Analysing the spillovers between crude oil prices, stock prices and metal prices: The importance of frequency domain in USA. (1st April 2021)

• Record Type: Journal Article
• Authors: Tiwari, Aviral Kumar; Mishra, Bibhuti Ranjan; Solarin, Sakiru Adebola
• Is Part Of: Energy. Volume 220(2021)
• Publication Date: 2021-04-01
• Subjects: Spillovers -- Crude oil prices -- Stock prices -- Metal prices -- USA -- Frequency domain analysis; Power resources -- Periodicals; Power (Mechanics) -- Periodicals; Energy consumption -- Periodicals; 333.7905
• DOI: 10.1016/j.energy.2020.119732
• Languages: English
• ISSNs: 0360-5442

Abstract

Abstract: The objective of this paper is to examine the frequency domain connectedness among the returns series of crude oil, stock market index and four metal prices covering the period 1990M1-2017M3. To realize our objective, we have employed a recently introduced frequency domain spillover methods due to Barunik and Krehlik (2017). Furthermore, a network analysis is undertaken on the pairwise correlations and net directional matrix obtained from frequency domain spillover approach. In general, we find that the degree of connectedness decreases with the increase in the frequency. Particularly, with the lowest frequency i.e., 1–6 months, makes the largest contribution to total connectedness, followed by the frequency corresponding to more than 12 months, and 6–12 months, respectively. Our overall results suggest that titanium, platinum, gold and silver are the net contributors to volatility, while steel, crude oil, stock prices, and palladium are net receivers of volatility. These empirical findings are helpful in devising policies that avert contagion risk during period of economic rigidity and uncertainty. Highlights: Frequency domain connectedness between crude oil, stock and metal prices is examined. Network based on pairwise correlations and net directional matrix is used. Platinum, gold, palladium and stock prices are net contributors of volatility. Crude oil, silver, steel and titanium are net receivers. Platinum (crude oil) is the top contributor to (is top net receiver from) volatility.