EconPapers    
Economics at your fingertips  
 

Characteristics of spillovers between the US stock market and precious metals and oil

Gazi Uddin, Jose Arreola Hernandez, Syed Jawad Hussain Shahzad and Sang Hoon Kang
Additional contact information
Syed Jawad Hussain Shahzad: Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School, SUSU - South Ural State University
Sang Hoon Kang: PNU - Pusan National University

Post-Print from HAL

Abstract: This study examines the characteristics of the risk spillover under extreme market scenarios between the US stock market and precious metals (gold, silver, platinum) and oil using a copula approach for tail dependence and conditional value-at-risk (CoVaR) spillover measures. The results indicate asymmetric tail dependence of the US stock market with silver and platinum, profound during market downturns. Gold and oil symmetrically co-move with the US stock market under normal and extreme market scenarios. Silver and platinum most strongly influence US stock market in the downside, while oil does it on the upside. The US stock market most strongly influences oil and silver under both market downturns and upturns. Gold weakly spillover to the US stock market, suggesting that investors can use gold as an equity portfolio diversifier.

Keywords: Energy and precious metal commodities; Copulas; Asymmetric spillovers; CoVaR (search for similar items in EconPapers)
Date: 2020-06
References: Add references at CitEc
Citations: View citations in EconPapers (40)

Published in Resources Policy, 2020, 66, pp.101601. ⟨10.1016/j.resourpol.2020.101601⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Characteristics of spillovers between the US stock market and precious metals and oil (2020) Downloads
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:hal:journl:hal-02489889

DOI: 10.1016/j.resourpol.2020.101601

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2025-03-24
Handle: RePEc:hal:journl:hal-02489889