Gold and Silver Price Volatility Macro and Micro Approach
Citation:
Zhaf, Marjan, Gold and silver price volatility macro and micro approach, Trinity College Dublin.School of Business, 2021Download Item:
Abstract:
Is there any volatility spillover from key macroeconomic variables towards the price returns in gold and silver markets?
What is the stylized fact between return and volatility of the auctions in gold and silver markets?
This doctoral thesis makes several contributions to the literature of economics and finance in general and the financial implications of gold and silver in particular by focusing on three distinct studies which are motivated by the wide-ranging literature.
The first finding offers insight into volatility transmission from the US macroeconomic factors to the price volatility of gold and silver. Having a couple of key selected variables such as monetary factors, financial market indices, and variables indicating business cycles in the US economy with a combination of sophisticated models, reasonable economic evidence exhibits the strength of volatility contagious from the monetary variables to the gold market in the total period and most sub-samples, while financial factors are more effective during the financial crises. Unsurprisingly, the key macroeconomic variables show a lack of capability to shift their volatility to the silver market during the period of study. Because this precious metal is more affected by gold and its supply and demand.
The second question of this thesis is about the relationship between return and volatility of gold and silver auctions in the London Bullion Market Association (LBMA) for all trading sessions of morning and afternoon markets. This research provides the first study about the dynamic of intraday stylized facts in the auction markets of these two precious metals in literature.
The causal relationships between two fundamental variables tested by different linear and non-linear methods exhibit disengagement of returns from volatilities in the auction market. However, the micro-analysis of gold and silver auction prices indicates some kind of causality relationship between classical variables such as price, bid volume, ask volume, round numbers, and the number of participants in the gold (silver) auctions.
The final study attempts to realize the time-varying dependency between gold (morning and afternoon individually) and silver auction returns in the London Bullion Market Association (LBMA). The empirical results reveal episodes of short-time and long-time association for the spread returns of gold and silver auctions by applying a clean and sophisticated methodology through different tests. The outcomes illustrate a more long-run relationship for the gold afternoon and silver markets rather than the gold morning and silver sessions, which leads to the best holding time of 20-day channeling through trading scenarios.
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The London Bullion Market Association
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APPROVED
Author: Zhaf, Marjan
Advisor:
Lucey, BrianPublisher:
Trinity College Dublin. School of Business. Discipline of Business & Administrative StudiesType of material:
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