IDEAS home Printed from https://ideas.repec.org/a/eee/ecofin/v74y2024ics1062940824001748.html
   My bibliography  Save this article

Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies

Author

Listed:
  • Liu, Zixin
  • Hu, Jun
  • Zhang, Shuguang
  • He, Zhipeng

Abstract

This paper investigates the tail risk spillover effects among the stock and foreign exchange markets of G20 economies, as well as the oil and gold markets by constructing a tail event driven network. Adjacency matrices indicate time-varying connectedness between network nodes. The systemic risk decomposition results highlight the predominant contribution of stock markets to the aggregate risk level, while oil, gold, and specific currencies such as JPY, USD, and CNY contribute to diversifying systemic risk. Moreover, tail event driven network quantile regression analysis demonstrates the asymmetry and market heterogeneity of risk spillover effects. Our findings have instructive implications for financial regulators and institutional investors.

Suggested Citation

  • Liu, Zixin & Hu, Jun & Zhang, Shuguang & He, Zhipeng, 2024. "Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001748
    DOI: 10.1016/j.najef.2024.102249
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1062940824001748
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.najef.2024.102249?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Risk spillover; G20 economies; Systemic risk; Network analysis;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001748. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620163 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.