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Characteristics of spillovers between the US stock market and precious metals and oil

Abstract : This study examines the characteristics of the risk spillover under extreme market scenarios between the US stock market and precious metals (gold, silver, platinum) and oil using a copula approach for tail dependence and conditional value-at-risk (CoVaR) spillover measures. The results indicate asymmetric tail dependence of the US stock market with silver and platinum, profound during market downturns. Gold and oil symmetrically co-move with the US stock market under normal and extreme market scenarios. Silver and platinum most strongly influence US stock market in the downside, while oil does it on the upside. The US stock market most strongly influences oil and silver under both market downturns and upturns. Gold weakly spillover to the US stock market, suggesting that investors can use gold as an equity portfolio diversifier.
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https://hal-rennes-sb.archives-ouvertes.fr/hal-02489889
Contributor : Steven Gouin <>
Submitted on : Monday, February 24, 2020 - 5:08:15 PM
Last modification on : Tuesday, February 25, 2020 - 1:02:25 AM

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Gazi Salah Uddin, Jose Arreola Hernandez, Syed Jawad Hussain Shahzad, Sang Hoon Kang. Characteristics of spillovers between the US stock market and precious metals and oil. Resources Policy, Elsevier, 2020, 66, pp.101601. ⟨10.1016/j.resourpol.2020.101601⟩. ⟨hal-02489889⟩

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