Moments-based spillovers across gold and oil markets

Show simple item record Bonato, Matteo Gupta, Rangan Lau, Chi Keung Marco Wang, Shixuan 2021-05-19T07:00:36Z 2021-05-19T07:00:36Z 2020-06
dc.description.abstract In this paper, we use intraday futures market data on gold and oil to compute returns, realized volatility, volatility jumps, realized skewness and realized kurtosis. Using these daily metrics associated with two markets over the period of December 2, 1997 to May 26, 2017, we conduct linear, nonparametric, and time-varying (rolling) tests of causality, with the latter two approaches motivated due to the existence of nonlinearity and structural breaks. While, there is hardly any evidence of spillovers between the returns of these two markets, strong evidence of bidirectional causality is detected for realized volatility, which seems to be resulting from volatility jumps. Evidence of spillovers are also detected for the crash risk variables, i.e., realized skewness, and for realized kurtosis as well, with the effect on the latter being relatively stronger. Based on a moments-based test of causality, evidence of co-volatility is deduced, whereby we find that extreme positive and negative returns of gold and oil tend to drive the volatilities in these markets. In our robustness check, we identify a causal chain in the realized volatility from oil to gold via the financial stress. Our results have important implications for not only investors, but also policymakers. en_ZA
dc.description.department Economics en_ZA
dc.description.librarian hj2021 en_ZA
dc.description.sponsorship The SPEIR Project Fund at the University of Reading en_ZA
dc.description.uri en_ZA
dc.identifier.citation Bonato, M., Gupta, R., Lau, C.K.M. et al. 2020, 'Moments-based spillovers across gold and oil markets', Energy Economics, vol. 89, art. 104799, pp. 1-16. en_ZA
dc.identifier.issn 0140-9883 (print)
dc.identifier.issn 1873-6181 (online)
dc.identifier.other 10.1016/j.eneco.2020.104799
dc.language.iso en en_ZA
dc.publisher Elsevier en_ZA
dc.rights © 2020 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Energy Economics, vol. 89, art. 104799, pp. 1-16, 2020. doi : 10.1016/j.eneco.2020.104799. en_ZA
dc.subject Gold and oil markets en_ZA
dc.subject Linear, nonparametric and time-varying causality tests en_ZA
dc.subject Moments-based spillovers en_ZA
dc.title Moments-based spillovers across gold and oil markets en_ZA
dc.type Preprint Article en_ZA

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