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Spillovers and Portfolio Management Between the Uncertainty Indices of Oil and Gold and G7 Stock Markets

Author

Listed:
  • Walid Mensi

    (Sultan Qaboos University
    University of Economics Ho Chi Minh City)

  • Salem Adel Ziadat

    (Al-Ahliyya Amman University)

  • Xuan Vinh Vo

    (University of Economics Ho Chi Minh City)

  • Sang Hoon Kang

    (Pusan National University
    University of South Australia)

Abstract

This study investigates the time-varying and frequency spillovers between G7 stock markets and uncertainty indices of strategic commodities (oil and gold), as well as their implications for diversified portfolios. The results show, using Baruník and Křehlík (J Financ Econom 16:271–296, 2018) method, significant time-varying spillovers between the series under study. Moreover, spillover size is more important during an oil collapse than during other crises (GFC, G2 trade tension, and COVID-19, among others). Short-term spillover is the largest proportion of total volatility spillovers. Furthermore, the uncertainty indices are net receivers of spillovers for different time horizons. Oil receives more spillovers than gold, indicating that the latter commodity is more immune to shocks emanating from G7 stock markets than the former. The G7 stock markets, apart from that of the Japanese, are net transmitters of spillovers in the system.

Suggested Citation

  • Walid Mensi & Salem Adel Ziadat & Xuan Vinh Vo & Sang Hoon Kang, 2024. "Spillovers and Portfolio Management Between the Uncertainty Indices of Oil and Gold and G7 Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2233-2262, October.
    • Handle: RePEc:kap:compec:v:64:y:2024:i:4:d:10.1007_s10614-023-10488-y
    DOI: 10.1007/s10614-023-10488-y
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    Keywords

    Uncertainty indices; Strategic commodity; G7 stock market; Frequency spillovers; Hedging;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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