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Volatility Spillovers On Precious Metals Markets: The Effects Of The Asian Crisis, Lucia Morales
Volatility Spillovers On Precious Metals Markets: The Effects Of The Asian Crisis, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between precious metals returns over the 1995- July 2007 period. We analyzed daily closing values for precious metals data, we took the US$/Troy ounce for gold, the London Free Market Platinum price in US$/Troy ounce, the London Free Market Palladium price in US$/Troy once, and the Zurich silver price in US$/kilogram. We divide our sample into a number of sub periods, prior to, during and after the Asian crisis, with the objective to provide a wide analysis of the behaviour of the precious metals markets during this crisis; we use GARCH and …
Do Precious Metals Markets Influence Stock Markets?, Lucia Morales
Do Precious Metals Markets Influence Stock Markets?, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between stock returns and precious metals returns for the G-7 countries over the 1995-2006 period. We divide our sample into a number of sub periods, prior to, during and after the Asian crisis, with the objective to provide a wide analysis of the behaviour of these two markets taking into account the effects of the Asian crisis; we use EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. The results show that there is no evidence of volatility persistence from stock returns to …
International Transmission Effects Of Volatility Between Financial Markets In The G-7 Since The Introduction Of The Euro, Lucia Morales
International Transmission Effects Of Volatility Between Financial Markets In The G-7 Since The Introduction Of The Euro, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates changes for the G-7 countries for the 1996-2006 period. We divide our sample into a number of sub periods, prior to and after the introduction of the Euro, we use EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. Our results show that in terms of volatility spillover effects from stock returns to exchange rates returns, there is a large degree of consistency across countries and time periods with significant spillovers found for all …