Do Precious Metals Shine? An Investment Perspective

Hillier, David; Draper, Paul; Faff, Robert W.

doi:10.2469/faj.v62.n2.4085

Cited by 411 publications

(192 citation statements)

References 12 publications

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“…This combination makes gold a very attractive investment opportunity. Likewise, Hillier et al, 2006 find that any financial portfolio containing a moderate weighting of gold tends to outperform those comprised only of financial assets.…”

Section: The Stock-gold Relationshipmentioning

confidence: 99%

Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission

Flavin

Morley

Panopoulou

2014

Journal of International Financial Markets, Institutions and Mo

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a b s t r a c tOur analysis takes the perspective of an equity fund manager who seeks a potential safe haven asset to protect her portfolio during market downturns. We employ a regime-switching framework, within which we separate common and idiosyncratic shocks, to assess the suitability of gold, 10-year and 1-year U.S. Treasury bonds. We find evidence in favour of choosing either gold or the longer-dated bond as our safe haven asset. Both deliver risk reduction benefits as equity markets plunge. In contrast, the 1-year bond is not suitable as its vulnerability to contagious idiosyncratic shocks more than offsets its ability to hedge against common risk factors.

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Section: The Stock-gold Relationshipmentioning

confidence: 99%

Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission

Flavin

Morley

Panopoulou

2014

Journal of International Financial Markets, Institutions and Mo

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“…The resilience of precious metals (with a particular emphasis on gold, silver, platinum and palladium) markets to financial crises has been recently accentuated also by academic scholars, including Lucey and Li (2015), Batten et al (2015), Baur and Lucey (2010), Baur and McDermott (2010), Ciner et al (2013) and Agyei-Ampomah et al (2014). Hillier et al (2006) and Belousova and Dorfleitner (2012) show that the inclusion of precious metals in an equity portfolio can reduce systematic risk of investment and accrue diversification benefits, particularly in periods of elevated equity market volatility.…”

Section: Introductionmentioning

confidence: 99%

“…Platinum is extracted together with other metals, especially palladium. Demand for platinum arises from the construction of catalytic converters for automobiles, which overshadows private investment in platinum (10% of the total amount demanded) (Hillier et al, 2006). Similarly to platinum, palladium is mainly used for making auto-catalyst converters and hybrid integrated circuits, with more than 50% of global production consumed by the automobile industry (Chng, 2009).…”

Section: Introductionmentioning

confidence: 99%

“…Specifically, due to the investment demand (36% of total demand) and demand for official reserves (12%), gold is predominantly a monetary asset (Lucey and Li, 2015). 2 Demand for silver comprises industrial (40%), jewelry (45%) and financial investment (11%) components (Hillier et al 2006). Platinum is extracted together with other metals, especially palladium.…”

Section: Introductionmentioning

confidence: 99%

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Dynamic spillovers between commodity and currency markets

Antonakakis

Kizys

2015

International Review of Financial Analysis

208

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In this study, we examine the dynamic link between returns and volatility of commodities and currency markets. Based on weekly data over the period from January 6, 1987 to July 22, 2014, we find the following empirical regularities. First, our results suggest that the information contents of gold, silver, platinum, and the CHF/USD and GBP/USD exchange rates can help improve forecast accuracy of returns and volatilities of palladium, crude oil and the EUR/CHF and GBP/USD exchange rates. Second, gold (CHF/USD) is the dominant commodity (currency) transmitter of return and volatility spillovers to the remaining assets in our model. Third, the analysis of dynamic spillovers shows time-and event-specific patterns. For instance, the dynamic spillover effects originating in gold and silver (platinum) returns and volatility intensified (degraded) in the period marked by the global financial crisis. After the global financial crisis, the net transmitting role of gold and silver (platinum) returns shocks weakened (strengthened), while the net transmitting role of gold, silver and platinum volatility shocks remained relatively high. Overall, our findings reveal that, while the static analysis clearly classifies the aforementioned variables into net transmitters and net receivers, the dynamic analysis denotes episodes wherein the role of transmitters and receivers of return (volatility) spillovers can be interrupted or even reversed. Hence, even if certain commonalities prevail in each identified category of commodities, such commonalities are time-and event-dependent.

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“…Precious metals in general are widely studied, including silver, palladium, platinum and copper mostly. McKenzie et al (2001) evidence no asymmetric effects on the returns of precious metals, while Hillier et al (2006) document that precious metals are strong hedges at times of adverse market conditions. Likewise the studies of Conover et al (2009), Riley (2010, Hammoudeh et al (2011) highlight the advantages of precious metals in improving portfolio performance.…”

Section: Literature Reviewmentioning

confidence: 99%

Volatility Modeling and Forecasting of Istanbul Gold Exchange (IGE)

Gencer¹,

Musoglu²

2014

International Journal of Financial Research

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In this study, we model the volatility dynamics of Istanbul Gold Exchange with several GARCH models, which incorporate asymmetry and long-range dependence in the conditional volatility. We use daily spot prices of the gold exchange from January 4, 2006 to November 20, 2013. In addition, forecasting performances of the models are evaluated based on three commonly used measures. We examine the out-of-sample predictions for 1, 5 and 20-days ahead as the portfolio managers usually focus on longer horizons (20-days) as well as relatively short horizons (1 and 5-days ahead). The forecasting results point out the superior performance of EGARCH and CGARCH models. Hence our results provide useful information for investors and portfolio managers to consider asymmetric reactions to the news and long-range dependence property of the gold market in Turkey.

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Do Precious Metals Shine? An Investment Perspective

Cited by 411 publications

References 12 publications

Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission

Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission

Dynamic spillovers between commodity and currency markets

Volatility Modeling and Forecasting of Istanbul Gold Exchange (IGE)

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