Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle

Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-19

“…According to International Energy Agency (IEA) crude oil, coal and natural gas are the three largest energy sources. In this spirit, a significant thread of literature has centered on the crude oil and natural gas markets to document the relationship between energies and stock markets (e.g., Arouri et al, 2012 , Gatfaoui, 2016 , Zhang, 2017 , Dai et al, 2022 . In the same way, this study uses crude oil and natural gas markets to proxy dirty energy sector.…”

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

“… Authors Data period Sample Methodology Main conclusion Dai et al (2022) Daily data from December 2014 to May 2021 5 Chinese sector stock indexes, WTI crude oil, and gold prices Spillover method of Diebold and Yilmaz ( Diebold and Yilmaz, 2012a , Diebold and Yilmaz, 2012b , 2014) and Granger causality test Gold and oil are the net receivers of the systemic shocks and all Chinese sectors are net transmitters of the systemic shocks. Mensi et al (2022) Daily data from September 2010 to December 2020 22 sub indices of the STOXX 600 index, Brent oil, and gold futures Spillover method of Diebold and Yilmaz ( Diebold and Yilmaz, 2012a , Diebold and Yilmaz, 2012b , 2014) Similar findings with Dai et al (2022) Ali et al (2022) Daily data from January 2019 to March 2021 WTI and Brent oil. Stock markets of US, Russia, China, Canada, Venezuela Wavelet-based Granger causality method Increase of co-movement between the oil futures markets during COVID-19.…”

“…Assessing the degree of dependence and dynamic spillovers among markets is useful for identifying the potential diversification benefits and detecting markets vulnerable to international shocks, as well as the market constituting the source of contagion. It is worth noting that in recent years, gold and oil prices have become more dependent on stock market shocks ( Dai et al, 2022 , Kang et al, 2019 ). Nevertheless, monitoring the cross-market linkages between these two strategic commodities and the US stock market is important for portfolio risk management and fund allocation.…”

Identifying Risk Transmission in Carbon Market With Energy, Commodity and Financial Markets: Evidence From Time-Frequency and Extreme Risk Spillovers

“…The stock market is often applied as a barometer of macroeconomic and financial markets. Most previous studies have measured the relationship between stocks in specific sectors and the carbon market (Yuan and Yang, 2020;Dai et al, 2022;Tiwari et al, 2022). It has some limitations that do not provide a complete interpretation of the stock market as a whole.…”