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Stock Market Contagion of COVID-19 in Emerging Economies
Uddin, Gazi Salah - 2020
The purpose of this paper is to examine the connected dynamics of the affected Asian financial markets and global financial market in relation to the outbreak of the coronavirus (COVID-19) pandemic. We particularly examine the temporal dependence and connectedness of the affected markets with...
Persistent link: https://www.econbiz.de/10012837303
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Deteriorating Complexity in Gold Returns : Evidence from the Compass Rose
Batten, Jonathan A. - 2017
The compass rose pattern in financial data may indicate the presence of a nonlinear, possibly chaotic, data generating mechanism. Analysis reveals that over four equivalent subperiods, from 1996 to 2015, the compass rose pattern in gold returns fades. This feature provides an opportunity to...
Persistent link: https://www.econbiz.de/10012961792
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Stylized Facts of Intraday Precious Metal Returns
Batten, Jonathan A. - 2016
closing of major markets around the world while the BAS is at its lowest when European markets are open. We also show a …
Persistent link: https://www.econbiz.de/10012999879
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Return and Volatility Spillovers in Industrial Metals
Lucey, Brian M. - 2013
Despite their importance there is a relative dearth on spillovers within the industrial metal class. This is particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over a 20 year period, showing the evolution of volatility...
Persistent link: https://www.econbiz.de/10013071939
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Do U.S. Macroeconomic Surprises Influence Equity Returns? An Exploratory Analysis of Developed Economies
Lucey, Brian M. - 2013
Given the dominant role the U.S. economy plays in global trade, we explore how U.S. macroeconomic surprises affect stock markets in ten major developed economies as well as in China and India. We do not find strong enough evidence to conclude that US macro shocks materially and consistently...
Persistent link: https://www.econbiz.de/10013082200
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Cryptocurrency Architecture and Interaction With Market Shocks
Corbet, Shaen - 2019
Blockchain technology appears to be ready to revolutionise a broad number of industries. However, the blockchain itself contains a number of inefficiencies and areas for improvement, namely: transaction fees and transaction speeds. Directed acyclic graphs (DAGs) address, and improve on these...
Persistent link: https://www.econbiz.de/10012888905
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Are Gold Bugs Coherent?
Lucey, Brian M. - 2016
We use wavelet models to surface the relationship between gold miners stock prices and the price of gold. We find that there is little relationship in the short run but some significant and long standing long run relationships. Gold prices appear to lead gold miner stock prices
Persistent link: https://www.econbiz.de/10013000748
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Mood and Precious Metal Prices
Lucey, Brian M. - 2011
We investigate whether proxies for mood play a role in the pricing of gold, silver, platinum and palladium. Using several mood proxies derived from weather and biorhythms factors, our tests suggest some individually significant relationships, but with very low overall explanatory power. We...
Persistent link: https://www.econbiz.de/10013120744
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Is Wine a Premier CRU Investment?
Lucey, Brian M. - 2011
findings suggest that Rhone and Bordeaux wines can provide average returns in excess of risk-free investments with lower risk … at index level. Individual wines and sub-regions carry higher risk than the general indices with varying return levels … and so direct investment in such wine by inexperienced, low volume or individual investors carries a high level of risk …
Persistent link: https://www.econbiz.de/10013121140
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Gold Markets Around the World – Who Spills Over What, to Whom, When?
Lucey, Brian M. - 2014
Gold is traded worldwide, mainly in London, New York, Tokyo and Shanghai. We apply the recently developed spillover index approach of Diebold and Yilmaz (2009) to investigate the degree to which these markets are integrated, and which are net senders or recipients of information. The evidence...
Persistent link: https://www.econbiz.de/10013059471