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The role of macroeconomic and geopolitical news on gold returns and volatility
Journal article   Open access  Peer reviewed

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

Nicholas Apergis, Tasawar Hayat and Tareq Saeed
Economics and business letters, Vol.10(1), pp.72-80
2021

Abstract

Business & Economics Economics Social Sciences
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.
url
https://doi.org/10.17811/ebl.10.1.2021.72-80View
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