 Static and dynamic linkages between oil, gold and global equity markets in various crisis episodes: Evidence from the Wavelet TVP-VARIjaz Younis, Waheed Ullah Shah and Imran Yousaf Resources Policy, 2023, vol. 80, issue C Abstract: Using the wavelet TVP-VAR approach, this study looks at the static and dynamic connectedness between oil, gold, and global equity markets during several crises episodes, i.e., US subprime crisis of 2007, the global financial crisis of 2008–2009, European debt crisis of 2009–2012, oil crisis of 2014, China stock market crash 2015–16, and the Covid-19. The findings reveal that the connectedness among these markets varies across short vs. long run horizons and across various financial crisis episodes. The connectedness is observed to be high during the crisis's periods. We also perform the portfolio analysis for the pairs of oil, gold, and equity markets and find that gold and/or oil are useful for various equity markets for portfolio diversification and hedging in various market conditions and time horizons. We contend that the results will be valuable to investors, portfolio managers, and policy makers globally. Keywords: WTI; Gold; Equity markets; Hedging portfolio and wavelet TVP-VAR (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:80:y:2023:i:c:s0301420722006420 DOI: 10.1016/j.resourpol.2022.103199 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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