Spillovers from oil to precious metals: Quantile approaches

Shahzad, Syed Jawad Hussain; Rehman, Mobeen Ur; Jammazi, Rania

doi:10.1016/j.resourpol.2018.05.002

Cited by 76 publications

(26 citation statements)

References 34 publications

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“…Finally, Reboredo (2013) suggests limited hedging but some safe haven characteristics for gold against crude oil. Their results are consistent with negative association between returns on oil and gold during the last financial crisis (2007–2009) reported by Shahzad et al (2019) . However, Selmi et al (2018) suggest that the ability of gold to act as a hedge and a safe haven against oil price movements will based on micro mechanisms of the two markets.…”

Section: Prior Researchsupporting

confidence: 88%

“…In agreement with our results, Reboredo (2013b) reports evidence of tail independence between oil and gold markets, which confirms the safe-haven property of gold against extreme price movements in oil markets. Shahzad et al (2019) document a significant negative dependence between returns of oil and gold during the 2007–2009 global financial turmoil. Selmi et al (2018) find that gold may serve as a hedge, a safe haven, and a diversifier asset against oil price movements, depending on both gold market conditions and oil price states (i.e., low, normal or high).…”

Section: Empirical Evidencementioning

confidence: 99%

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Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic

Elgammal

Ahmed

Alshami³

2021

Resources Policy

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This study sets out to provide fresh evidence on the dynamic interrelationships, at both return and volatility levels, between global equity, gold, and energy markets prior to and during the outbreak of the novel coronavirus. We undertake our analysis within a bivariate GARCH( p , q ) framework, after orthogonalizing raw returns with respect to a rich set of relevant universal factors. Under the COVID-19 regime, we find bidirectional return spillover effects between equity and gold markets, and unidirectional mean spillovers from energy markets to the equity and gold counterparts. The results also suggest the presence of large reciprocal shock spillovers between equity and both of energy and gold markets, and cross-shock spillovers from energy to gold markets. Most probably driven by the recent oil price collapse, energy markets appear to have a substantial cross-volatility spillover impact on the others. Our results offer implications for policymakers and investors.

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Section: Prior Researchsupporting

confidence: 88%

Section: Empirical Evidencementioning

confidence: 99%

Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic

Elgammal

Ahmed

Alshami³

2021

Resources Policy

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“…Existing literature documents the presence of energy as financial commodities, both in a portfolio (see Ghorbel and Trabelsi 2014;Pan et al 2016;Rehman et al 2019) and as a combination of these energy assets with traditional stocks (Chen et al 2010;Mensi et al 2013;Balcilar et al 2015;Shahzad et al 2019). Besides trading only in cash market, these energy commodities are also traded in the form of energy future contracts using ETC's (Exchange Traded Commodities), with former providing the advantage of leverage (Chng 2009;Lu and Jacobsen 2016).…”

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confidence: 99%

Dynamic correlation pattern amongst alternative energy market for diversification opportunities

Rehman

2020

Economic Structures

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Last couple of decades witnessed recognition of energy markets as investment commodities which led interest of the international investment community. We investigate the potential of globally diverse alternative energy markets for optimal returns by analysing their correlation pattern. Our study employs daily data spanning from January 2006 to December 2017. To estimate pair-wise return co-movement, we employ rolling window multiple wavelet correlation based on decomposed returns using maximal overlap discrete wavelet transformation to infer implications for both short- and long-run investors. We witness maximum diversification between developed (World, Developed, EU, G7) and emerging (BRIC, Emerging) markets. Most of these combinations exhibit no traces of contagion during the financially and economically turbulent periods. Finally, we use non-linear causality test to highlight increased integration between our sampled alternative energy indices after financial and economic crises periods. Our results carry implications for short- and long-run investors as well as for policy makers.

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“…However, their results focus only on the long-run relationship between sectoral returns and economic policy uncertainty. There is a strand of literature discussing the non-linear relationship of equity returns to macroeconomic variables (Rehman et al, 2018;Uddin et al, 2018;Shahzad et al, 2018), however sensitivity of sectoral equity returns to economic policy uncertainty shocks under non-linear framework remained untapped. Therefore, our work also adds to the existing literature by analyzing non-linear relationship to measure asymmetries between economic policy uncertainty and sectoral returns.…”

Section: Introductionmentioning

confidence: 99%

“…Therefore, our work also adds to the existing literature by analyzing non-linear relationship to measure asymmetries between economic policy uncertainty and sectoral returns. Only few studies (see for example Shahzad et al 2018) analyze the relationship between EPU and global stock returns, however our study studies non-linear relationship at sectoral level returns.…”

Section: Introductionmentioning

confidence: 99%

Are disaggregate industrial returns sensitive to economic policy uncertainty

Rehman

Asghar

Hussain

2019

Physica A: Statistical Mechanics and its Applications

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This study investigates the impact of economic policy uncertainty on disaggregate US sector based returns. Our work is motivated by the presence of non-linear relationship between US economic policy uncertainty and equity returns of sampled US sectors. The paper uses weekly data from January 1995 to December 2015 for all the return indices and economic policy uncertainty data mainly based on policy issues, provision set for the US federal tax code and disagreement among economic forecasters. Our results indicate that information technology, utilities, industrial and telecommunication sectors remain insensitive to changes in the US economic policy uncertainty. However, financial and the consumer discretionary sectors show significant long run asymmetric relationship with the EPU.

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Spillovers from oil to precious metals: Quantile approaches

Cited by 76 publications

References 34 publications

Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic

Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic

Dynamic correlation pattern amongst alternative energy market for diversification opportunities

Are disaggregate industrial returns sensitive to economic policy uncertainty

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