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

Author

Listed:
  • Gazi Salah Uddin

    (LIU - Linköping University)

  • Jose Arreola Hernandez

    (ESC [Rennes] - ESC Rennes School of Business)

  • 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)

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.

Suggested Citation

  • Gazi Salah Uddin & Jose Arreola Hernandez & Syed Jawad Hussain Shahzad & Sang Hoon Kang, 2020. "Characteristics of spillovers between the US stock market and precious metals and oil," Post-Print hal-02489889, HAL.
    • Handle: RePEc:hal:journl:hal-02489889
    DOI: 10.1016/j.resourpol.2020.101601
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    References listed on IDEAS

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    More about this item

    Keywords

    Energy and precious metal commodities; Copulas; Asymmetric spillovers; CoVaR;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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