dc.contributor.author |
Salisu, Afees A.
|
|
dc.contributor.author |
Pierdzioch, Christian
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Gabauer, David
|
|
dc.date.accessioned |
2023-05-22T04:39:30Z |
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dc.date.issued |
2022-10 |
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dc.description.abstract |
We examine the predictive value of risk perceptions as measured in terms of the gold-to-silver and gold-to-platinum price ratios for stock-market tail risks and their connectedness in eight major industrialized economies using monthly data for the period 1916:02–2020:10 and 1968:01–2020:10, where we use four variants of the popular Conditional Autoregressive Value at Risk (CAViaR) framework to estimate the tail risks for both 1% and 5% VaRs. Our findings for the short sample period show that the gold-to-silver price ratio resembles the gold-to-platinum price ratios in that it is a useful proxy for global risk. Our findings for the long sample period show, despite some heterogeneity across economies, that the gold-to-silver price ratio often helps to out-of-sample forecast for both 1% and 5% stock market tail risks, particularly when a forecaster suffers a higher loss from underestimation of tail risks than from a corresponding overestimation of the same absolute size. We also find that using the gold-to-silver price ratio for forecasting the total connectedness of stock markets is beneficial for an investor who suffers a higher loss from an underestimation of total connectedness (i.e., an investor who otherwise would overestimate the benefits from portfolio diversification) than from a comparable overestimation. |
en_US |
dc.description.department |
Economics |
en_US |
dc.description.embargo |
2024-08-09 |
|
dc.description.librarian |
hj2023 |
en_US |
dc.description.uri |
http://www.elsevier.com/locate/irfa |
en_US |
dc.identifier.citation |
Salisu, A.A., Pierdzioch, C., Gupta, R. et al. 2022, 'Forecasting stock-market tail risk and connectedness in advanced economies over a century : the role of gold-to-silver and gold-to-platinum price ratios', International Review of Financial Analysis, vol. 83, art. 102300, pp. 1-16, doi : 10.1016/j.irfa.2022.102300. |
en_US |
dc.identifier.issn |
1057-5219 (print) |
|
dc.identifier.issn |
1873-8079 (online) |
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dc.identifier.other |
10.1016/j.irfa.2022.102300 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/90761 |
|
dc.language.iso |
en |
en_US |
dc.publisher |
Elsevier |
en_US |
dc.rights |
© 2022 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in International Review of Financial Analysis, vol. 83, art. 102300, pp. 1-16, doi : 10.1016/j.irfa.2022.102300. |
en_US |
dc.subject |
Stock market |
en_US |
dc.subject |
Tail risks |
en_US |
dc.subject |
Connectedness |
en_US |
dc.subject |
Gold-to-silver price ratio |
en_US |
dc.subject |
Gold-to-platinum price ratio |
en_US |
dc.subject |
Forecasting |
en_US |
dc.subject |
Asymmetric loss |
en_US |
dc.title |
Forecasting stock-market tail risk and connectedness in advanced economies over a century : the role of gold-to-silver and gold-to-platinum price ratios |
en_US |
dc.type |
Postprint Article |
en_US |