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Connectedness among crude oil prices, stock index and metal prices: An application of network approach in the USA

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  • Husain, Shaiara
  • Tiwari, Aviral Kumar
  • Sohag, Kazi
  • Shahbaz, Muhammad

Abstract

We investigate the connectedness among crude oil prices, stock index and metal prices covering the period of 1990M1-2017M3 for US economy applying time domain Spillover Index framework by Diebold and Yilmaz (2012). We contribute to the literature by developing network-based approach generated from time domain spill-over methods. It is evident that the stock index is neither price spillover receiver nor contributor. Our investigation demonstrates that palladium, gold, platinum and silver are net contributors of volatility spillover whereas crude oil, titanium, steel, and silver are net receivers of volatility spillover. The identification of the net recipient and receiver of volatility spillover appears challenging measured by the magnitudes of net volatility spillovers index in the presence of economic crises including global financial crisis 2008–2009 and European Sovereign Debt Crisis period 2010–2012.

Suggested Citation

  • Husain, Shaiara & Tiwari, Aviral Kumar & Sohag, Kazi & Shahbaz, Muhammad, 2019. "Connectedness among crude oil prices, stock index and metal prices: An application of network approach in the USA," Resources Policy, Elsevier, vol. 62(C), pages 57-65.
    • Handle: RePEc:eee:jrpoli:v:62:y:2019:i:c:p:57-65
    DOI: 10.1016/j.resourpol.2019.03.011
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    More about this item

    Keywords

    Spillover; Volatility; Metal market; Crude oil; Stock market;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • Q34 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Natural Resources and Domestic and International Conflicts

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