An investigation into the dynamic relationship between gold, silver and oil: an intra-day analysis

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aut.embargoNoen_NZ
aut.thirdpc.containsNoen_NZ
aut.thirdpc.permissionNoen_NZ
aut.thirdpc.removedNoen_NZ
dc.contributor.advisorFrijns, Bart
dc.contributor.advisorTourani-Rad, Alireza
dc.contributor.authorStanford, Den
dc.date.accessioned2013-09-19T20:58:13Z
dc.date.available2013-09-19T20:58:13Z
dc.date.copyright2013
dc.date.created2013
dc.date.issued2013
dc.date.updated2013-09-19T09:22:41Z
dc.description.abstractIn this research, the long-run relationships between gold, silver and oil were studied using cointegration analysis. Their dynamic cointegration was also examined. Despite economic recession and crises, cointegration did not disappear, and the strength of dynamic cointegration rose and fell. Price leadership was also investigated by studying impulse response functions. It was found that in periods of weak or no cointegration, gold was led by silver (to a greater extent) and oil (to a lesser extent). It appears that in the periods when there is cointegration, gold is led by silver and oil, and oil is led by silver. The magnitude of responses may appear small, however, they are high in frequency, and low levels of impulse response functions may still be economically significant. Determinants of long-run relationships were also studied by analysing the impact of the stock and bond markets’ returns and volatility on gold, silver and oil cointegration strength. It appears that both markets impact the commodities. Cointegration strength between gold and silver, gold and oil, and silver and oil falls during periods of crisis, recession and market turbulence in the stock and bond markets. Economic recovery was not found to have any impact on cointegration strength between the commodities. This could mean that commodities’ price relationships are unaffected by the stock and bond markets during recovery periods, and are probably explained by other factors. It is also possible that although the economy seemed to be growing, this was a period of uncertainty with no real trends, in which case there are no meaningful results of the regression.en_NZ
dc.identifier.urihttps://hdl.handle.net/10292/5692
dc.language.isoenen_NZ
dc.publisherAuckland University of Technology
dc.rights.accessrightsOpenAccess
dc.subjectCointegrationen_NZ
dc.subjectDynamic Cointegrationen_NZ
dc.subjectGolden_NZ
dc.subjectSilveren_NZ
dc.subjectOilen_NZ
dc.subjectHigh-frequency Dataen_NZ
dc.subjectIntradayen_NZ
dc.subjectVector Error Correction Modellingen_NZ
dc.subjectVector Error Correction Modelen_NZ
dc.subjectVECMen_NZ
dc.subjectVector Auto Regressionen_NZ
dc.subjectVARen_NZ
dc.subjectImpulse Response Functionsen_NZ
dc.subjectJohansen-Juselius Techniqueen_NZ
dc.subjectLong-run Relationshipen_NZ
dc.subjectFuturesen_NZ
dc.subjectS&P 500en_NZ
dc.subjectBarclays Global Aggregate Bond Indexen_NZ
dc.subjectPrice Leadershipen_NZ
dc.subjectRegression Analysisen_NZ
dc.subjectError Correction Modelen_NZ
dc.subjectECMen_NZ
dc.subjectStocken_NZ
dc.subjectBonden_NZ
dc.titleAn investigation into the dynamic relationship between gold, silver and oil: an intra-day analysisen_NZ
dc.typeThesis
thesis.degree.discipline
thesis.degree.grantorAuckland University of Technology
thesis.degree.levelMasters Dissertations
thesis.degree.nameMaster of Businessen_NZ
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