 Asymmetric risk transmissions between oil, gold and US equities: Recent evidence from the realized variance of the futures pricesAktham Maghyereh, Basel Awartani and Nader S. Virk Resources Policy, 2022, vol. 79, issue C Abstract: In this paper, we compute the Baruník and Baruník (2018) spillover asymmetric measure (the SAM hereinafter) to explain the difference between good and bad risk transmissions in a system of three strategic markets: the oil market, the gold market, and the US equity market. To get consistent and responsive volatility estimates, we compute the realized volatilities at the 5-min returns frequency of the future prices of the three asset classes. The results from the obtained sample indicate that daily bad volatilities transmit more risk information than daily good volatilities. Interestingly, these asymmetries in the transmission mechanism are found to increase after a progressive deterioration in the US business environment and/or in the economic policy uncertainty of the US economy. Hence, we conclude that the day-to-day changes in policy uncertainty and economic activity in the US are important and should be accounted for in risk transmission, risk forecasting, asset pricing, and portfolio diversification. Keywords: Volatility connectedness; Spillovers semi variance; Asymmetric effects; Financial crisis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722005517 DOI: 10.1016/j.resourpol.2022.103108 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
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