Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak

Hung, Ngo Thai; Vo, Xuan Vinh

doi:10.1016/j.irfa.2021.101730

Cited by 156 publications

(63 citation statements)

References 46 publications

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“…The WTI serves as a globally recognized benchmark for pricing all processed crude oil products.The S&P 500 is a stock index based on the 500 important listed companies in the United States which have a strong influence in the global stock market. Choosing the COMEX gold futures price, WTI oil price and the S&P 500 index are referring to the existing literature ( Hung & Vo, 2021 ; Klein et al, 2018 ; Śmiech & Papież, 2017 ). The data are collected from a wind database.…”

Section: Data and Descriptive Statisticsmentioning

confidence: 99%

Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

Wen

Ren

2022

International Review of Financial Analysis

126

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Section: Data and Descriptive Statisticsmentioning

confidence: 99%

Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

Wen

Ren

2022

International Review of Financial Analysis

126

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“…In contrast to Akhtaruzzaman et al [38] and Yu et al [85], our results do not make any attributions to financial contagion emanating from the COVID-19 pandemic. However, a long lifespan of the pandemic may have lasting effects on the global financial markets [86].…”

Section: Conclusion and Recommendationsmentioning

confidence: 99%

COVID-19 as Information Transmitter to Global Equity Markets: Evidence from CEEMDAN-Based Transfer Entropy Approach

Owusu

Frimpong

Adam

et al. 2021

Mathematical Problems in Engineering

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This study provides an analysis of chaotic information transmission from the COVID-19 pandemic to global equity markets in a novel denoised frequency domain entropy framework. The current length of the pandemic data offers the opportunity to examine its role in the asymmetric behaviour patterns of investors according to time horizons and the diversification potentials available to them. We employ the total daily global confirmed cases of COVID-19 and 27 equity indices from December 31, 2019, to April 18, 2021. Our results corroborate the idea that diversification potentials are stronger in the short to medium term. The Global Index (higher risk) and Canada and New Zealand (lower risk) remain at both ends to pair some other equities to offer diversification prospects because of the transmission of information from COVID-19 to the selected equity markets. In addition, we provide the source of these diversification prospects as information flow rather than transmission of shocks, which is common in the literature. Furthermore, our results suggest detailed levels of risk (lower vis-à-vis higher) in the situation where they have been stripped of the noise in the market. The findings allow both investors and policymakers to make informed decisions based on the time horizons since the pandemic communicates different chaotic information with the lapse of time. This is imperative to avoid the negative consequences of the increasing infection rate on global stock markets.

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“…Furthermore, the influence of COVID-19 on the instability of the oil and bond markets was greater than that of the 2008 global financial crisis. Vo & Hung ( 2021 ) investigated the spillover effects and time–frequency connectedness between crude oil prices, gold assets, and the S&P 500. Their results shed light on a comparison to the time before COVID-19, and return transmissions are more evident during the COVID-19 crisis.…”

Section: Related Literaturementioning

confidence: 99%

Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries

Khalfaoui¹,

Solarin

Al-Qadasi

et al. 2022

Ann Oper Res

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In this study we examine the time-varying causal effect of the novel COVID-19 pandemic in the major oil-importing and oil-exporting countries on the oil price changes, stock market volatilities and the economic uncertainty using the wavelet coherence and network analysis. During the period of the pandemic, we explore such relationship by resorting to the wavelet coherence and gaussian graphical model (GGM) frameworks. Wavelet analysis enables us to measure the dynamics of the causal effect of the novel covid-19 pandemic in the time–frequency space. Regarding the findings displayed herein, we first found that the COVID-19 pandemic has a severe influence on oil prices, stock market indices, and the economic uncertainty. Second the intensity of the causality effect is stronger in the longer horizon than in the short ones, suggesting that the causality exercise continues. Our findings also provide evidence that the COVID-19 pandemic and oil price changes in oil-importing countries mirror those in oil-exporting countries and vice versa. Further, the COVID-19 pandemic has a profound immediate time–frequency effect on the US, Japanese, South Korean, Indian, and Canadian economic uncertainties. A better understanding of oil and stock market prices in the oil-importing and oil-exporting countries is vital for investors and policymakers, specially since the novel unprecedented COVID-19 crisis has been recognized among the most serious ever happened. Thus, the findings suggest that the authorities should strongly take efficient actions to minimize risk.

show abstract

Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak

Cited by 156 publications

References 46 publications

Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

COVID-19 as Information Transmitter to Global Equity Markets: Evidence from CEEMDAN-Based Transfer Entropy Approach

Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries

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