Co-movements amongst Gold and Oil: A Multivariate Time-Varying Asymmetric Approach

Sirine Toumi

International Journal of Finance, Insurance and Risk Management, 2019, vol. 9, issue 3-4, 52-68

Abstract: Purpose: This research analyses how gold and oil prices variables interact focusing on different Global financial crisis (GFC) phases. Design/Methodology/Approach: We adopt a dynamic conditional correlation FIAPARCH model framework, during the period spanning from January 1st, 2000 until December 31th, 2017. Findings: . Our empirical results suggest correlations’ asymmetric responses among them. Moreover, the results indicate a correlations increase of gold and oil, during the crisis periods, suggesting different prices vulnerability. Practical Implications: The conditional correlation surrounded by pairs gold and oil displays higher dependency when it was driven by negative expansions to variations than it is by positive improvements. In addition, market correlations turn out to be more volatile throughout the global financial crisis. The time-varying correlation coefficients empirical analysis, during the main crisis periods, provides contagion approval evidence. Originality/Value: Our empirical results seem to be essential to researchers and practitioners and mainly to active investors and portfolio managers who include gold and oil in their equities portfolios.

Keywords: DCC-FIAPARCH model; Global financial crisis; Volatility. (search for similar items in EconPapers)
JEL-codes: D4 E3 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:ers:ijfirm:v:9:y:2019:i:3-4:p:52-68

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