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Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/61923
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dc.contributor.authorMensi W.-
dc.contributor.otherHernandez J.A.-
dc.contributor.otherYoon S.-M.-
dc.contributor.otherVo X.V.-
dc.contributor.otherKang S.H.-
dc.date.accessioned2021-08-20T14:48:03Z-
dc.date.available2021-08-20T14:48:03Z-
dc.date.issued2021-
dc.identifier.issn1057-5219-
dc.identifier.urihttp://digital.lib.ueh.edu.vn/handle/UEH/61923-
dc.description.abstractWe examine the volatility spillovers and hedging characteristics between four major precious metals futures (gold, palladium, platinum, and silver) and seven major currencies (Australian dollar, British pound, Canadian dollar, Chinese yuan, Euro, Japanese yen, and Swiss franc) at three time horizons (short term, intermediate term, and long term). We draw our empirical results using the index methods of Diebold and Yilmaz (2012, 2014) and Baruník and Křehlík (2018). The results show that the precious metals, except for gold, have the largest spillovers on the Australian dollar and Canadian dollar and receive the largest spillovers from these currencies for all the time horizons. In addition, with the exception of gold, the smallest spillovers from the precious metals are exerted on the Japanese yen and Chinese yuan and these currencies have the smallest spillovers to the precious metals. The Japanese yen and Chinese yuan act primarily as spillover receivers, whereas the other currencies act as both spillover transmitters and receivers in different time periods. The spillovers for most of the pairs are asymmetric for all the time horizons, are more pronounced in the short term, and noticeably increase during times of financial and economic uncertainty. Finally, adding precious metal futures contracts to currency portfolios provides diversification and hedging advantages, with hedging effectiveness higher in the short term than in the intermediate and long terms.en
dc.formatPortable Document Format (PDF)-
dc.language.isoeng-
dc.publisherElsevier Inc.-
dc.relation.ispartofInternational Review of Financial Analysis-
dc.relation.ispartofseriesVol. 74-
dc.rightsElsevier Inc.-
dc.subjectCurrenciesen
dc.subjectHedgingen
dc.subjectNetwork interconnectednessen
dc.subjectPrecious metals futuresen
dc.subjectSpilloversen
dc.titleSpillovers and connectedness between major precious metals and major currency markets: The role of frequency factoren
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1016/j.irfa.2021.101672-
ueh.JournalRankingScopus-
item.cerifentitytypePublications-
item.languageiso639-1en-
item.fulltextOnly abstracts-
item.grantfulltextnone-
item.openairetypeJournal Article-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
Appears in Collections:INTERNATIONAL PUBLICATIONS
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