On the long run relationship between gold and silver prices A note

By Cetin Ciner. 2001

198 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/212d26c9e26fe635889ff293f838b3bb036c9755

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In Economics and Econometrics

Citations in the corpus

Seasonality, risk and return in daily COMEX gold and silver data 1982–2002 (2005, unknown): “Gold’s status as an investment asset has been examined by a number of authors including Aggarwal and Soenen (1988), Johnson and Soenen (1997), Ciner (2001) and Egan and Peters (2001).”
The Financial Economics of Gold – A Survey (2015, background): “Ciner (2001) re-examines gold and silver futures contracts traded on the Tokyo commodity exchange between 1992 and 1998 and finds that no long run cointegrating relationship exists between the two indicating that the previous relationship may have been as a result of chance or may have broken down…”
The Interactions among Gold, Oil, and Stock Market: Evidence from S&P500 (2015, background): “Ciner (2001) draws attention to the impact of oil price on real stock returns, using the non-linear connection; he found that variability in the crude oil price affects the stock index returns.”
Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper (2011, unknown): “…dependence in prices (Akgiray, Booth, Hatem, & Chowdary, 1991), 56 Khalifa, Miao, and Ramchander Journal of Futures Markets DOI: 10.1002/fut investigating co-movement among different metals (Ciner, 2001), and identifying dynamic relationships between futures and spot prices (Kocagil, 1997).”
Gold and oil futures markets: Are markets efficient? (2010, unknown): “Ciner (2001) examines the longrun relationship between gold and silver prices and does not find a long-run relationship.”
Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework (2012, unknown): “…haven’ with regard to financial assets such as bonds or stocks.6 Such a question has been tackled by Sherman (1986), Jaffe (1989), Chua et al. (1990), Ciner (2001), Michaud et al. (2006), Hillier et al. (2006), McCown and Zimmerman (2006), Baur and Lucey (2010), Baur and McDermott (2010), and…”
A power GARCH examination of the gold market (2007, background): “Much research also points to the benefits of inclusion of gold holdings as leading to a more balanced portfolio (Aggarwal and Soenen, 1988; Johnson and Soenen, 1997; Ciner, 2001; Egan and Peters, 2001; Sherman, 1982; Davidson et al., 2003; Draper et al., 2006).”
Persistence of precious metal prices: A fractional integration approach with structural breaks (2014, background): “…valuable diversification opportunities to investors and serving as a monetary medium when the market is uncertain, as well as having a wide range of manufacturing and industrial applications (e.g., Arouri et al., 2012; Batten et al., 2010; Christie-David et al., 2000; Ciner, 2001; Heemskerk, 2001).”
Psychological Barriers in Gold Prices (2007, background): “In the case of gold, much research (see for example Cai et al., 2001; Ciner, 2001; Davidson, Faff, & Hillier, 2003; Escribano & Granger, 1998; Faff & Hillier, 2004) has identified factors that influence the market, notably silver returns, inflation and inflation expectations, the dollar exchange…”
Long memory and structural breaks in modeling the return and volatility dynamics of precious metals (2012, background): “The first category has been concerned with the responses of precious metal prices to changes in international institutional and macroeconomic factors (Kaufmann and Winters, 1989; Rockerbie, 1999; Christie–David et al., 2000; Heemskerk, 2001; Ciner, 2001; and Bat-ten et al. 2010 ).”
Metal volatility in presence of oil and interest rate shocks (2008, background): “Ciner (2001) finds that the stable long-run relationship between gold and silver on the Tokyo Commodity Exchange disappeared in the 1990s.”