Correlations and volatility spillovers between oil, natural gas, and stock prices in India

Kumar, Satish; Pradhan, Ashis Kumar; Tiwari, Aviral Kumar; Kang, Sang Hoon

doi:10.1016/j.resourpol.2019.04.004

Cited by 73 publications

(26 citation statements)

References 75 publications

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“…Current study results are contradicting to, Zhu et al (2011), they have reported that the stock market influences the oil in the long-run. The study results are coinciding with the findings of Kumar et al (2019), they also reported that there is no significant co-integration existing between the stock market and oil in long-run. Whereas GVIX tends to have a statistically significant impact on OVIX.…”

Section: Empirical Estimates and The Discussionsupporting

confidence: 88%

The Nonlinear Asymmetric Relationship Among Implied Volatility Indices of Indian Stock Market, Gold, and Oil: Evidence From Nardl Model

2022

IJFB

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The paper aims to examine the nonlinear asymmetric relationship among the implied volatility indices of the Indian stock market, gold, and oil for the period from 2nd March 2009 to 29th October 2021. Nonlinear Autoregressive Distributed Lag (NARDL) model results provide evidence of asymmetric nonlinear relationship among the selected variables in the short-run and the long-run. The positive and negative shocks to gold and oil implied volatility indices have a positive and significant influence on the implied volatility of the Indian stock market. The expected volatility of gold has a short-term symmetric impact on expected stock market volatility in the short run. Whereas, the implied volatility of oil has a long-run asymmetric impact on the implied volatility of the stock market. Increasing volatility in oil prices can be viewed as a signal for the starting point for the volatility of the Indian stock markets. In the long run, positive shocks to gold volatility have more impact on the expected volatility of the Indian stock market than the negative. This indicates that investors are shifting their investments from gold to stocks for higher returns when the gold prices are fluctuating.

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Section: Empirical Estimates and The Discussionsupporting

confidence: 88%

The Nonlinear Asymmetric Relationship Among Implied Volatility Indices of Indian Stock Market, Gold, and Oil: Evidence From Nardl Model

2022

IJFB

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“…The clean energy stock, gold, and Bitcoin cryptocurrency markets are chosen as the markets that may have the characteristics of hedging for fossil fuels [14][15][16]. Gold is usually chosen as a hedging asset to offset the risk that investors face because it is a universal currency recognized all over the world [17][18][19].…”

Section: Introductionmentioning

confidence: 99%

Relationships among the Fossil Fuel and Financial Markets during the COVID-19 Pandemic: Evidence from Bayesian DCC-MGARCH Models

Tang

Aruga

2021

Sustainability

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This study examined how the relationships among the fossil fuel, clean energy stock, gold, and Bitcoin markets have changed since the COVID-19 pandemic took place for hedging the price change risks in the fossil fuel markets. We applied the Bayesian Dynamic Conditional Correlation-Multivariate GARCH (DCC-MGARCH) models using US daily data from 2 January 2019 to 26 February 2021. Our results suggest that the fossil fuel (WTI crude oil and natural gas) and financial markets (clean energy stock, gold, and Bitcoin) generally had negative relationships in 2019 before the pandemic prevailed, but they became positive for a while in mid-2020, alternating between positive (0.8) and negative values (−0.8). As it is known that negative relationships are required among assets to hedge the risk of price changes, this implies that stakeholders need to be cautious in hedging the risk across the fossil fuel and financial markets when a crisis like COVID-19 occurs. However, our study also revealed that such negative relationships only lasted for three to six months, suggesting that the effects of the pandemic were short term and that stakeholders in the fossil fuel markets could cross hedge with the financial markets in the long term.

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“…The results support the unidirectional spillover from the stock market to the oil market for India, bidirectional spillover for Japan and, no evidence of volatility spillover for China. Furthermore, the spillover index between crude oil and miscellaneous financial/economic fundamentals are investigated by recent studies such as Ding et al (2017), Peng et al (2018), Xu et al (2019), Wang and Wang (2019), Kumar et al (2019), Yoon et al (2019), Yun and Yoon (2019) for different region including Asian countries. Karras (2013) investigates two types of asymmetric effects of monetary base shocks on the US economy by using quarterly data over the 1950-2011 period.…”

Section: Literature Reviewmentioning

confidence: 99%

Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times

Balcılar

Özdemir

et al. 2020

SSRN Journal

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Any opinions expressed in this paper are those of the author(s) and not those of IZA. Research published in this series may include views on policy, but IZA takes no institutional policy positions. The IZA research network is committed to the IZA Guiding Principles of Research Integrity. The IZA Institute of Labor Economics is an independent economic research institute that conducts research in labor economics and offers evidence-based policy advice on labor market issues. Supported by the Deutsche Post Foundation, IZA runs the world's largest network of economists, whose research aims to provide answers to the global labor market challenges of our time. Our key objective is to build bridges between academic research, policymakers and society. IZA Discussion Papers often represent preliminary work and are circulated to encourage discussion. Citation of such a paper should account for its provisional character. A revised version may be available directly from the author.

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Correlations and volatility spillovers between oil, natural gas, and stock prices in India

Cited by 73 publications

References 75 publications

The Nonlinear Asymmetric Relationship Among Implied Volatility Indices of Indian Stock Market, Gold, and Oil: Evidence From Nardl Model

The Nonlinear Asymmetric Relationship Among Implied Volatility Indices of Indian Stock Market, Gold, and Oil: Evidence From Nardl Model

Relationships among the Fossil Fuel and Financial Markets during the COVID-19 Pandemic: Evidence from Bayesian DCC-MGARCH Models

Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times

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