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
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author Mensi, Walid
Vo, Xuan Vinh
Kang, Sang Hoon
author_facet Mensi, Walid
Vo, Xuan Vinh
Kang, Sang Hoon
author_sort Mensi, Walid
collection PubMed
description 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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spelling pubmed-89934542022-04-11 COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets Mensi, Walid Vo, Xuan Vinh Kang, Sang Hoon Econ Anal Policy Modeling Economic Policy Issues 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. Economic Society of Australia, Queensland. Published by Elsevier B.V. 2022-06 2022-04-09 /pmc/articles/PMC8993454/ /pubmed/35431407 http://dx.doi.org/10.1016/j.eap.2022.04.001 Text en © 2022 Economic Society of Australia, Queensland. Published by Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Modeling Economic Policy Issues
Mensi, Walid
Vo, Xuan Vinh
Kang, Sang Hoon
COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets
title COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets
title_full COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets
title_fullStr COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets
title_full_unstemmed COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets
title_short COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets
title_sort covid-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets
topic Modeling Economic Policy Issues
url 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
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