Document Type

Conference Paper


Available under a Creative Commons Attribution Non-Commercial Share Alike 4.0 International Licence

Publication Details

8th. International Business Researcdh Conference 27-28 March, 2008, Dubai, UAE.


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 precious metals returns, but overall the results are significant in the other way around. In terms of volatility spillovers effects, the main findings are that there is evidence of volatility spillovers running in a bidirectional way in almost all the cases. And finally, the results from asymmetric spillover effects show that negative news have a stronger impact in these financial markets than positive news.