Volatility Spillovers and Nexus across Oil, Gold, and Stock European Markets
This paper utilises a trivariate VAR-BEKK-GARCH model to investigate the dynamic relationships between global oil price, gold price, and European stock markets. This paper observes weak return spillover effects from the oil market to 6 European stock markets (Netherlands, Lithuania, Portugal, Czech...
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Pompea College of Business
2022
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ftdoajarticles:oai:doaj.org/article:732c5ea7a5d74e589825863662850b6d 2023-05-15T16:51:02+02:00 Volatility Spillovers and Nexus across Oil, Gold, and Stock European Markets Chao Ren 2022-05-01T00:00:00Z https://doi.org/10.37625/abr.25.1.152-185 https://doaj.org/article/732c5ea7a5d74e589825863662850b6d EN eng Pompea College of Business https://digitalcommons.newhaven.edu/americanbusinessreview/vol25/iss1/9/ https://doaj.org/toc/0743-2348 https://doaj.org/toc/2689-8810 doi:10.37625/abr.25.1.152-185 0743-2348 2689-8810 https://doaj.org/article/732c5ea7a5d74e589825863662850b6d American Business Review, Vol 25, Iss 1, Pp 152-185 (2022) volatility spill overs and nexus across oil gold european countries stock markets Business HF5001-6182 article 2022 ftdoajarticles https://doi.org/10.37625/abr.25.1.152-185 2022-12-30T22:37:26Z This paper utilises a trivariate VAR-BEKK-GARCH model to investigate the dynamic relationships between global oil price, gold price, and European stock markets. This paper observes weak return spillover effects from the oil market to 6 European stock markets (Netherlands, Lithuania, Portugal, Czech Republic, Romania, and Slovenia) and from gold to Iceland, while there is no evidence of return spillovers from stock markets to oil and gold. The non-existence of return linkages between gold and stock (oil) suggests that the gold market plays a haven role. With reference to volatility spillovers, the results show obvious asymmetric bidirectional volatility interaction between the European stock markets and the global oil/gold markets. Stronger shock and volatility contagions from the European stock market to both oil and gold markets are observed compared with the opposite direction. For the volatility nexus between oil and gold, weak and moderate evidence of shock and volatility transmission from gold to oil markets is reported. Additionally, the study documents important and effective empirical implications for portfolio management and investment hedge strategies: firstly, adding European stock markets to a diversified oil/gold portfolio can achieve the expected returns while reducing risk; and secondly, the European investors can use the gold and oil markets to hedge against their stock market portfolio. Article in Journal/Newspaper Iceland Directory of Open Access Journals: DOAJ Articles American Business Review 25 1 152 185 |
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Directory of Open Access Journals: DOAJ Articles |
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ftdoajarticles |
language |
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topic |
volatility spill overs and nexus across oil gold european countries stock markets Business HF5001-6182 |
spellingShingle |
volatility spill overs and nexus across oil gold european countries stock markets Business HF5001-6182 Chao Ren Volatility Spillovers and Nexus across Oil, Gold, and Stock European Markets |
topic_facet |
volatility spill overs and nexus across oil gold european countries stock markets Business HF5001-6182 |
description |
This paper utilises a trivariate VAR-BEKK-GARCH model to investigate the dynamic relationships between global oil price, gold price, and European stock markets. This paper observes weak return spillover effects from the oil market to 6 European stock markets (Netherlands, Lithuania, Portugal, Czech Republic, Romania, and Slovenia) and from gold to Iceland, while there is no evidence of return spillovers from stock markets to oil and gold. The non-existence of return linkages between gold and stock (oil) suggests that the gold market plays a haven role. With reference to volatility spillovers, the results show obvious asymmetric bidirectional volatility interaction between the European stock markets and the global oil/gold markets. Stronger shock and volatility contagions from the European stock market to both oil and gold markets are observed compared with the opposite direction. For the volatility nexus between oil and gold, weak and moderate evidence of shock and volatility transmission from gold to oil markets is reported. Additionally, the study documents important and effective empirical implications for portfolio management and investment hedge strategies: firstly, adding European stock markets to a diversified oil/gold portfolio can achieve the expected returns while reducing risk; and secondly, the European investors can use the gold and oil markets to hedge against their stock market portfolio. |
format |
Article in Journal/Newspaper |
author |
Chao Ren |
author_facet |
Chao Ren |
author_sort |
Chao Ren |
title |
Volatility Spillovers and Nexus across Oil, Gold, and Stock European Markets |
title_short |
Volatility Spillovers and Nexus across Oil, Gold, and Stock European Markets |
title_full |
Volatility Spillovers and Nexus across Oil, Gold, and Stock European Markets |
title_fullStr |
Volatility Spillovers and Nexus across Oil, Gold, and Stock European Markets |
title_full_unstemmed |
Volatility Spillovers and Nexus across Oil, Gold, and Stock European Markets |
title_sort |
volatility spillovers and nexus across oil, gold, and stock european markets |
publisher |
Pompea College of Business |
publishDate |
2022 |
url |
https://doi.org/10.37625/abr.25.1.152-185 https://doaj.org/article/732c5ea7a5d74e589825863662850b6d |
genre |
Iceland |
genre_facet |
Iceland |
op_source |
American Business Review, Vol 25, Iss 1, Pp 152-185 (2022) |
op_relation |
https://digitalcommons.newhaven.edu/americanbusinessreview/vol25/iss1/9/ https://doaj.org/toc/0743-2348 https://doaj.org/toc/2689-8810 doi:10.37625/abr.25.1.152-185 0743-2348 2689-8810 https://doaj.org/article/732c5ea7a5d74e589825863662850b6d |
op_doi |
https://doi.org/10.37625/abr.25.1.152-185 |
container_title |
American Business Review |
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25 |
container_issue |
1 |
container_start_page |
152 |
op_container_end_page |
185 |
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1766041139716030464 |