Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?

Kamal, Javed Bin; Wohar, Mark E.; Kamal, Khaled Bin

doi:10.1016/j.resourpol.2022.102920

Cited by 30 publications

(8 citation statements)

References 72 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The GPR index proposed by Caldara and Iacoviello (2022) employs the same underlying idea as the economic policy uncertainty presented by Baker et al (2016). GPR is expected to negatively affect the Canadian stock market (Bossman and Gubareva 2023), with asymmetric effects on the Brazilian, South African, and Turkish stock markets (Hoque and Zaidi 2020), while Malaysian and US stocks remain unaffected (Hoque et al 2019;Kamal et al 2022).…”

Section: Uncertainty Effects On Sustainable Stockmentioning

confidence: 99%

“…Hence, with gold being a safe haven, prices should increase (Baur and Lucey 2010). However, Kamal et al (2022) found that gold was not affected by the EPU, VIX, or GPR during the COVID-19 pandemic.…”

Section: Introductionmentioning

confidence: 97%

“…Baker et al (2016) calculated the economic policy uncertainty index using a newspaper-based approach that reflected economic risks in the United States and pointed out that economic policy uncertainty has a high significant impact on the entire economy. Thus, economic policy uncertainty affects the stock market more than geopolitical risks (GPRs) and financial stress (Das et al 2019;Kamal et al 2022;Tran and Vo 2023). The study on economic policy uncertainty were applied to investigate the relationship between stock markets in many countries (see, e.g., Erdo gan et al 2022;Nusair and Al-Khasawneh 2023).…”

Section: Introductionmentioning

confidence: 99%

“…In addition to an increase in sustainable stock investments, investors should be aware of portfolio management risks. GPR, VIX, EPU, and commodity price changes in recent years have anticipated consequences with a negative effect on the stock market because they are risky assets that are sensitive to uncertainty and dependent on commodity prices (Kamal et al 2022;Atri et al 2023). Sustainable stocks are negatively affected by EPU and VIX (Shaikh 2022;Naeem et al 2023), while they are positively affected by gold and crude oil prices (Darsono et al 2022).…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Nittayakamolphun,

Bejrananda,

Pholkerd

2024

JRFM

View full text Add to dashboard Cite

The increase in global economic policy uncertainty (EPU), volatility or stock market uncertainty (VIX), and geopolitical risk (GPR) has affected gold prices (GD), crude oil prices (WTI), and stock markets, which present challenges for investors. Sustainable stock investments in emerging markets may minimize and diversify investor risk. We applied the non-linear autoregressive distributed lag (NARDL) model to examine the effects of EPU, VIX, GPR, GD, and WTI on sustainable stocks in seven emerging markets (Thailand, Malaysia, Indonesia, Brazil, South Africa, Taiwan, and South Korea) from January 2012 to June 2023. EPU, VIX, GPR, GD, and WTI showed non-linear cointegration with sustainable stocks in seven emerging markets and possessed different asymmetric effects in the short and long run. Change in EPU increases the return of Thailand’s sustainable stock in the long run. The long-run GPR only affects the return of Indonesian sustainable stock. All sustainable stocks are negatively affected by the VIX and positively affected by GD in the short and long run. Additionally, long-run WTI negatively affects the return of Indonesia’s sustainable stocks. Our findings contribute to rational investment decisions on sustainable stocks, including gold and crude oil prices, to hedge the asymmetric effect of uncertainty.

show abstract

Section: Uncertainty Effects On Sustainable Stockmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 97%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Nittayakamolphun,

Bejrananda,

Pholkerd

2024

JRFM

View full text Add to dashboard Cite

show abstract

“…In an another study, Tiwari et al (2020) concluded that gold can serve as a safe hedge against the oil returns in the short and medium run, but in the Impact of geopolitical risk long run, it cannot protect the investors against the increasing oil prices due to the GPRs. Few studies incorporate the impact of GPR on Islamic and conventional stocks and concluded that during the GPRs, the Islamic and conventional stocks respond in the similar manner (Abbass et al, 2022;Agoraki et al, 2022;Ho et al, 2021;Kamal et al, 2022;Li et al, 2022;Sohag et al, 2022a, b;Zhang and Hamori, 2022;Rabbani et al, 2022). Abbass et al (2022) further concluded that Islamic and conventional stocks are a good hedge against the geopolitical rise in oil prices.…”

Section: Introductionmentioning

confidence: 99%

Revisiting the impact of geopolitical risk on Sukuk, stocks, oil and gold markets during the crises period: fresh evidence from wavelet-based approach

Raza Rabbani,

Hassan,

Jamil

et al. 2023

View full text Add to dashboard Cite

Purpose In this study, the authors analyze the impact of geopolitics risk on Sukuk, Islamic and composite stocks, oil and gold markets and portfolio diversification implications during the COVID-19 pandemic and Russia–Ukraine conflict period.Design/methodology/approach The study used a mix of wavelet-based approaches, including continuous wavelet transformation and discrete wavelet transformation. The analysis used data from the Geopolitical Risk index (GP{R), Dow Jones Sukuk index (SUKUK), Dow Jones Islamic index (DJII), Dow Jones composite index (DJCI), one of the top crude oil benchmarks which is based on the Europe (BRENT) (oil fields in the North Sea between the Shetland Island and Norway), and Global Gold Price Index (gold) from May 31, 2012, to June 13, 2022.Findings The results of the study indicate that during the COVID-19 and Russia–Ukraine conflict period geopolitical risk (GPR) was in the leading position, where BRENT confirmed the lagging relationship. On the other hand, during the COVID-19 pandemic period, SUKUK, DJII and DJCI are in the leading position, where GPR confirms the lagging position.Originality/value The present study is unique in three respects. First, the authors revisit the influence of GPR on global asset markets such as Islamic stocks, Islamic bonds, conventional stocks, oil and gold. Second, the authors use the wavelet power spectrum and coherence analysis to determine the level of reliance based on time and frequency features. Third, the authors conduct an empirical study that includes recent endogenous shocks generated by health crises such as the COVID-19 epidemic, as well as shocks caused by the geopolitical danger of a war between Russia and Ukraine.Highlights We analyze the impact of geopolitics risk on Sukuk, Islamic and composite stocks, oil and gold markets and portfolio diversification implications during the COVID-19 pandemic and Russia–Ukraine conflict period.The results of the wavelet-based approach show that Dow Jones composite and Islamic indexes have observed the highest mean return during the study period.GPR and BRENT are estimated to have the highest amount of risk throughout the observation period.Dow Jones Sukuk, Islamic and composite stock show similar trend of volatility during the COVID-19 pandemic period and comparatively gold observes lower variance during the COVID-19 pandemic and Russia–Ukraine conflict.

show abstract

Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model

Zheng,

Wu,

Lin

2024

Journal of Futures Markets

View full text Add to dashboard Cite

Existing studies on commodity market risk spillovers recognize the pivotal role of geopolitical risk (GPR), but scarcely address how it drives tail risk spillover networks. This study adopts the Tail‐Event driven NETwork methodology to explore high‐dimensional Conditional Value at Risk (CoVaR) spillovers within energy and other strategic commodity markets. Our findings indicate that (1) In both lower and upper tail networks, metal and food commodities primarily act as net risk transmitters, whereas energy commodities are mainly net risk receivers. Additionally, these roles undergo short‐term reversals during periods of heightened market uncertainty. (2) There exists an asymmetrical pattern of CoVaR co‐movements in these commodity markets. The total connectedness (TC) in both the upper and lower tails demonstrates distinct responses to various extreme events. GPR tends to weaken the lower tail TC and strengthen the upper tail. (3) Incorporating GPR substantially improves the effectiveness of Minimum Connectedness Portfolio (MCoP) for these strategic commodities.

show abstract

Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?

Cited by 30 publications

References 72 publications

Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Revisiting the impact of geopolitical risk on Sukuk, stocks, oil and gold markets during the crises period: fresh evidence from wavelet-based approach

Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model

Contact Info

Product

Resources

About