COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets

This study examines the volatility spillovers between the US stock market (S&P500 index) and both oil and gold before and during the global health crisis (GHC). We apply the FIAPARCH-DCC model to the 15-minute intraday data. The results showed negative (positive) conditional correlations between...

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Detalles Bibliográficos
Autores principales: Mensi, Walid, Vo, Xuan Vinh, Kang, Sang Hoon
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Economic Society of Australia, Queensland. Published by Elsevier B.V. 2022
Materias:
Modeling Economic Policy Issues
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8993454/
https://www.ncbi.nlm.nih.gov/pubmed/35431407
http://dx.doi.org/10.1016/j.eap.2022.04.001
Descripción
Sumario:This study examines the volatility spillovers between the US stock market (S&P500 index) and both oil and gold before and during the global health crisis (GHC). We apply the FIAPARCH-DCC model to the 15-minute intraday data. The results showed negative (positive) conditional correlations between the S&P500 and gold (oil). The time-varying conditional correlations between markets were higher during COVID-19 spread. Moreover, gold offers more diversification gains than oil does during the pandemic. Hedging is more expensive during a pandemic than before. Oil provides higher hedging effectiveness (HE) than gold for all sub-periods. HE was lower during the COVID-19 outbreak for both oil and gold. These findings have important implications for both equity investors and policymakers.

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