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Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak
The Covid-19 crisis has been spread rapidly throughout the world so far. However, how deep and long the turbulence would depend on the success of solutions taken to deter the spread of Covid-19, the impacts of government policies may be prominent to alleviate the current crisis. In this article, we...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Published by Elsevier Inc.
2021
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9759752/ https://www.ncbi.nlm.nih.gov/pubmed/36569819 http://dx.doi.org/10.1016/j.irfa.2021.101730 |
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author | Hung, Ngo Thai Vo, Xuan Vinh |
author_facet | Hung, Ngo Thai Vo, Xuan Vinh |
author_sort | Hung, Ngo Thai |
collection | PubMed |
description | The Covid-19 crisis has been spread rapidly throughout the world so far. However, how deep and long the turbulence would depend on the success of solutions taken to deter the spread of Covid-19, the impacts of government policies may be prominent to alleviate the current crisis. In this article, we investigate the spillover effects and time-frequency connectedness between S&P 500, crude oil prices, and gold asset using both the spillover index of Diebold and Yilmaz (2012) and the wavelet coherence to evaluate whether the time-varying dynamic return spillover index exhibited the intensity and direction of transmission during the Covid-19 outbreak. Overall, the present results shed light on that in comparison with the pre-Covid-19 period, and the return transmissions are more apparent during the Covid-19 crisis. More importantly, there exist significant dependent patterns about the information spillovers among the crude oil, S&P 500, and gold markets might provide significant implications for portfolio managers, investors, and government agencies. |
format | Online Article Text |
id | pubmed-9759752 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2021 |
publisher | Published by Elsevier Inc. |
record_format | MEDLINE/PubMed |
spelling | pubmed-97597522022-12-19 Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak Hung, Ngo Thai Vo, Xuan Vinh Int Rev Financ Anal Article The Covid-19 crisis has been spread rapidly throughout the world so far. However, how deep and long the turbulence would depend on the success of solutions taken to deter the spread of Covid-19, the impacts of government policies may be prominent to alleviate the current crisis. In this article, we investigate the spillover effects and time-frequency connectedness between S&P 500, crude oil prices, and gold asset using both the spillover index of Diebold and Yilmaz (2012) and the wavelet coherence to evaluate whether the time-varying dynamic return spillover index exhibited the intensity and direction of transmission during the Covid-19 outbreak. Overall, the present results shed light on that in comparison with the pre-Covid-19 period, and the return transmissions are more apparent during the Covid-19 crisis. More importantly, there exist significant dependent patterns about the information spillovers among the crude oil, S&P 500, and gold markets might provide significant implications for portfolio managers, investors, and government agencies. Published by Elsevier Inc. 2021-07 2021-03-09 /pmc/articles/PMC9759752/ /pubmed/36569819 http://dx.doi.org/10.1016/j.irfa.2021.101730 Text en © 2021 Published by Elsevier Inc. 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 | Article Hung, Ngo Thai Vo, Xuan Vinh Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak |
title | Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak |
title_full | Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak |
title_fullStr | Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak |
title_full_unstemmed | Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak |
title_short | Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak |
title_sort | directional spillover effects and time-frequency nexus between oil, gold and stock markets: evidence from pre and during covid-19 outbreak |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9759752/ https://www.ncbi.nlm.nih.gov/pubmed/36569819 http://dx.doi.org/10.1016/j.irfa.2021.101730 |
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