秒前
韩同刚发布了新的文献求助30
11秒前
13秒前
13秒前
MOMO完成签到,获得积分10
13秒前
15秒前
田様应助ws采纳,获得10
16秒前
小赵发布了新的文献求助10
17秒前
小杜老师发布了新的文献求助10
21秒前
希望天下0贩的0应助123采纳,获得10
23秒前
Lucas应助韩同刚采纳,获得30
23秒前
24秒前
顾矜应助豪123456采纳,获得10
27秒前
Ava应助lili采纳,获得10
30秒前
30秒前
大模型应助安静的芝麻采纳,获得10
31秒前
35秒前
Lucky发布了新的文献求助10
37秒前
单纯的手机完成签到,获得积分10
38秒前
39秒前
劲秉应助Eunhyo采纳,获得10
40秒前
cfsyyfujia完成签到,获得积分10
41秒前
霸气阁发布了新的文献求助10
44秒前
高分求助中
Production Logging: Theoretical and Interpretive Elements 2000
Very-high-order BVD Schemes Using β-variable THINC Method 1200
BIOLOGY OF NON-CHORDATES 1000
进口的时尚——14世纪东方丝绸与意大利艺术 Imported Fashion:Oriental Silks and Italian Arts in the 14th Century 800
Autoregulatory progressive resistance exercise: linear versus a velocity-based flexible model 550
Zeitschrift für Orient-Archäologie 500
The Collected Works of Jeremy Bentham: Rights, Representation, and Reform: Nonsense upon Stilts and Other Writings on the French Revolution 320
热门求助领域 (近24小时)
化学 医学 生物 材料科学 工程类 有机化学 生物化学 物理 内科学 纳米技术 计算机科学 化学工程 复合材料 基因 遗传学 物理化学 催化作用 细胞生物学 免疫学 冶金
热门帖子
关注 科研通微信公众号,转发送积分 3352554
求助须知:如何正确求助?哪些是违规求助? 2977585
关于积分的说明 8680457
捐赠科研通 2658549
什么是DOI,文献DOI怎么找? 1455863
科研通“疑难数据库(出版商)”最低求助积分说明 674141
邀请新用户注册赠送积分活动 664693