TY - JOUR
T1 - Spillovers and Portfolio Management Between the Uncertainty Indices of Oil and Gold and G7 Stock Markets
AU - Mensi, Walid
AU - Ziadat, Salem Adel
AU - Vo, Xuan Vinh
AU - Kang, Sang Hoon
N1 - Publisher Copyright:
© 2023, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.
PY - 2023
Y1 - 2023
N2 - This study investigates the time-varying and frequency spillovers between G7 stock markets and uncertainty indices of strategic commodities (oil and gold), as well as their implications for diversified portfolios. The results show, using Baruník and Křehlík (J Financ Econom 16:271–296, 2018) method, significant time-varying spillovers between the series under study. Moreover, spillover size is more important during an oil collapse than during other crises (GFC, G2 trade tension, and COVID-19, among others). Short-term spillover is the largest proportion of total volatility spillovers. Furthermore, the uncertainty indices are net receivers of spillovers for different time horizons. Oil receives more spillovers than gold, indicating that the latter commodity is more immune to shocks emanating from G7 stock markets than the former. The G7 stock markets, apart from that of the Japanese, are net transmitters of spillovers in the system.
AB - This study investigates the time-varying and frequency spillovers between G7 stock markets and uncertainty indices of strategic commodities (oil and gold), as well as their implications for diversified portfolios. The results show, using Baruník and Křehlík (J Financ Econom 16:271–296, 2018) method, significant time-varying spillovers between the series under study. Moreover, spillover size is more important during an oil collapse than during other crises (GFC, G2 trade tension, and COVID-19, among others). Short-term spillover is the largest proportion of total volatility spillovers. Furthermore, the uncertainty indices are net receivers of spillovers for different time horizons. Oil receives more spillovers than gold, indicating that the latter commodity is more immune to shocks emanating from G7 stock markets than the former. The G7 stock markets, apart from that of the Japanese, are net transmitters of spillovers in the system.
KW - Frequency spillovers
KW - G7 stock market
KW - Hedging
KW - Strategic commodity
KW - Uncertainty indices
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U2 - 10.1007/s10614-023-10488-y
DO - 10.1007/s10614-023-10488-y
M3 - Article
AN - SCOPUS:85178069501
SN - 0927-7099
JO - Computational Economics
JF - Computational Economics
ER -