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 (C). pp. 244-252. DOI https://doi.org/10.1016/j.resourpol.2017.12.008
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 (C). pp. 244-252. DOI https://doi.org/10.1016/j.resourpol.2017.12.008
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 (C). pp. 244-252. DOI https://doi.org/10.1016/j.resourpol.2017.12.008
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 |
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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 Faculty of Science and Health > Mathematics, Statistics and Actuarial Science, School of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 26 Feb 2018 15:57 |
Last Modified: | 16 May 2024 19:12 |
URI: | http://repository.essex.ac.uk/id/eprint/21028 |
Available files
Filename: Resources Policy_Final.pdf