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Papers by Fergal O'Connor

Research paper thumbnail of Where was the Global Price of Silver Established? Evidence from London and New York (1878-1953)

Research paper thumbnail of Is gold a Sometime Safe Haven or an Always Hedge for equity investors? A Markov-Switching CAPM approach for US and UK stock indices

International Review of Financial Analysis

This paper reexamines gold's role as a tool for investors to manage their portfolio risk. We begi... more This paper reexamines gold's role as a tool for investors to manage their portfolio risk. We begin by assessing gold's average relationship to an investor's diversified equity portfolio by applying the basic Capital Asset Pricing Model (CAPM) to UK and US equity indices. Next, we apply a Markov-Switching CAPM to assess whether two distinct states exist between gold's relationship with the Market Portfolio. This approach allows the data to determine if two separate states exist and, if so, whether one state matches the definition of a Safe Haven from the literature. Using this new approach, we find that gold is consistently a Hedge, but that no distinct Safe Haven state exists between gold and UK or US stock markets.

Research paper thumbnail of Are Gold Bugs Coherent?

Research paper thumbnail of Mind the gap: Psychological barriers in gold and silver prices

Finance Research Letters, 2016

Research at York St John (RaY) is an institutional repository. It supports the principles of open... more Research at York St John (RaY) is an institutional repository. It supports the principles of open access by making the research outputs of the University available in digital form.

Research paper thumbnail of The Financial Economics of Gold A Survey

SSRN Electronic Journal, 2000

We review the literature on gold as an investment. We summarize a wide variety of literature, inc... more We review the literature on gold as an investment. We summarize a wide variety of literature, including the papers in this special issue of International Review of Financial Analysis to which this survey acts as an editorial introduction. We begin with a review of how the gold markets operate, including the under researched leasing market; we proceed to examine research on physical gold demand and supply, gold mine economics and move onto analyses of gold as an investment. Additional sections provide context on gold market efficiency, the issue of gold market bubbles, gold's relation to inflation and interest rates, and the very nascent literature on the behavioural aspects of gold.

Research paper thumbnail of Examining the Relationship between Gold Prices and Gold Mine Extraction Costs: Evidence from Country and Company Data

SSRN Electronic Journal, 2000

Research paper thumbnail of Do Bubbles Occur in Gold Prices? Evidence from Gold Lease Rates and Markov Switching Models

SSRN Electronic Journal, 2000

Do Bubbles occur in the Gold Price? An investigation of Gold Lease Rates and Markov Switching Mod... more Do Bubbles occur in the Gold Price? An investigation of Gold Lease Rates and Markov Switching Models.

Research paper thumbnail of Goldds Currency Characteristics and its Negative Relationship with the US Dollar

SSRN Electronic Journal, 2000

ABSTRACT This article examines the negative relationship between gold and the US dollar. It consi... more ABSTRACT This article examines the negative relationship between gold and the US dollar. It considers the argument that a weaker dollar makes gold cheaper, increases demand for gold, which in turn drives up the price, giving gold and the dollar their negative relationship. The conclusion is that whilst this provides an explanation of the observed reality, there may be another reason.

Research paper thumbnail of Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models

Borsa Istanbul Review, 2013

Do Bubbles occur in the Gold Price? An investigation of Gold Lease Rates and Markov Switching Mod... more Do Bubbles occur in the Gold Price? An investigation of Gold Lease Rates and Markov Switching Models.

Research paper thumbnail of Innovation capacities in advanced economies: Relative performance of small open economies

Research in International Business and Finance, 2013

Research paper thumbnail of Gold markets around the world – who spills over what, to whom, when?

Applied Economics Letters, 2014

ABSTRACT Gold is traded worldwide, mainly in London, New York, Tokyo and Shanghai. We apply the r... more ABSTRACT Gold is traded worldwide, mainly in London, New York, Tokyo and Shanghai. We apply the recently developed spillover index approach of Diebold and Yilmaz (2009) to investigate the degree to which these markets are integrated, and which are net senders or recipients of information. The evidence suggests that Shanghai remains isolated as a market both in terms of volatility and return spillovers. The strongest and most integrated pair of markets are the London Cash market and COMEX. Returns spill over more strongly than do volatilities. Spillovers show significant time variation.

Research paper thumbnail of London or New York: where and when does the gold price originate?

Applied Economics Letters, 2013

We investigate the information shares of the two main centers of gold trading, over a 25 year per... more We investigate the information shares of the two main centers of gold trading, over a 25 year period, using non overlapping 4 month windows. We find that neither London nor New York are dominant in terms of price information share, that the dominant market switches from time to time and that these switches do not appear to be very clearly linkable to macroeconomic or political events.

Research paper thumbnail of What is the Real Price of Gold and How Would We Know?

ABSTRACT We survey, very briefly, some conceptual and empirical issues that bedevil the identific... more ABSTRACT We survey, very briefly, some conceptual and empirical issues that bedevil the identification of a fundamental price for gold and consequently the identification of a real gold price.

Research paper thumbnail of Research in International Business and Finance

... Voluntary IAS 1 accounting disclosures prior to official IAS adoption: An empirical investiga... more ... Voluntary IAS 1 accounting disclosures prior to official IAS adoption: An empirical investigation of UK firms George Iatridisa,∗, Styliani Valahib a University of Thessaly, Department of Economics, 43 Korai street, Volos, Greece b Alpha Bank, 40 Stadiou street, Athens, Greece ...

Research paper thumbnail of Where was the Global Price of Silver Established? Evidence from London and New York (1878-1953)

Research paper thumbnail of Is gold a Sometime Safe Haven or an Always Hedge for equity investors? A Markov-Switching CAPM approach for US and UK stock indices

International Review of Financial Analysis

This paper reexamines gold's role as a tool for investors to manage their portfolio risk. We begi... more This paper reexamines gold's role as a tool for investors to manage their portfolio risk. We begin by assessing gold's average relationship to an investor's diversified equity portfolio by applying the basic Capital Asset Pricing Model (CAPM) to UK and US equity indices. Next, we apply a Markov-Switching CAPM to assess whether two distinct states exist between gold's relationship with the Market Portfolio. This approach allows the data to determine if two separate states exist and, if so, whether one state matches the definition of a Safe Haven from the literature. Using this new approach, we find that gold is consistently a Hedge, but that no distinct Safe Haven state exists between gold and UK or US stock markets.

Research paper thumbnail of Are Gold Bugs Coherent?

Research paper thumbnail of Mind the gap: Psychological barriers in gold and silver prices

Finance Research Letters, 2016

Research at York St John (RaY) is an institutional repository. It supports the principles of open... more Research at York St John (RaY) is an institutional repository. It supports the principles of open access by making the research outputs of the University available in digital form.

Research paper thumbnail of The Financial Economics of Gold A Survey

SSRN Electronic Journal, 2000

We review the literature on gold as an investment. We summarize a wide variety of literature, inc... more We review the literature on gold as an investment. We summarize a wide variety of literature, including the papers in this special issue of International Review of Financial Analysis to which this survey acts as an editorial introduction. We begin with a review of how the gold markets operate, including the under researched leasing market; we proceed to examine research on physical gold demand and supply, gold mine economics and move onto analyses of gold as an investment. Additional sections provide context on gold market efficiency, the issue of gold market bubbles, gold's relation to inflation and interest rates, and the very nascent literature on the behavioural aspects of gold.

Research paper thumbnail of Examining the Relationship between Gold Prices and Gold Mine Extraction Costs: Evidence from Country and Company Data

SSRN Electronic Journal, 2000

Research paper thumbnail of Do Bubbles Occur in Gold Prices? Evidence from Gold Lease Rates and Markov Switching Models

SSRN Electronic Journal, 2000

Do Bubbles occur in the Gold Price? An investigation of Gold Lease Rates and Markov Switching Mod... more Do Bubbles occur in the Gold Price? An investigation of Gold Lease Rates and Markov Switching Models.

Research paper thumbnail of Goldds Currency Characteristics and its Negative Relationship with the US Dollar

SSRN Electronic Journal, 2000

ABSTRACT This article examines the negative relationship between gold and the US dollar. It consi... more ABSTRACT This article examines the negative relationship between gold and the US dollar. It considers the argument that a weaker dollar makes gold cheaper, increases demand for gold, which in turn drives up the price, giving gold and the dollar their negative relationship. The conclusion is that whilst this provides an explanation of the observed reality, there may be another reason.

Research paper thumbnail of Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models

Borsa Istanbul Review, 2013

Do Bubbles occur in the Gold Price? An investigation of Gold Lease Rates and Markov Switching Mod... more Do Bubbles occur in the Gold Price? An investigation of Gold Lease Rates and Markov Switching Models.

Research paper thumbnail of Innovation capacities in advanced economies: Relative performance of small open economies

Research in International Business and Finance, 2013

Research paper thumbnail of Gold markets around the world – who spills over what, to whom, when?

Applied Economics Letters, 2014

ABSTRACT Gold is traded worldwide, mainly in London, New York, Tokyo and Shanghai. We apply the r... more ABSTRACT Gold is traded worldwide, mainly in London, New York, Tokyo and Shanghai. We apply the recently developed spillover index approach of Diebold and Yilmaz (2009) to investigate the degree to which these markets are integrated, and which are net senders or recipients of information. The evidence suggests that Shanghai remains isolated as a market both in terms of volatility and return spillovers. The strongest and most integrated pair of markets are the London Cash market and COMEX. Returns spill over more strongly than do volatilities. Spillovers show significant time variation.

Research paper thumbnail of London or New York: where and when does the gold price originate?

Applied Economics Letters, 2013

We investigate the information shares of the two main centers of gold trading, over a 25 year per... more We investigate the information shares of the two main centers of gold trading, over a 25 year period, using non overlapping 4 month windows. We find that neither London nor New York are dominant in terms of price information share, that the dominant market switches from time to time and that these switches do not appear to be very clearly linkable to macroeconomic or political events.

Research paper thumbnail of What is the Real Price of Gold and How Would We Know?

ABSTRACT We survey, very briefly, some conceptual and empirical issues that bedevil the identific... more ABSTRACT We survey, very briefly, some conceptual and empirical issues that bedevil the identification of a fundamental price for gold and consequently the identification of a real gold price.

Research paper thumbnail of Research in International Business and Finance

... Voluntary IAS 1 accounting disclosures prior to official IAS adoption: An empirical investiga... more ... Voluntary IAS 1 accounting disclosures prior to official IAS adoption: An empirical investigation of UK firms George Iatridisa,∗, Styliani Valahib a University of Thessaly, Department of Economics, 43 Korai street, Volos, Greece b Alpha Bank, 40 Stadiou street, Athens, Greece ...