Dynamic return and volatility spillovers among S&amp;P 500, crude oil, and gold

Balcılar, Mehmet; Özdemir, Zeynel Abidin; Özdemir, Hüseyin

doi:10.1002/ijfe.1782

Cited by 46 publications

(19 citation statements)

References 71 publications

(108 reference statements)

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“…More precisely, gold is a safe heaven since return spillover from other markets to gold is relatively small, and it is a net return transmitter rather than the receiver. This result supports the studies by Balcilar et al. (2021), Gkillas et al.…”

Section: Resultssupporting

confidence: 93%

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Asymmetric connectedness among S&P 500, crude oil, gold and Bitcoin

Hung

2022

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PurposeThis paper investigates the dynamic intercorrelation among cryptocurrency (Bitcoin) and conventional financial assets (gold, oil and S&P 500).Design/methodology/approachThe dynamic contemporaneous nexus has been analyzed using spillover index developed and extended by Diebold and Yilmaz (2012, 2014) and Kyrtsou-Labys (2006) nonlinear causality tests. This study is implemented using the daily data spanning from January 2013 to December 2021.FindingsFirst, using the spillover index, the authors find evidence that the S&P 500 was a net transmitter of volatility from oil and gold markets, but a net receiver of volatility from Bitcoin. Return spillovers from crude oil were transmitted first to gold, and Bitcoin markets and return spillovers from gold were transmitted to Bitcoin. Second, Kyrtsou-Labys nonlinear causality tests provide us further insights into the lead-lag interconnections among the four key considered variables from the economic perspective. Specifically, a close inspection of these empirical results, the integration of the four key assets is significant. Similarly, price fluctuation dependency among Bitcoin, stock, gold and oil markets is generally minimal, but it strengthens throughout the COVID-19 period.Originality/valueThis paper is the first study employing the spillover index Diebold-Yilmaz alongside with Kyrtsou-Labys nonlinear causality tests not only to capture the directional return spillover effects but also to highlight the potential presence of asymmetric causality relationships, nonlinear effects among assets under investigation that the previous studies have been ignored in these relations. Therefore, the main contribution of this article to the related literature in this field is significant.

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Section: Resultssupporting

confidence: 93%

“…According to their findings, most of the return and volatility relatedness is generated in the short run, while the long term plays a minor role. Balcilar et al. (2021) explore the return and volatility spillover effects between the S&P 500, crude oil and gold, and find evidence of bidirectional return and volatility spillover.…”

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric connectedness among S&P 500, crude oil, gold and Bitcoin

Hung

2022

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“…Firstly, as per our best understanding and published evidence, it is the first research that examines the return and volatility spillover between gold and LA equity markets during crisis periods, especially in the CSMC. However, literature provides the evidence of various studies that examines return/volatility transmission between world stock markets and gold (Badshah et al , 2013; Arouri et al , 2015; Gao and Zhang, 2016; Balcilar et al , 2018; Kang and Yoon, 2019; Jiang et al , 2019; Akkoc and Civcir, 2019; Adewuyi et al , 2019). Because none of the aforementioned research investigates the return/volatility relationships between gold and LA equity markets during the CSMC, therefore this study fills this literature gap.…”

Section: Introductionmentioning

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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“…Recently, a growing number of studies based on Diebold and Yilmaz's framework, ( [18,19]), focused on quantitative measures of the direction and size of spillovers; these studies have been analyzing spillovers across different asset classes, such as oil, exchange rates, stock prices, cryptocurrencies, and precious metals (see, among others, [20][21][22][23][24][25][26][27][28]).…”

Section: Literature Reviewmentioning

confidence: 99%

Commodity and Equity Markets: Volatility and Return Spillovers

Pinho

Maldonado

2022

Commodities

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The present paper provides an empirical analysis of the relationship between shocks to commodity markets and stock markets. By employing a total volatility connectedness measure, we study the relationship between shocks to oil, gold, copper, and agricultural commodity markets and emerging and developed stock markets. We conduct a connectivity analysis in the time and frequency domain to quantify market linkages using volatility spillovers over the period from 2004 to 2021. In addition, we analyze the spillovers of returns in these markets over the same period. The results suggest that both on volatility and returns spillovers, slightly more than 35% of the total variance of forecast errors is explained by shocks to markets during the period January 2004 to June 2021. We also show that, in terms of both volatility and returns, the contribution of equity market shocks to other markets is substantially more important than that of commodities; however, our analysis reveals that the total link between market returns is larger in the short run than in the long run, while in the case of volatility, the long-run frequencies concentrate the market link. Additionally, we use dynamic analysis to assess both the time evolution of total connectivity and all directional partial connectivity between markets. Our results show that both volatility and return linkages change significantly over time and that a set of events has a significant impact on them.

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Dynamic return and volatility spillovers among S&P 500, crude oil, and gold

Cited by 46 publications

References 71 publications

Asymmetric connectedness among S&P 500, crude oil, gold and Bitcoin

Asymmetric connectedness among S&P 500, crude oil, gold and Bitcoin

Linkages between gold and Latin American equity markets: portfolio implications

Commodity and Equity Markets: Volatility and Return Spillovers

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