Are Spillover Effects Between Oil and Gold Prices Asymmetric? Evidence From the COVID-19 Pandemic

Abstract

Our research explores how the COVID-19 pandemic has influenced the asymmetric spillover effects in the oil and gold markets. Through a VAR(p)-BEKK-AGARCH(1,1) model fitted to daily gold and oil price data, 1) we find evidence of spillover only from the oil to the gold market and that this effect is stronger during the pandemic and 2) we conclude that a negative information shock in the oil market has a larger impact on gold return volatility compared to a positive shock and that this asymmetric spillover effect intensified during the pandemic.

Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data

“…In current era of COVID 19 pandemic, the studies primarily focused on the spillover effects between different commodities markets as well as the role of different metals playing as hedgers or safe haven in this era of global pandemic. For example, Huang and Wu (2021) explored the role of COVID-19 pandemic in influencing the asymmetric spillover impacts in the gold and oil markets. The findings obtained through BEKK-AGARCH model provided the evidence for spillover effect from the oil market to the gold market that was comparatively stronger over the pandemic period.…”

Dynamic spillover between crude oil, gold, and Chinese stock market sectors –analysis of spillovers during financial crisis data during the last two decades

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Public attention, oil and gold markets during the COVID-19: Evidence from time-frequency analysis

“… Gharib et al (2021) reveal that bubbles in the oil and gold markets had a bidirectional contagion effect during the COVID-19 pandemic. Huang and Wu (2021) find that spillover from the oil market to the gold market occurs more frequently during pandemics. Farid et al (2021) observe a rise in volatility correlations across multiple asset classes, including oil, gold, silver, and natural gas, during the COVID-19 outbreak.…”