The role of macroeconomic and geopolitical news on gold returns and volatility
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.Citation
Apergis, Nicholas Hayat, Tasawar Saeed, Tareq. (2020). 'The role of macroeconomic and geopolitical news on gold returns and volatility'. Economics and Business Letters, 10(1), pp. 72-80.Publisher
Oviedo University PressJournal
Economics and Business LettersDOI
10.17811/ebl.10.1.2021.72-80Additional Links
https://reunido.uniovi.es/index.php/EBL/article/view/14904Type
ArticleLanguage
enISSN
2254-4380ae974a485f413a2113503eed53cd6c53
10.17811/ebl.10.1.2021.72-80
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