Quantile connectedness among gold, gold mining, silver, oil and energy sector uncertainty indexes

Walid Mensi, Yun-Jung Lee, Xuan Vinh Vo and Seong-Min Yoon

Resources Policy, 2021, vol. 74, issue C

Abstract: This study examines the quantile relationships among silver, gold, gold mining, oil and energy sector uncertainty indexes. Using a quantile cross-spectral approach, results show that the uncertainty indexes have a time- and quantile-dependent structure. Moreover, the extent of dependence is higher at the long term than at the short- and medium-terms, irrespective of time horizons. Gold and silver show negative and positive short-term dependence during bearish and bull market conditions, respectively, at two-day trading. The dependence switches to positive beyond two trading days. We find asymmetric dependence between crude oil and energy sector uncertainty indexes at two-day trading. The dependence is positive at medium and long terms. Furthermore, the magnitude of dependence between metal (gold, gold mining and silver) and energy uncertainty indexes (crude oil and energy sectors) is sensitive to market conditions.

Keywords: Metal and energy uncertainty indexes; Connectedness; Quantile cross-spectral approach (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:74:y:2021:i:c:s030142072100458x

DOI: 10.1016/j.resourpol.2021.102450

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