Spillovers and Portfolio Management Between the Uncertainty Indices of Oil and Gold and G7 Stock Markets

Walid Mensi (), Salem Adel Ziadat (), Xuan Vinh Vo () and Sang Hoon Kang ()
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Walid Mensi: Sultan Qaboos University
Salem Adel Ziadat: Al-Ahliyya Amman University
Xuan Vinh Vo: University of Economics Ho Chi Minh City
Sang Hoon Kang: Pusan National University

Computational Economics, 2024, vol. 64, issue 4, No 12, 2233-2262

Abstract: Abstract This study investigates the time-varying and frequency spillovers between G7 stock markets and uncertainty indices of strategic commodities (oil and gold), as well as their implications for diversified portfolios. The results show, using Baruník and Křehlík (J Financ Econom 16:271–296, 2018) method, significant time-varying spillovers between the series under study. Moreover, spillover size is more important during an oil collapse than during other crises (GFC, G2 trade tension, and COVID-19, among others). Short-term spillover is the largest proportion of total volatility spillovers. Furthermore, the uncertainty indices are net receivers of spillovers for different time horizons. Oil receives more spillovers than gold, indicating that the latter commodity is more immune to shocks emanating from G7 stock markets than the former. The G7 stock markets, apart from that of the Japanese, are net transmitters of spillovers in the system.

Keywords: Uncertainty indices; Strategic commodity; G7 stock market; Frequency spillovers; Hedging (search for similar items in EconPapers)
JEL-codes: C40 F36 G14 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10614-023-10488-y

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