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Empirical Analysis Of The Relationship Between Oil And Precious Metals Markets

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  • KHALED MOKNI

    (College of Business Administration, Northern Border University, P. O. Box 1321, Arar 91431, Saudi Arabia2Institut Supérieur de Gestion de Gabès, University of Gabès, Avenue Jilani Habib, Gabès 6002, Tunisia)

Abstract

The relationship between crude oil and precious metals has been a major issue in economic and financial literature. In this paper, the FIEGARCH-copula framework was used to investigate the co-movements not only between returns, but also between volatilities and market risks among crude oil and precious metals markets. Based on daily crude oil and the major precious metals prices from January 2, 2000 to December 31, 2016, our empirical results are as follows: First, a significant positive and asymmetric relationship between oil and precious metals returns, volatilities and market risk was detected. Second, the dependence structure between oil-silver and oil-gold for returns and volatilities are time varying, while the other pairs are characterized by constant dependence. Third, based on the dependence modeling between daily Value-at-Risk (VaR) for the long and short trading position, empirical results show that the market risk relationship between crude oil and precious metals change over time and increase with VaR’s confidence level. Our findings are of interest for investors and risk managers in portfolio’s design and allow for a reliable framework for returns and risk prediction.

Suggested Citation

  • Khaled Mokni, 2018. "Empirical Analysis Of The Relationship Between Oil And Precious Metals Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-20, March.
    • Handle: RePEc:wsi:afexxx:v:13:y:2018:i:01:n:s2010495218500033
    DOI: 10.1142/S2010495218500033
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    Cited by:

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    2. Johnson A. Oliyide & Oluwasegun B. Adekoya & Muhammad A. Khan, 2021. "Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension," International Economics, CEPII research center, issue 167, pages 136-150.
    3. Mokni, Khaled & Al-Shboul, Mohammed & Assaf, Ata, 2021. "Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?," Resources Policy, Elsevier, vol. 74(C).
    4. Shahzad, Farrukh & Bouri, Elie & Mokni, Khaled & Ajmi, Ahdi Noomen, 2021. "Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility," Resources Policy, Elsevier, vol. 74(C).
    5. Youssef, Manel & Mokni, Khaled, 2021. "Oil-gold nexus: Evidence from regime switching-quantile regression approach," Resources Policy, Elsevier, vol. 73(C).
    6. Mokni, Khaled & Hammoudeh, Shawkat & Ajmi, Ahdi Noomen & Youssef, Manel, 2020. "Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price?," Resources Policy, Elsevier, vol. 69(C).
    7. Ahmed, Rizwan & Chaudhry, Sajid M. & Kumpamool, Chamaiporn & Benjasak, Chonlakan, 2022. "Tail risk, systemic risk and spillover risk of crude oil and precious metals," Energy Economics, Elsevier, vol. 112(C).
    8. Muhammad Shafiullah & Sajid M. Chaudhry & Muhammad Shahbaz & Juan C. Reboredo, 2021. "Quantile causality and dependence between crude oil and precious metal prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6264-6280, October.

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