Large scale asset purchases impact on Gold Return: evidence from the United States / Agnes Lecsoin Philip

Philip, Agnes Lecsoin (2016) Large scale asset purchases impact on Gold Return: evidence from the United States / Agnes Lecsoin Philip. [Student Project] (Submitted)

Abstract

The study examine the influence of series of Large Scale Asset Purchases announcement together with other fundamental (interest rate and currency exchange rate) and behavioral (volatility index) on gold return in the United States in the theoretical lenses of behavioral–Arbitrage Pricing Theory model. The gold return relationships with those explanatory variables are investigated using both Ordinary Least Square and Quantile Regression to uncover both static and dynamic relationship. As expected the Ordinary Least Square and Quantile Regression revealed different conclusion. Collectively, Ordinary Least Square regression results do not provide conclusive opinion. On the other hand, the Quantile Regression provides conclusive opinion that the Large Scale Asset Purchases is positively significant in lower quantile and negatively significant in upper quantile. This result provides new evidence on the heterogeneous role of Large Scale Asset Purchases on gold return. This is consistence with prospect theory of theoretical perspective.

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Item Type: Student Project
Creators:
Creators
Email / ID Num.
Philip, Agnes Lecsoin
2014470164
Contributors:
Contribution
Name
Email / ID Num.
Advisor
Tuyon, Jasman
jasma402@uitm.edu.my
Contributor
Bujang, Prof. Madya Dr. Imbarine
imbar074@uitm.edu.my
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation
Divisions: Universiti Teknologi MARA, Sabah > Kota Kinabalu Campus > Faculty of Business and Management
Programme: Bachelor of Business Administration (Hons) Finance
Keywords: Interest rate; Currency exchange rate; Volatility index
Date: 2016
URI: https://ir.uitm.edu.my/id/eprint/112077
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