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

Bhatia, V and Das, D and Tiwari, A and Shahbaz, M and Hasim, HBM (2018) 'Do precious metal spot prices influence each other? Evidence from a nonparametric causality-in-quantiles approach.' Resources Policy, 55. 244 - 252. ISSN 0301-4207

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Abstract

Using a quantile causality approach, we examine the causal relationship among the spot prices of precious metals (gold, silver, platinum and palladium) through mean and variance. This methodology also allows investigation of the causality among precious metals during recessions, booms and normal market states. Employing daily spot price data from April 2000 to July 2016 we found evidence of bi-directional causality in mean and variance among the prices of precious metals. Results indicate a strong causality for the middle quantiles (normal time periods). Robustness of results is also examined by employing weekly spot price data. Overall our results have significant implications for policy makers, portfolio managers and investors.

Item Type: Article
Uncontrolled Keywords: Precious metals, Causality-in-quantiles, Gold, Silver, Platinum, Palladium
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
Divisions: Faculty of Science and Health > Mathematical Sciences, Department of
Depositing User: Elements
Date Deposited: 26 Feb 2018 15:57
Last Modified: 23 Jun 2019 01:00
URI: http://repository.essex.ac.uk/id/eprint/21028

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