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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
examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency of gold …, volatility, volume and bid-ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and … bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples …
Persistent link: https://www.econbiz.de/10012999879
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Return and Volatility Spillovers in Industrial Metals
Lucey, Brian M. - 2013
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 spillovers and identifying the source of same …
Persistent link: https://www.econbiz.de/10013071939
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Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates
Ciner, Cetin; Gurdgiev, Constantin; Lucey, Brian M. - In: International Review of Financial Analysis 29 (2013) C, pp. 202-211
In this paper we investigate the return relations between major asset classes using data from both the US and the UK. Our first objective is to examine time variation in conditional correlations to determine when these variables act as a hedge against each other. Secondly, we provide evidence on...
Persistent link: https://www.econbiz.de/10010741735
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Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models
Lucey, Brian M.; Fergal A. O’Connor - In: Borsa Istanbul Review 13 (2013) 3, pp. 53-63
We assess whether two classes of bubbles occur in the spot price of gold, rational speculative and periodically bursting bubbles, using gold’s lease rates for the first time in the literature as a measure of its fundamental value. This question is of particular significance as these are the...
Persistent link: https://www.econbiz.de/10010743411
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Return and Volatility Spillovers in Industrial Metals
Lucey, Brian M. - Institute for International Integration Studies (IIIS), … - 2014
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 spillovers and identifying the source of same. …
Persistent link: https://www.econbiz.de/10011097627
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Which Precious Metals Spill Over on Which, When and Why? – Some Evidence.
Batten, Jonathan A.; Ciner, Cetin; Lucey, Brian M. - Institute for International Integration Studies (IIIS), … - 2014
volatility. …
Persistent link: https://www.econbiz.de/10011097628
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Examining the Interrelatedness of NFT’s, DeFi Tokens and Cryptocurrencies
Karim, Sitara; Lucey, Brian M.; Naeem, Muhammad Abubakr; … - 2021
The high volatility of the blockchain markets has driven the attention of investors and market participants to …-chain markets using the quantile connectedness technique at the median›, extreme low, and extreme high volatility conditions. We …
Persistent link: https://www.econbiz.de/10014351709
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Weather, Biorhythms and Stock Returns - Some Preliminary Irish Evidence
Lucey, Brian M. - 2009
We investigate whether there exists a relationship between eight proxy variables for investor mood (based on the weather, biorhythms, and beliefs) and daily Irish stock returns over the period 1988 to 2001. Our study is motivated by recent research which argues that people's decisions are...
Persistent link: https://www.econbiz.de/10012767624
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The Role of Feelings in Investor Decision-Making
Dowling, Michael M. - 2009
This paper surveys the research on the influence of investor feelings on equity pricing, and also develops a theoretical basis with which to understand the emerging findings of this area. The theoretical basis is developed by reference to research in the fields of economic psychology and...
Persistent link: https://www.econbiz.de/10012767625