Return and volatility connectedness between gold and energy markets: Evidence from the pre- and post-COVID vaccination phases

Arfaoui, Nadia; Yousaf, Imran; Jareño, Francisco

doi:10.1016/j.eap.2022.12.023

Cited by 21 publications

(6 citation statements)

References 77 publications

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“…In particular, according to Figure 3, precious metals such as silver and platinum have an obvious two-way effect on their price during the period 1999-2016 in global markets (Reboredo and Ugolini 2015;Uddin et al 2019). At the same time, energy commodities such as oil and natural gas play an important role in their price change at the international level and in a period of 29 years from 1993 to 2022 (Behmiri and Manera 2015;Reboredo and Ugolini 2016;Guhathakurta et al 2020;Jiang et al 2022;Arfaoui et al 2023). Additionally, there is a strong influence of various commodity prices on the volatility of the precious metal in India (Roy and Sinha Roy 2017).…”

Section: Goldmentioning

confidence: 99%

“…At the same time, researchers researching the period 1992-2022 observed a strong correlation between the prices of natural gas and gold. It is necessary to note that, during the COVID-19 era, this relationship is characterized as stronger (Chevallier and Ielpo 2013;Kumar et al 2022;Arfaoui et al 2023). The last commodity with which the price of natural gas seems to interact is corn.…”

Section: Natural Gasmentioning

confidence: 99%

See 1 more Smart Citation

Volatility Spillovers among the Major Commodities: A Bibliometric Review

Melas,

Faitatzoglou,

Michail

et al. 2024

Preprint

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The integration of commodities into stock exchanges marked a pivotal moment in the analysis of price dynamics. Commodities, essential for both daily sustenance and industrial processes, encompass hard commodities like metals and energy, alongside soft commodities such as agricultural produce. This paper investigates the implications of commodity price volatility on commercial and financial landscapes, recognizing its profound impact on global economies. This study employs a meticulous methodology, delineated into four stages: identification, control, and final selection of academic articles, culminating in their tabulation. Methodologically, a literature review serves as the primary tool for data acquisition, with a focus on existing scientific knowledge to bridge gaps and propose avenues for further inquiry. Drawing from reliable sources, including Google Scholar and Science Direct, the research navigates through a wealth of scholarly discourse on commodity market dynamics. By analyzing trends in academic publications, particularly focusing on the interplay between volatility spillover and gold, this paper provides insights into the evolution of research paradigms over time. Ultimately, this paper not only synthesizes existing knowledge but also identifies lacunae for future investigation, thereby contributing to a deeper understanding of the complexities surrounding commodity markets and their ramifications on global economies.

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Section: Goldmentioning

confidence: 99%

Section: Natural Gasmentioning

confidence: 99%

Volatility Spillovers among the Major Commodities: A Bibliometric Review

Melas,

Faitatzoglou,

Michail

et al. 2024

Preprint

View full text Add to dashboard Cite

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“…Moreover, COVID-vaccination is found to be more influential for the developed than for the emerging equity markets. Further, Arfaoui et al ( 2022 ) find that the connectedness between gold and energy markets varies over the pre and post COVID-vaccination periods. However, none of the above-mentioned studies have explored in detail the effect of the COVID-vaccination itself on the US financial markets.…”

Section: Introductionmentioning

confidence: 99%

Connectedness of COVID vaccination with economic policy uncertainty, oil, bonds, and sectoral equity markets: evidence from the US

Yousaf

Qureshi

et al. 2023

Ann Oper Res

Self Cite

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We examine the connectedness of the COVID vaccination with the economic policy uncertainty, oil, bonds, and sectoral equity markets in the US within time and frequency domain. The wavelet-based findings show the positive impact of COVID vaccination on the oil and sector indices over various frequency scales and periods. The vaccination is evidenced to lead the oil and sectoral equity markets. More specifically, we document strong connectedness of vaccinations with communication services, financials, health care, industrials, information technology (IT) and real estate equity sectors. However, weak interactions exist within the vaccination–IT-services and vaccination–utilities pairs. Moreover, the effect of vaccination on the Treasury bond index is negative, whereas the economic policy uncertainty shows an interchanging lead and lag relation with vaccination. It is further observed that the interrelation between vaccination and the corporate bond index is insignificant. Overall, the impact of vaccination on the sectoral equity markets and economic policy uncertainty is higher than on oil and corporate bond prices. The study offers several important implications for investors, government regulators, and policymakers.

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“…Research examining volatility connectedness across diverse financial markets and institutions has steadily increased. For example, there have been numerous studies conducted on international stock markets [9][10][11], commodity markets [12,13], gold markets [14,15], global sovereign credit default swaps [16,17], exchange rate markets [18][19][20], cryptocurrencies [21][22][23], and crude oil, gold, and stock markets [24,25].…”

Section: Introductionmentioning

confidence: 99%

Volatility Connectedness of Chinese Financial Institutions: Evidence from a Frequency Dynamics Perspective

Li,

Ni,

Zheng

et al. 2023

Systems

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Accurately measuring systemic financial risk and analyzing its sources are important issues. This study focuses on the frequency dynamics of volatility connectedness in Chinese financial institutions using a spectral representation framework of generalized forecast error variance decomposition with the least absolute shrinkage and selection operator vector autoregression. It assesses the volatility connectedness network using complex network analysis techniques. The data are derived from 31 publicly traded Chinese financial institutions between 4 January 2011 and 31 August 2023, encompassing the Chinese stock market crash in 2015 and the COVID-19 pandemic. The frequency dynamics of the volatility connectedness results indicate that long-term connectedness peaks and cross-sectoral connectedness rises during periods of financial instability, especially in the recent bull market (2014–2015) and the 2015 Chinese stock market crash. The volatility connectedness of Chinese financial institutions declined during the COVID-19 pandemic but rose during the post-COVID-19 pandemic period. Network estimation results show that securities triggered the 2015 bull market, whereas banks were the main risk transmitters during the 2015 market crash. These results have important practical implications for supervisory authorities.

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Return and volatility connectedness between gold and energy markets: Evidence from the pre- and post-COVID vaccination phases

Cited by 21 publications

References 77 publications

Volatility Spillovers among the Major Commodities: A Bibliometric Review

Volatility Spillovers among the Major Commodities: A Bibliometric Review

Connectedness of COVID vaccination with economic policy uncertainty, oil, bonds, and sectoral equity markets: evidence from the US

Volatility Connectedness of Chinese Financial Institutions: Evidence from a Frequency Dynamics Perspective

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