EconPapers    
Economics at your fingertips  
 

Spillover effects between energies, gold, and stock: the United States versus China

Xie He, Tetsuya Takiguchi, Tadahiro Nakajima and Shigeyuki Hamori ()

Energy & Environment, 2020, vol. 31, issue 8, 1416-1447

Abstract: This study investigates the time–frequency dynamics of return and volatility spillovers between the stock market and three commodity markets: natural gas, crude oil, and gold via a comparative analysis between the United States and China is conducted with the help of new empirical methods. Our findings are as follows. First, in terms of time, return spillovers between crude oil and the stock market are strongest in two of the three commodity markets. Crude oil emits a net negative return spillover to the US stock market, and a net positive return spillover to the Chinese stock market. By contrast, the strongest volatility spillover effect is transmitted to the stock markets of both countries through gold. However, gold has a net positive volatility spillover effect on the US stock market and a net negative effect on the Chinese stock market. In the frequency domain, most of the return spillover is produced in the short term, and most of the volatility spillover occurs in the long term. In addition, the moving-window method reveals the dynamic nature of the spillover effect. Some extreme events can have a dramatic effect on the spillover index. Conversely, the spillover effect differs significantly between the two countries and is characterized by time variation and frequency dependence.

Keywords: Crude oil; natural gas; gold; stock market; spillover effect (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0958305X20907081 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:engenv:v:31:y:2020:i:8:p:1416-1447

DOI: 10.1177/0958305X20907081

Access Statistics for this article

More articles in Energy & Environment
Bibliographic data for series maintained by SAGE Publications ().

 
Page updated 2020-12-23
Handle: RePEc:sae:engenv:v:31:y:2020:i:8:p:1416-1447