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Characteristics of spillovers between the US stock market and precious metals and oil

Author

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  • Uddin, Gazi Salah
  • Hernandez, Jose Arreola
  • Shahzad, Syed Jawad Hussain
  • Kang, Sang Hoon
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.

Suggested Citation

  • Uddin, Gazi Salah & Hernandez, Jose Arreola & Shahzad, Syed Jawad Hussain & Kang, Sang Hoon, 2020. "Characteristics of spillovers between the US stock market and precious metals and oil," Resources Policy, Elsevier, vol. 66(C).
    • Handle: RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719305124
    DOI: 10.1016/j.resourpol.2020.101601
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    More about this item

    Keywords

    Energy and precious metal commodities; Copulas; Asymmetric spillovers; CoVaR;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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