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

Economic Analysis and Policy, Journal Year: 2022, Volume and Issue: 77, P. 617 - 634

Published: Dec. 24, 2022

Using a two-step VAR asymmetric BEKK GARCH model, this research explores the return and volatility connectedness between gold several energy markets during three subperiods: pre-COVID, before vaccination, after vaccination. Gold's returns spillover are generally found to be time- energy-dependent. In addition, optimal weights, hedge ratios, hedging effectiveness of commodity pairs calculated subperiods. The results weights show that investors should increase their investment in commodities more than (energy commodities) after-vaccination period (the pre-vaccination period). Moreover, strategy would only effective within COVID-19 vaccination period, which could have implications for strategic asset allocation policy-makers international investors. Finally, we examine potential determinants conditional correlations markets. VIX, EPU, new confirmed cases main predictors most commodity–gold examined period.

Language: Английский

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Unveiling commodities-financial markets intersections from a bibliometric perspective

Resources Policy, Journal Year: 2023, Volume and Issue: 83, P. 103635 - 103635

Published: June 1, 2023

The prominence of commodity markets within the domains empirical finance and energy economics is well established, largely due to oil's importance its relationship with other commodities financial markets. In this study, we present a bibliometric examination 437 journal articles addressing phenomenon connectedness, spanning period from 1994 2022. research methods include blend qualitative quantitative approaches, incorporating bibliometrics content analysis. Based on findings analysis, four primary streams have been identified literature concerning namely (1) interconnectivity, (2) between traditional commodities, renewable energy, cryptocurrencies, (3) oil stock markets, (4) studies utilizing copula examine interconnectivity We proposed 15 future questions for further investigation in domain including topics such as impact post-COVID era global uncertainties how can address issue climate change, exponential growth cryptocurrencies new asset, ongoing Russia-Ukraine conflict

Language: Английский

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Systemic risk contagion of green and Islamic markets with conventional markets

Annals of Operations Research, Journal Year: 2023, Volume and Issue: unknown

Published: April 18, 2023

Language: Английский

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Good vs bad returns spillover in regional energy markets

International Journal of Green Energy, Journal Year: 2023, Volume and Issue: 21(3), P. 666 - 681

Published: April 20, 2023

In this paper, we examine the presence of spillover among regional energy markets in Asia, Europe, North America, Pacific region, and South America from January 2, 1995 to May 27, 2021. We report heterogeneous results for between markets. Our work separately highlights negative positive returns across sampled also a significant increase during different crisis periods, supporting contagion phenomena. Finally, asymmetry short- long-run normal periods. carry implications investments under market conditions investment

Language: Английский

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Are Latin American stock markets connected? Exploring spillovers and the impact of risk factors

Emerging Markets Review, Journal Year: 2025, Volume and Issue: unknown, P. 101253 - 101253

Published: Jan. 1, 2025

Language: Английский

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