Can Precious Metals hedge the Risks of Sino-US Political Relation?: Evidence from Toda-Yamamoto Granger Causality Test in Quantiles

Yifei Cai; Hao-Wen Chang; Feiyun Xiang; Tsangyao Chang

doi:10.1016/j.frl.2023.104327

Can Precious Metals hedge the Risks of Sino-US Political Relation? Evidence from Toda-Yamamoto Granger Causality Test in Quantiles

Yifei Cai
, Hao-Wen Chang
, Feiyun Xiang
, Tsangyao Chang

Research output: Contribution to journal › Article › peer-review

Abstract

By using a novel Granger causality test in quantiles, this study first confirms the hedging role of precious metals (i.e., gold, platinum and silver) to Sino-US political relation risks. The causality is found to be quantile-varied. Important policy implications are provided to investors, arbitrageurs, and funding managers.

Original language	English
Article number	104327
Journal	Finance Research Letters
Early online date	15 Aug 2023
DOIs	https://doi.org/10.1016/j.frl.2023.104327
Publication status	E-pub ahead of print - 15 Aug 2023
Externally published	Yes

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title = "Can Precious Metals hedge the Risks of Sino-US Political Relation?: Evidence from Toda-Yamamoto Granger Causality Test in Quantiles",

abstract = "By using a novel Granger causality test in quantiles, this study first confirms the hedging role of precious metals (i.e., gold, platinum and silver) to Sino-US political relation risks. The causality is found to be quantile-varied. Important policy implications are provided to investors, arbitrageurs, and funding managers.",

author = "Yifei Cai and Hao-Wen Chang and Feiyun Xiang and Tsangyao Chang",

year = "2023",

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doi = "10.1016/j.frl.2023.104327",

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AU - Cai, Yifei

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AU - Xiang, Feiyun

AU - Chang, Tsangyao

PY - 2023/8/15

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N2 - By using a novel Granger causality test in quantiles, this study first confirms the hedging role of precious metals (i.e., gold, platinum and silver) to Sino-US political relation risks. The causality is found to be quantile-varied. Important policy implications are provided to investors, arbitrageurs, and funding managers.

AB - By using a novel Granger causality test in quantiles, this study first confirms the hedging role of precious metals (i.e., gold, platinum and silver) to Sino-US political relation risks. The causality is found to be quantile-varied. Important policy implications are provided to investors, arbitrageurs, and funding managers.

U2 - 10.1016/j.frl.2023.104327

DO - 10.1016/j.frl.2023.104327

M3 - Article

SN - 1544-6123

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 104327

ER -

Can Precious Metals hedge the Risks of Sino-US Political Relation? Evidence from Toda-Yamamoto Granger Causality Test in Quantiles

Abstract

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