Dynamic spillovers between G7 stock markets and precious metals: A time-varying analysis of gold and silver

Nadia Belkhir () and Wafa Kammoun Masmoudi ()

Journal of Asian Scientific Research, 2025, vol. 15, issue 3, 591-607

Abstract: The purpose of this study is to examine the dynamic spillover effects and interconnectedness among major global equity markets (G7 indices), precious metals (gold and silver), and the Volatility Index (VIX). The analysis aims to identify how shocks are transmitted across these markets under varying conditions and horizons, with particular attention to the roles of safe-haven assets and volatility measures. Employing a quantile VAR framework combined with time-frequency connectedness techniques, the analysis captures both distributional asymmetries and temporal variations in market linkages, providing a comprehensive perspective on risk transmission across different regimes and horizons. This methodological integration allows for a richer understanding of risk transmission compared to conventional approaches. The findings reveal a substantial degree of interconnectedness across the examined markets. European indices such as DAX 40, CAC 40, and FTSE MIB act as dominant transmitters of shocks, highlighting their central role in global contagion. In contrast, gold and silver exhibit strong shock-absorbing capacity, reinforcing their safe-haven properties during periods of financial turbulence. The VIX emerges as a key transmitter of volatility, particularly under extreme market conditions, underscoring its role as a reliable proxy for systemic risk. Meanwhile, indices such as NASDAQ and S&P/TSX show more neutral or bidirectional spillover patterns. These results have important implications for investors, risk managers, and policymakers concerned with portfolio diversification, systemic risk monitoring, and financial stability in interconnected markets.

Keywords: G7 markets; Gold; Quantile VAR; Silver; Time frequency; Uncertainty. (search for similar items in EconPapers)
Date: 2025
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