Time and frequency connectedness and network across the precious metal and stock markets: Evidence from top precious metal importers and exporters: Evidence from top precious metal importers and exporters

Xuan Vinh Vo, Sang Hoon Kang

Research output: Contribution to journalArticlepeer-review

28 Citations (Scopus)

Abstract

This paper examines the time–frequency connectedness between major precious metals markets (gold, palladium, platinum and silver) and their importer and exporter countries’ stock indices (China, Germany, Japan, Korea, UK, Australia, Bulgaria, Mexico, and Russia). We use the time-frequency domain spillover index methodology of Baruník and Křehlík (2018). The results show that the UK stock market is the largest contributor to and receipt of short-term spillovers. Gold, palladium, Chinese, Japanese, Korean, Bulgarian, Mexican, and Russian stock markets are the next receivers of spillover. German and Australian stock markets are, respectively, the largest source and receipt of spillovers in the long term. Furthermore, the spillovers in the short term are higher than their counterparts in the long term, and they are more pronounced during the global financial crisis (GFC). Precious metals contribute more to the forecasting variance for stock markets in the top precious metal exporter economies than in the top precious metal importer economies. They receive more spillovers from stock markets in the top precious metal exporters irrespective of time horizons. In addition, the spillover effects in the short term are higher than their counterparts in the long term in top precious metal exporters. Precious metals provide a better hedging effectiveness than individual equity portfolios. Finally, the hedging effectiveness is higher in the short term relative to the long term for stock markets of precious metal-exporter economies.

Original languageEnglish
Article number102054
JournalResources Policy
Volume72
DOIs
Publication statusPublished - 2021

Keywords

  • Network
  • Time-frequency connectedness
  • Top precious metal exporters
  • Top precious metal importers

ASJC Scopus subject areas

  • Economics and Econometrics
  • Law
  • Management, Monitoring, Policy and Law
  • Sociology and Political Science

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