Downside uncertainty shocks in the oil and gold markets

Roh, Tai-Yong; Byun, Suk Joon; Xu, Yahua

doi:10.1016/j.iref.2019.12.003

Cited by 6 publications

(1 citation statement)

References 41 publications

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“…Several studies have investigated quantile connectedness, risk diffusion, contagion, and tail spillover in crypto-markets (Bouri et al 2021 ; Jena et al 2020 ; Mensi et al 2021b ; Xu et al 2021 ; Naeem et al 2022 ; Yang et al 2022 ) and commodity markets (Umar et al 2021b , c ; Umar et al 2022c ; Hanif et al 2023 ). In parallel, both connectedness and elevated uncertainty in traditional financial markets have been widely studied recently (Bams et al 2017 ; Godil et al 2020 ; Roh et al 2020 ; Zhang et al 2021 ; Benlagha and El Omari 2022 ; Mensi et al 2022 ). However, to the best of our knowledge, no research to date has examined the relationships between cryptocurrencies and uncertainty in traditional markets.…”

Section: Introductionmentioning

confidence: 99%

Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

Mensi

Gubareva

et al. 2023

Financ Innov

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This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple, and Bitcoin Cash, and uncertainties in the gold, oil, and equity markets. Using the cross-quantilogram method and quantile connectedness approach, we identify cross-quantile interdependence between the analyzed variables. Our results show that the spillover between cryptocurrencies and volatility indices for the major traditional markets varies substantially across quantiles, implying that diversification benefits for these assets may differ widely across normal and extreme market conditions. Under normal market conditions, the total connectedness index is moderate and falls below the elevated values observed under bearish and bullish market conditions. Moreover, we show that under all market conditions, cryptocurrencies have a leadership influence over the volatility indices. Our results have important policy implications for enhancing financial stability and deliver valuable insights for deploying volatility-based financial instruments that can potentially provide cryptocurrency investors with suitable hedges, as we show that cryptocurrency and volatility markets are insignificantly (weakly) connected under normal (extreme) market conditions.

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Section: Introductionmentioning

confidence: 99%

Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

Mensi

Gubareva

et al. 2023

Financ Innov

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The effect of green energy, global environmental indexes, and stock markets in predicting oil price crashes: Evidence from explainable machine learning

Jabeur¹,

Khalfaoui

Arfi

2021

Journal of Environmental Management

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This study aims to predict oil prices during the 2019 novel coronavirus (COVID-19) pandemic by looking into green energy resources, global environmental indexes (ESG), and stock markets. The study employs advanced machine learning, such as the LightGBM, CatBoost, XGBoost, Random Forest (RF), and neural network models. An accurate forecasting framework can effectively capture the trend of the changes in oil prices and reduce the impact of the COVID-19 pandemic on such prices. Additionally, a large dataset with different asset classes was used to investigate the crash period. The research also introduced SHapely Additive exPlanations (SHAP) values for model analysis and interpretability. The empirical results indicate the superiority of the RF and LightGBM over traditional models. Moreover, this new framework provides favorable explanations of the model performance using the efficient SHAP algorithm. It also highlights the core features of predicting oil prices. The study found that high values of GER and ESG lead to lower crude oil prices. Our results are crucial for investors and policymakers in promoting climate change mitigation and sustained economic prosperity through green energy resources.

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Unveiling the gold-oil whirl amidst market uncertainty shocks in China

Li,

Luo

2025

The North American Journal of Economics and Finance

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Downside uncertainty shocks in the oil and gold markets

Cited by 6 publications

References 41 publications

Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

The effect of green energy, global environmental indexes, and stock markets in predicting oil price crashes: Evidence from explainable machine learning

Unveiling the gold-oil whirl amidst market uncertainty shocks in China

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