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Dynamic return and volatility spillovers among S&P 500, crude oil and gold

Mehmet Balcilar (), Zeynel Ozdemir and Huseyin Ozdemir
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Huseyin Ozdemir: Gazi University, Ankara, Turkey

No 15-46, Working Papers from Eastern Mediterranean University, Department of Economics

Abstract: This paper examines the return and volatility spillover effects among S&P 500, crude oil and gold by employing the spillover index of Diebold and Yilmaz (2012). Monthly realized volatility and return series covering the period from January 1986 to August 2018 are used to examine the return and volatility spillovers. Our findings indicate a bi-directional return and volatility spillover among these assets. The full sample empirical evidence is consistent with the structure in which oil plays a central role in the information transmission mechanism. The role of oil and gold as a safe haven has changed over time in financial and non-financial economic turbulence time-span. Commodity market financialization has decreased the effectiveness of adding commodities to portfolios after 2002.

Keywords: S&P 500 index; Oil price; Gold Price; Return spillover; Volatility spillover (search for similar items in EconPapers)
JEL-codes: C13 C53 C58 G10 G12 G14 Q43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene, nep-fmk and nep-rmg
Date: 2018
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http://repec.economics.emu.edu.tr/RePEc/emu/wpaper/15-46.pdf First version, 2018 (application/pdf)

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