Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets

Mensi, Walid; Rababa'a, Abdel Razzaq Al; Vo, Xuan Vinh; Kang, Sang Hoon

doi:10.1016/j.eneco.2021.105262

Cited by 159 publications

(59 citation statements)

References 98 publications

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“…Gharib et al (2021) employ a Granger causality test and report evidence of contagion between gold and oil markets during various crisis episodes, including the 2015 crash and the COVID-19 outbreak. Mensi et al (2021) examine the return spill-overs between the commodity and Chinese equity sectors using a connectedness approach. They find asymmetric return spill-overs between the commodity and Chinese equity sectors during the global financial crisis, European debt crisis, and COVID-19 outbreak.…”

Section: Literature Reviewmentioning

confidence: 99%

Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak

Yousaf

Ali

Bouri

et al. 2021

Economic Research-Ekonomska Istraživanja

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This study uses hourly data to analyse the return and volatility transmission of oil-gold and oil-Bitcoin pairs during the pre-COVID-19 and COVID-19 periods. The results show that the return transmissions vary across the two periods for both pairs. There is a unidirectional volatility spill-over from gold to oil in the pre-COVID-19 period, and from oil to gold during the COVID-19 period. There is a significant volatility spill-over from Bitcoin to oil during the pre-COVID-19 period, whereas no evidence of volatility spill-over between oil and Bitcoin is shown during the COVID-19 period. Based on optimal weights, investors should increase their investments in, (a) gold for a portfolio of oil-gold, and (b) Bitcoin for a portfolio of oil-Bitcoin during the COVID-19 period. All hedge ratios are higher during the COVID-19 period, implying a higher hedging cost compared to the pre-COVID-19 period. The results of hedging effectiveness reveal that the risk-adjusted returns can be improved by constructing a portfolio of oil-gold and oil-Bitcoin during both sample periods. Further results reveal that gold is a strong safe haven and a hedge for the oil market, while Bitcoin serves as a diversifier for the oil market during the COVID-19 period.

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Section: Literature Reviewmentioning

confidence: 99%

Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak

Yousaf

Ali

Bouri

et al. 2021

Economic Research-Ekonomska Istraživanja

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show abstract

“…Hung and Vo (2021) report the strong connectedness between oil, gold and equity markets during COVID-19 compared to the pre-pandemic period. Mensi et al (2021) investigate the asymmetric spillovers between the oil, gold and Chinese equity market and find that the negative return spillover dominates the positive return spillovers. Moreover, the connectedness between these markets varies during UFC, oil-price crash and the pandemic period.…”

Section: Literature Reviewmentioning

confidence: 99%

Linkages between gold and Latin American equity markets: portfolio implications

Yousaf

Hanif

Ali

et al. 2021

JEFAS

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PurposeThe authors aim to examine the mean and volatility linkages between the gold market and the Latin American equity markets in the entire sample period and two crises periods, namely the US financial crisis and the Chinese crash.Design/methodology/approachTo examine the return and volatility spillovers, the authors employ VAR-BEKK-GARCH model on the daily data of four emerging Latin American equity markets which include Peru, Chile, Brazil and Mexico, which ranges from January 2000 to June 2018.FindingsThe results show that the return transmissions vary across the stock markets and the crises periods. The volatility transmission is found to be bidirectional between the gold and stock markets of Brazil and Chile during the US financial crisis. Furthermore, the volatility spillover is unidirectional from Brazil to gold and from gold to Peru stock market during the Chinese crash. We also calculate the optimal weights hedge ratios for gold and stock portfolio. The result suggests that portfolio managers need to increase the weight of gold for the equity portfolios of Peru and Mexico during the US financial crisis. Furthermore, during the Chinese crisis, investors may raise the investment in gold for the equity portfolios of Brazil and Chile. Finally, the cheapest hedging strategy is CHIL/GOLD during the US financial crisis, whereas MEXI/GOLD during the Chinese crash.Practical implicationsThese findings have useful insights for portfolio diversification, asset pricing and risk management.Originality/valueThe study's outcome provides policymakers and investors with in-depth insights regarding hedging, risk management and portfolio management.

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“… Wen et al (2022) Daily data from January 2002 to Octover2020 WTI oil prices, Shanghai Composite Index, and CCFI index MODWT and vine-quantile regression model Volatility spillovers within the Chinese market are higher compared to the spillovers from oil to the Chinese domestic market. Mensi et al (2021a) Daily data from January 2005 to May 2020 10 Chinese sector stocks, WTI oil, and gold Spillover method of Diebold and Yilmaz ( Diebold and Yilmaz, 2012a , Diebold and Yilmaz, 2012b , 2014) Bad return spillovers dominate the good return spillovers. The major events (COVID-19, oil crisis, and financial crises) intensify the asymmetric spillovers and the hedging strategy.…”

Section: Literature Reviewmentioning

confidence: 99%

COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets

Mensi

Kang

2022

Economic Analysis and Policy

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Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets

Cited by 159 publications

References 98 publications

Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak

Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak

Linkages between gold and Latin American equity markets: portfolio implications

COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets

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