The role of macroeconomic and geopolitical news on gold returns and volatility

Authors

  • Nicholas Apergis University of Derby
  • Tasawar Hayat King Abdulaziz University
  • Tareq Saeed King Abdulaziz University

DOI:

https://doi.org/10.17811/ebl.10.1.2021.72-80

Abstract

The goal of this paper is to explore the simultaneous role of macroeconomic and geopolitical news in gold returns and its associated volatility. The analysis uses sentiment scores for certain macroeconomic and geopolitical global news, along with a GARCH modelling approach. The findings document that both types of news substantially impact gold returns and their associated volatility, with geopolitical news having a stronger impact.

Author Biographies

Nicholas Apergis, University of Derby

Professor of Economics

Business School, Law and Social Sciences

Tasawar Hayat, King Abdulaziz University

Economics, Professor of Economics

Tareq Saeed, King Abdulaziz University

Economics, Professor of Economics

References

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O'Connor, F.A., Lucey, B.M., Batten, J.A., and Baur, D.G. (2015) The Financial Economics of Gold-A Survey, International Review of Financial Analysis, 41(2), 186-205.

Peress, J. (2014) The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes, The Journal of Finance, 69(12), 2007-2043.

Soo, C.K. (2013) Quantifying Animal Spirits: News Media and Sentiment in the Housing Market, Working Paper, No. 1200, Michigan Ross School of Business.

Tetlock, P.C. (2007) Giving Content to Investor Sentiment: The Role of Media in the Stock Market, The Journal of Finance, 62(8), 1139-1168.

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Published

21-02-2021

How to Cite

Apergis, N., Hayat, T., & Saeed, T. (2021). The role of macroeconomic and geopolitical news on gold returns and volatility. Economics and Business Letters, 10(1), 72–80. https://doi.org/10.17811/ebl.10.1.2021.72-80

Issue

Vol. 10 No. 1 (2021): March

Section

Articles

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