Characteristics of spillovers between the US stock market and precious metals and oil

Gazi Uddin, Jose Arreola Hernandez, Syed Jawad Hussain Shahzad and Sang Hoon Kang

Resources Policy, 2020, vol. 66, issue C

Abstract: This study examines the characteristics of the risk spillover under extreme market scenarios between the US stock market and precious metals (gold, silver, platinum) and oil using a copula approach for tail dependence and conditional value-at-risk (CoVaR) spillover measures. The results indicate asymmetric tail dependence of the US stock market with silver and platinum, profound during market downturns. Gold and oil symmetrically co-move with the US stock market under normal and extreme market scenarios. Silver and platinum most strongly influence US stock market in the downside, while oil does it on the upside. The US stock market most strongly influences oil and silver under both market downturns and upturns. Gold weakly spillover to the US stock market, suggesting that investors can use gold as an equity portfolio diversifier.

Keywords: Energy and precious metal commodities; Copulas; Asymmetric spillovers; CoVaR (search for similar items in EconPapers)
JEL-codes: C58 F37 G11 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (40)

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Working Paper: Characteristics of spillovers between the US stock market and precious metals and oil (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719305124

DOI: 10.1016/j.resourpol.2020.101601

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