Article
Commodity Prices and Currency Rates: An Intraday Analysis
International Review of Accounting, Banking & Finance
(2012)
Abstract
We investigate the intraday relationship between two important pairs of commodities and currencies: gold/Australian dollar and oil/Canadian dollar. Gold (oil) and the Australian dollar (Canadian dollar) prices have been highly correlated over a long time period as widely reported by the news media. Using transactions data of exchange-traded funds from January 2008 to December 2009, we do not find evidence of Granger causal relations between commodity and currency asset returns. However, we find bi-directional volatility spillovers, indicating that there is information flow between markets. Thus, our results are consistent with market efficiency during short horizons such that information is efficiently incorporated into asset prices in both markets.
Disciplines
Publication Date
Winter 2012
Citation Information
Yiuman Tse and Lin Zhao. "Commodity Prices and Currency Rates: An Intraday Analysis" International Review of Accounting, Banking & Finance Vol. 3 Iss. 4 (2012) p. 25 - 48 Available at: http://works.bepress.com/yiuman-tse/34/