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Time–frequency featured co-movement between the stock and prices of crude oil and gold

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  1. Liu, Chang & Sun, Xiaolei & Wang, Jun & Li, Jianping & Chen, Jianming, 2021. "Multiscale information transmission between commodity markets: An EMD-Based transfer entropy network," Research in International Business and Finance, Elsevier, vol. 55(C).
  2. Kang, Sang Hoon & Arreola Hernandez, Jose & Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2023. "Spillovers and hedging between US equity sectors and gold, oil, islamic stocks and implied volatilities," Resources Policy, Elsevier, vol. 81(C).
  3. Lei Ming & Yao Shen & Shenggang Yang & Sangzhi Zhu & Hong Zhu, 2020. "Does Gold Serve as a Hedge for the Stock Market in China? Evidence from a Time-Frequency Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(3), pages 659-672, February.
  4. Shahbaz, Muhammad & Hussain Shahzad, Syed Jawad & Jammazi, Rania, 2016. "Nexus between U.S Energy Sources and Economic Activity: Time-Frequency and Bootstrap Rolling Window Causality Analysis," MPRA Paper 68724, University Library of Munich, Germany, revised 08 Jan 2016.
  5. Wang, Xiaoxuan & Gao, Xiangyun & Wu, Tao & Sun, Xiaotian, 2022. "Dynamic multiscale analysis of causality among mining stock prices," Resources Policy, Elsevier, vol. 77(C).
  6. Saeed, Asif & Chaudhry, Sajid M. & Arif, Ahmed & Ahmed, Rizwan, 2023. "Spillover of energy commodities and inflation in G7 plus Chinese economies," Energy Economics, Elsevier, vol. 127(PA).
  7. Shahzad, Syed Jawad Hussain & Aloui, Chaker & Jammazi, Rania, 2020. "On the interplay between US sectoral CDS, stock and VIX indices: Fresh insights from wavelet approaches," Finance Research Letters, Elsevier, vol. 33(C).
  8. Yaqi Wu & Chen Zhang & Po Yun & Dandan Zhu & Wei Cao & Zulfiqar Ali Wagan, 2021. "Time–frequency analysis of the interaction mechanism between European carbon and crude oil markets," Energy & Environment, , vol. 32(7), pages 1331-1357, November.
  9. Bouri, Elie & Roubaud, David & Jammazi, Rania & Assaf, Ata, 2017. "Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices," Finance Research Letters, Elsevier, vol. 23(C), pages 23-30.
  10. Li, Panpan & Dong, Zhiliang, 2020. "Time-varying network analysis of fluctuations between crude oil and Chinese and U.S. gold prices in different periods," Resources Policy, Elsevier, vol. 68(C).
  11. Mishra, Shekhar & Sharif, Arshian & Khuntia, Sashikanta & Meo, Muhammad Saeed & Rehman Khan, Syed Abdul, 2019. "Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach," Resources Policy, Elsevier, vol. 62(C), pages 292-304.
  12. Abhibasu Sen & Karabi Dutta Chaudhury, 2019. "On the Co-movement of Crude, Gold Prices and Stock Index in Indian Market," Papers 1904.05317, arXiv.org.
  13. Zhu, Pengfei & Tang, Yong & Wei, Yu & Dai, Yimin & Lu, Tuantuan, 2021. "Relationships and portfolios between oil and Chinese stock sectors: A study based on wavelet denoising-higher moments perspective," Energy, Elsevier, vol. 217(C).
  14. Wang, Minggang & Tian, Lixin & Xu, Hua & Li, Weiyu & Du, Ruijin & Dong, Gaogao & Wang, Jie & Gu, Jiani, 2017. "Systemic risk and spatiotemporal dynamics of the consumer market of China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 188-204.
  15. Polanco Martínez, Josué M. & Abadie, Luis M. & Fernández-Macho, J., 2018. "A multi-resolution and multivariate analysis of the dynamic relationships between crude oil and petroleum-product prices," Applied Energy, Elsevier, vol. 228(C), pages 1550-1560.
  16. Lahmiri, Salim, 2017. "A study on chaos in crude oil markets before and after 2008 international financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 389-395.
  17. Kang, Sang Hoon & Lahmiri, Salim & Uddin, Gazi Salah & Arreola Hernandez, Jose & Yoon, Seong-Min, 2020. "Inflation cycle synchronization in ASEAN countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  18. Pradhan, Ashis Kumar & Mishra, Bibhuti Ranjan & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2020. "Macroeconomic factors and frequency domain causality between Gold and Silver returns in India," Resources Policy, Elsevier, vol. 68(C).
  19. Lin, Ling & Kuang, Yuanpei & Jiang, Yong & Su, Xianfang, 2019. "Assessing risk contagion among the Brent crude oil market, London gold market and stock markets: Evidence based on a new wavelet decomposition approach," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  20. Angeliki Skoura, 2019. "Detection of Lead-Lag Relationships Using Both Time Domain and Time-Frequency Domain; An Application to Wealth-To-Income Ratio," Economies, MDPI, vol. 7(2), pages 1-27, April.
  21. Chowdhury, Mohammad Ashraful Ferdous & Meo, Muhammad Saeed & Uddin, Ajim & Haque, Md. Mahmudul, 2021. "Asymmetric effect of energy price on commodity price: New evidence from NARDL and time frequency wavelet approaches," Energy, Elsevier, vol. 231(C).
  22. Ali, Sajid & Raza, Naveed & Vinh Vo, Xuan & Le, Van, 2022. "Modelling the joint dynamics of financial assets using MGARCH family models: Insights into hedging and diversification strategies," Resources Policy, Elsevier, vol. 78(C).
  23. Dong, Minyi & Chang, Chun-Ping & Gong, Qiang & Chu, Yin, 2019. "Revisiting global economic activity and crude oil prices: A wavelet analysis," Economic Modelling, Elsevier, vol. 78(C), pages 134-149.
  24. Pal, Debdatta & Mitra, Subrata K., 2017. "Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis," Energy Economics, Elsevier, vol. 62(C), pages 230-239.
  25. Ke Chen & Meng Wang, 2017. "Does Gold Act as a Hedge and a Safe Haven for China’s Stock Market?," IJFS, MDPI, vol. 5(3), pages 1-18, August.
  26. Wang, Minggang & Tian, Lixin & Du, Ruijin, 2016. "Research on the interaction patterns among the global crude oil import dependency countries: A complex network approach," Applied Energy, Elsevier, vol. 180(C), pages 779-791.
  27. Adewuyi, Adeolu O. & Awodumi, Olabanji B. & Abodunde, Temitope T., 2019. "Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria," Resources Policy, Elsevier, vol. 61(C), pages 348-362.
  28. Saâdaoui, Foued & Naifar, Nader & Aldohaiman, Mohamed S., 2017. "Predictability and co-movement relationships between conventional and Islamic stock market indexes: A multiscale exploration using wavelets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 552-568.
  29. Hong, Yanran & Ma, Feng & Wang, Lu & Liang, Chao, 2022. "How does the COVID-19 outbreak affect the causality between gold and the stock market? New evidence from the extreme Granger causality test," Resources Policy, Elsevier, vol. 78(C).
  30. Wang, Xiangning & Huang, Qian & Zhang, Shuguang, 2023. "Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  31. Huang, Shupei & An, Haizhong & Gao, Xiangyun & Wen, Shaobo & Hao, Xiaoqing, 2017. "The multiscale impact of exchange rates on the oil-stock nexus: Evidence from China and Russia," Applied Energy, Elsevier, vol. 194(C), pages 667-678.
  32. Yue-Jun Zhang & Shu-Hui Li, 2019. "The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach," Quantitative Finance, Taylor & Francis Journals, vol. 19(8), pages 1357-1371, August.
  33. Yahya, Muhammad & Oglend, Atle & Dahl, Roy Endré, 2019. "Temporal and spectral dependence between crude oil and agricultural commodities: A wavelet-based copula approach," Energy Economics, Elsevier, vol. 80(C), pages 277-296.
  34. Hung, Ngo Thai & Vo, Xuan Vinh, 2021. "Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 76(C).
  35. Lahmiri, Salim, 2017. "Cointegration and causal linkages in fertilizer markets across different regimes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 181-189.
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