Emerging commodity-equity interdependencies: TVP-VAR analysis of oil, gold, and global stock markets

Christo Aditya Bikram Bepari, Manoranjan Dash, Bibhuti Bhusan Pradhan and Preeti Y. Shadangi

International Journal of Trade and Global Markets, 2025, vol. 21, issue 1, 91-114

Abstract: The interconnectedness between crude oil, gold, and stock markets has been global interest among policy makers and investors to effectively diversify their portfolios and make informed investment decisions. It analyses interconnectedness among a sample cluster comprising Crude Oil, Gold and sixteen global equity markets including developed and emerging based on generalised autoregressive conditional heteroskedasticity (GARCH) and time-varying parameter vector auto regressive model (TVP-VAR) model. The examination of daily data pertaining to various stock markets and global oil prices, gold prices reveals developed stock markets transmits its shocks more than the emerging stock markets and Gold transmits more than Oil. Further, the total spillover index value is 34.33% across the sample period which indicates that approximately one-third of the variability in the data can be attributed to spillover effects suggesting a considerable degree of interdependence or influence among the variables under consideration during the specified time frame and volatility spillover patterns has been examined meticulously.

Keywords: crude oil price; gold price; emerging markets; developed markets; connectedness approach; TVP-VAR; time-varying parameter vector auto regressive model. (search for similar items in EconPapers)
Date: 2025
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