Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices

Bouri, Elie; Jain, Anshul; Biswal, Pratap Chandra; Roubaud, David

doi:10.1016/j.resourpol.2017.03.003

Cited by 193 publications

(95 citation statements)

References 32 publications

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“…The nonlinearity and asymmetry of the interactive mechanism between oil and gold prices was also shown by using the nonlinear Granger causality test from [22]. Authors in [59] indicated the presence of cointegration relationships, a nonlinear and positive impact of the implied volatilities, and an inverse bidirectional causality between gold and oil on the implied volatility of the Indian stock market. Authors in [32] further found that the nonlinear ARDL models successfully captured the long-term linkages between oil and precious metal markets, and a bidirectional and symmetric effect presented between crude oil and gold markets using the nonlinear Granger causality test.…”

Section: Discussionmentioning

confidence: 93%

Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information

2019

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This paper investigates the linear/nonlinear long-run and short-run dynamic relationships between oil prices and two implied volatilities, oil price volatility index (OVX) and stock index options volatility index (VIX), representing panic gauges. The results show that there is a long-run equilibrium relationship between oil prices and OVX (VIX) using the linear autoregressive distributed lag (ARDL)-bounds test. Likewise, while using the nonlinear autoregressive distributed lag (NARDL)-bounds test, not only does a long-run equilibrium relationship exist, but also the rising OVX (VIX) has a greater negative influence on oil prices than the declining OVX (VIX), thus indicating that a long-run, asymmetric cointegration exists between the variables. Furthermore, OVX (VIX) oil prices have a linear Granger causality, while for the nonlinear Granger causality test, oil prices have a bidirectional relation with OVX (VIX). In addition, we find that once major international political and economic events occur, structural changes in oil prices change the behavior of oil prices, and thus panic indices, thereby switching from a linear relationship to a nonlinear one. The empirical results of this study provide market participants with more valuable information.

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Section: Discussionmentioning

confidence: 93%

Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information

2019

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“…The literature on the dynamic relations among various commodity prices and the stock market is extensive and widespread across major regions of the world. These relations have been explored for the global market (Kang, McIver, & Yoon, ; Reboredo & Ugolini, ; Sadorsky, ), cross countries (Ciner, Gurdgiev, & Lucey, ; Choudhry, Hassan, & Shabi, ; Raza, Shahzad, Tiwari, and Shahbaz (), Asia (Arouri, Lahiani, & Nguyen, ; Bouri, Jain, Biswal, & Roubaud, 2017a; Bouri, Roubaud, Jammazi, & Assaf, 2017b; Huang, An, Gao, & Huang, ; Kumar, ; Mensi, Hammoudeh, Reboredo, & Nguyen, ; Ziaei, ), Europe (Charlot & Marimoutou, ; Hoang, Lean, & Wong, ; Shahzad, Raza, Shahbaz, & Ali, ), United States (Akgül, Bildirici, & Özdemir, ; Baruník, Kočenda, & Vácha, ; Baumöhl & Lyócsa, ; Bekiros, Nguyen, Uddin, & Sjö, ; Creti, Joëts, & Mignon, ; Gokmenoglu & Fazlollahi, ; Hood & Malik, ; Mensi, Beljid, Boubaker, & Managi, ) and Australia (Bekiros, Hernandez, Hammoudeh, & Nguyen, ).…”

Section: Literature Reviewmentioning

confidence: 99%

Dependence between the global gold market and emerging stock markets (E7+1): Evidence from Granger causality using quantile and quantile‐on‐quantile regression methods

2019

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“…The reason why the relevant information of listed companies cannot be fully disclosed may be that the relevant information of listed companies has externality. Once disclosed, the unique strategic value of the information may be known to other companies in the same industry, thus losing the competitive advantage of the information [27]. At this point, the lack of information disclosure of listed companies has endogenous characteristics.…”

Section: Game Model Suitable For China's Current Marketmentioning

confidence: 99%

Research on Sustainable Development of the Stock Market Based on VIX Index

Ruan

2018

Sustainability

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The frequent occurrence of financial crises has made the dynamic linkage between international financial markets an important research topic. In the past, scholars mostly studied the correlation between financial markets directly, however ignored the impact of exogenous financial variables on financial markets. The stock market is an important part of the financial market and plays an important role in the overall economy. Information asymmetry is common and has a certain degree of impact on investors' returns. However, many scholars believe that the problem of information asymmetry in China has seriously negatively impacted investors, forming an unsustainable state. At present, there are still many problems in the Chinese stock market, especially the stock market fraud, which brings great challenges to the sustainable development of the stock market. Based on the idea of the STCC model, it is assumed that the Copula parameter is affected by the exogenous variables and the time-varying dynamic Copula model-ST-VCopula model is established. Based on the model, the influence of market volatility (VIX index) on the stock market is explored and then the stock index data of several countries are empirically analyzed. The empirical results show that the VIX index has a significant impact on the linkage between stock markets. The VIX index is easy and more intuitive to obtain, providing another way for the dynamic linkage research between the market, which can provide investors with some guidance and advice when conducting financial activities such as diversification.

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Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices

Cited by 193 publications

References 32 publications

Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information

Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information

Dependence between the global gold market and emerging stock markets (E7+1): Evidence from Granger causality using quantile and quantile‐on‐quantile regression methods

Research on Sustainable Development of the Stock Market Based on VIX Index

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