On the relationship of gold, crude oil, stocks with financial stress: A causality-in-quantiles approach

Debojyoti Das (debojyoti.d@outlook.com), Surya Bhushan Kumar, Aviral Tiwari, Muhammad Shahbaz and Haslifah M. Hasim

Finance Research Letters, 2018, vol. 27, issue C, 169-174

Abstract: We examined the dependence structure of stocks, gold and crude oil with financial stress using the nonparametric causality-in-quantile technique for the period from December 1993 to March 2017. The study finds the evidence of bilateral causality in mean and variance for gold and crude oil with respect to financial stress, and stocks to be influential to financial stress both in mean and variance.

Keywords: Gold; Crude oil; Financial stress; Causality-in-quantiles (search for similar items in EconPapers)
JEL-codes: B26 E44 G11 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (48)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:27:y:2018:i:c:p:169-174

DOI: 10.1016/j.frl.2018.02.030

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