TY - JOUR
T1 - Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets
AU - Mensi, Walid
AU - Abdel Razzaq Al Rababa'a
AU - Xuan Vinh Vo
AU - Sang Hoon Kang
N1 - Publisher Copyright:
© 2021 Elsevier B.V.
PY - 2021
Y1 - 2021
N2 - This paper examines the asymmetric return spillovers between crude oil futures, gold futures and ten sector stock markets of China. The results show using the spillover index of Diebold and Yilmaz (2012, 2014) time-varying asymmetry spillovers among commodity and the ten sectors. Industrials and consumer discretionary sectors are the largest contributor and receiver of spillovers in the system. In addition, basic materials sector is a net contributor of spillovers whereas oil futures, gold futures and the remaining sectors are net receiver of spillovers. Furthermore, the bad return spillovers dominate the good return spillovers. The asymmetry spillovers are influenced by the global financial and European crises (GFC & ESDC), oil price crash and global health crisis (COVID-19 outbreak). Equity investors benefit from adding gold and oil to their individual equity markets. Moreover, the hedging is sensitive to the GFC & ESDC, oil price crash, and COVID-19 outbreak. Finally, the highest hedging effectiveness occurs during COVID-19 spread for the case of oil futures. The result is similar for gold under only good spillovers and it is highest during recovery period under bad spillovers.
AB - This paper examines the asymmetric return spillovers between crude oil futures, gold futures and ten sector stock markets of China. The results show using the spillover index of Diebold and Yilmaz (2012, 2014) time-varying asymmetry spillovers among commodity and the ten sectors. Industrials and consumer discretionary sectors are the largest contributor and receiver of spillovers in the system. In addition, basic materials sector is a net contributor of spillovers whereas oil futures, gold futures and the remaining sectors are net receiver of spillovers. Furthermore, the bad return spillovers dominate the good return spillovers. The asymmetry spillovers are influenced by the global financial and European crises (GFC & ESDC), oil price crash and global health crisis (COVID-19 outbreak). Equity investors benefit from adding gold and oil to their individual equity markets. Moreover, the hedging is sensitive to the GFC & ESDC, oil price crash, and COVID-19 outbreak. Finally, the highest hedging effectiveness occurs during COVID-19 spread for the case of oil futures. The result is similar for gold under only good spillovers and it is highest during recovery period under bad spillovers.
KW - Chinese stock market
KW - Crises
KW - Gold
KW - Oil
KW - Spillover
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U2 - 10.1016/j.eneco.2021.105262
DO - 10.1016/j.eneco.2021.105262
M3 - Article
SN - 0140-9883
VL - 98
JO - Energy Economics
JF - Energy Economics
M1 - 105262
ER -