Comparative analysis on the effects of the Asian and global financial crises on precious metal markets

摘要: Abstract The global financial crisis has vigorously struck major markets around the world, in particular developed economies since they have suffered most. However, some commodity markets, and precious metal seem to be unscathed by this downturn. This paper investigates therefore nature of volatility spillovers between returns over fifteen years (1995–2010 period) with attention being focused on these markets’ behavior during Asian crises. Daily closing values for metals are analyzed. In particular, variables under study US$/Troy ounce gold, London Free Market Platinum price ounce, Palladium once, Zurich silver US$/kg. main sample is divided into a number sub periods, prior to, after crisis. aim division provide wide deep analysis event how reacted times market instability. addition, also looks at effects from August 2007 November 2010 using GARCH EGARCH modeling. results show that there clear evidence persistence returns, characteristic shared as it been demonstrated extensively existing literature area. terms spillover effects, findings running bidirectional way periods; not affected crises, exception tends generate all other markets. little case generating any kind influence gold market. On hand, two episodes. Finally, asymmetric negative news/information stronger impact than positive news, again exhibited