Relationship between Oil Price and White Precious Metals Return: New Evidence from Quantile-on-Quantile Regression
The present study examines the effects of oil price on white precious metal returns by using quantile-on-quantile regression proposed by Sim and Zhou (2015). In this study, we mainly focus on the returns of three white precious metals, which include palladium, silver, and platinum. The study is c...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Johar Education Society
2019-06-01
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| Series: | Pakistan Journal of Commerce and Social Sciences |
| Subjects: | |
| Online Access: | http://www.jespk.net/publications/4348.pdf |
| Summary: | The present study examines the effects of oil price on white precious metal returns by
using quantile-on-quantile regression proposed by Sim and Zhou (2015). In this study, we
mainly focus on the returns of three white precious metals, which include palladium,
silver, and platinum. The study is conducted on the monthly data of crude oil price and
white precious metals from the period of January 2000 to December 2016. We use QQR
approach to capture the complete picture of the studied relationship. Unlike conventional
techniques, QQR provides the comprehensive results of the variables at distinct quantiles.
Similarly, the ARDL technique has also been used. Results reveal that the change in
global oil price increases the returns of platinum and palladium. Whereas, an insignificant
relationship has been found between the oil prices and silver returns. Results indicate that
palladium and platinum both precious metals act as a safe haven for investors. In contrast,
change in oil prices will not lead to high silver returns. Therefore, investors need to be
prudent while investing in silver. These results have important policy implications for
policymakers and investors. |
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| ISSN: | 1997-8553 2309-8619 |