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Which precious metals spill over on which, when and why? – Some evidence

Jonathan A. Batten, Department of Banking and Finance Monash University
Cetin Ciner Cameron School of Business University of North Carolina
Brian M Lucey School of Business and Institute for International Integration Studies (IIIS)

IIIS Discussion Paper No. 460

Much academic and investor analysis and commentary sees the four main precious metals as a single market, integrated and to some degree with each metal a substitute for the other. This proposition, which can be explicit or implicit can be challenged on economic grounds and on statistical grounds. Using the Diebold and Yilmaz (2009) methodology we show that the market is only weakly integrated, that this degree of integration is time varying and that it differs as between returns and volatility.

Keywords: Gold, Silver, Platinum, Palladium, integration
JEL Code C01, F49, G12, G15,

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Last updated 10 December 2014 by IIIS (Email).