Characteristics of spillovers between the US stock market and precious metals and oil. (June 2020)

• Record Type: Journal Article
• Authors: Uddin, Gazi Salah; Hernandez, Jose Arreola; Shahzad, Syed Jawad Hussain; Kang, Sang Hoon
• Is Part Of: Resources policy. Volume 66(2020)
• Publication Date: 2020-06
• Subjects: Energy and precious metal commodities -- Copulas -- Asymmetric spillovers -- CoVaR; C58 -- F37 -- G11; Mines and mineral resources -- Periodicals; Ressources minérales -- Périodiques; Ressources naturelles -- Gestion -- Périodiques; Environnement -- Politique gouvernementale -- Périodiques; 333.8
• DOI: 10.1016/j.resourpol.2020.101601
• Languages: English
• ISSNs: 0301-4207

Abstract

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. Highlights: This study examines whether the US stock market spillovers on oil, gold, silver, and platinum under extreme market scenarios. The US stock market most strongly impacts prices and returns of oil and silver during market downturns and upturns. Investors can use gold as an equity portfolio diversifier.