The intertemporal relation between expected returns and conditional correlations between precious metals and the stock market

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1 Citation (Scopus)

Abstract

This study explores whether conditional correlations between precious metals and stock markets impact upon expected returns on precious metals. The empirical evidence presents that there is no significant trade–off between conditional correlations and expected returns. This study reveals that the impacts of conditional correlation are dependent upon the level of the expected returns. Interestingly, high absolute values of conditional correlations lead to increases in expected returns, suggesting that the unstable cross-asset market condition is associated with the expected returns. This result is due to a safe haven property for precious metals, and the impact is stronger on silver than on gold.

Original languageEnglish
Pages (from-to)24-35
Number of pages12
JournalEconomics and Business Letters
Volume7
Issue number1
DOIs
Publication statusPublished - Mar 2018
Externally publishedYes

Keywords

  • Dynamic conditional correlation
  • Gold
  • Precious metals
  • Quantile regression
  • Silver

ASJC Scopus subject areas

  • Business and International Management
  • Economics, Econometrics and Finance(all)

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