Financial crises and dynamic spillovers among Chinese stock and commodity futures markets
This study examines the dynamics of return and volatility spillover across Chinese stock and
four commodity futures, namely, CSI 300 index, aluminium, copper, fuel oil, and natural …
four commodity futures, namely, CSI 300 index, aluminium, copper, fuel oil, and natural …
Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries
The paper examines the return and volatility spillovers between crude oil, gold and equities,
and investigates the usefulness of the two commodities in hedging equity portfolios. Using …
and investigates the usefulness of the two commodities in hedging equity portfolios. Using …
Connectedness among crude oil prices, stock index and metal prices: An application of network approach in the USA
We investigate the connectedness among crude oil prices, stock index and metal prices
covering the period of 1990M1-2017M3 for US economy applying time domain Spillover …
covering the period of 1990M1-2017M3 for US economy applying time domain Spillover …
Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China
AD Ahmed, R Huo - Energy Economics, 2021 - Elsevier
This paper uses a trivariate VAR-BEKK-GARCH model to investigate the dynamic
relationship among the Chinese stock market, commodity markets and global oil price. We …
relationship among the Chinese stock market, commodity markets and global oil price. We …
Realized higher-order moments spillovers between commodity and stock markets: Evidence from China
We construct daily realized volatility, skewness, and kurtosis using 5-min data of eight
Chinese commodity futures and the Chinese stock market index from March 26, 2018 to …
Chinese commodity futures and the Chinese stock market index from March 26, 2018 to …
Asymmetric volatility connectedness among US stock sectors
This paper examines the dynamic asymmetric volatility connectedness among ten US stock
sectors (Consumer Goods, Consumer Services, Financials, Health Care, Materials, Oil and …
sectors (Consumer Goods, Consumer Services, Financials, Health Care, Materials, Oil and …
Volatility spillovers between stock and energy markets during crises: A comparative assessment between the 2008 global financial crisis and the COVID-19 pandemic …
This paper investigates volatility spillovers between energy and stock markets during
periods of crises. Our main findings reveal that transmissions of volatilities among these …
periods of crises. Our main findings reveal that transmissions of volatilities among these …
Asymmetric connectedness among S&P 500, crude oil, gold and Bitcoin
NT Hung - Managerial Finance, 2022 - emerald.com
Purpose This paper investigates the dynamic intercorrelation among cryptocurrency
(Bitcoin) and conventional financial assets (gold, oil and S&P 500). Design/methodology …
(Bitcoin) and conventional financial assets (gold, oil and S&P 500). Design/methodology …
Spillovers and hedging between US equity sectors and gold, oil, islamic stocks and implied volatilities
SH Kang, JA Hernandez, MU Rehman, SJH Shahzad… - Resources Policy, 2023 - Elsevier
We investigate the spillovers and hedging between US equity sector returns and oil, gold,
Islamic stocks, and the implied volatilities of oil (OVX) and US stock market (VIX) based on …
Islamic stocks, and the implied volatilities of oil (OVX) and US stock market (VIX) based on …
The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters
This study examines the multiscale spillovers and nonlinear causalities between the crude
oil futures market and the stock markets of the United States (US), Canada, China, Russia …
oil futures market and the stock markets of the United States (US), Canada, China, Russia …