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Are Spillover Effects Between Oil and Gold Prices Asymmetric? Evidence From the COVID-19 Pandemic

Author

Listed:
  • Wenli Huang
  • Mian Wu

    (China Academy of Financial Research, Zhejiang University of Finance and Economics, China)

Abstract

Our research explores how the COVID-19 pandemic has influenced the asymmetric spillover effects in the oil and gold markets. Through a VAR(p)-BEKK-AGARCH(1,1) model fitted to daily gold and oil price data, 1) we find evidence of spillover only from the oil to the gold market and that this effect is stronger during the pandemic and 2) we conclude that a negative information shock in the oil market has a larger impact on gold return volatility compared to a positive shock and that this asymmetric spillover effect intensified during the pandemic.

Suggested Citation

  • Wenli Huang & Mian Wu, 2021. "Are Spillover Effects Between Oil and Gold Prices Asymmetric? Evidence From the COVID-19 Pandemic," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 2(4), pages 1-7.
    • Handle: RePEc:ayb:jrnerl:43
    DOI: 2021/10/28
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    References listed on IDEAS

    as
    1. Gharib, Cheima & Mefteh-Wali, Salma & Jabeur, Sami Ben, 2021. "The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets," Finance Research Letters, Elsevier, vol. 38(C).
    2. Ewing, Bradley T. & Malik, Farooq, 2013. "Volatility transmission between gold and oil futures under structural breaks," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 113-121.
    3. Kang, Sang Hoon & McIver, Ron & Yoon, Seong-Min, 2017. "Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets," Energy Economics, Elsevier, vol. 62(C), pages 19-32.
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    Cited by:

    1. Li, Sufang & Xu, Qiufan & Lv, Yixue & Yuan, Di, 2022. "Public attention, oil and gold markets during the COVID-19: Evidence from time-frequency analysis," Resources Policy, Elsevier, vol. 78(C).
    2. Cui, Moyang & Wong, Wing-Keung & Wisetsri, Worakamol & Mabrouk, Fatma & Muda, Iskandar & Li, Zeyun & Hassan, Marria, 2023. "Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data," Resources Policy, Elsevier, vol. 80(C).
    3. Li, Kaifeng & Devpura, Neluka & Cheng, Sijia, 2022. "How did the oil price affect Japanese yen and other currencies? Fresh insights from the COVID-19 pandemic," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    4. K.S., Sujit & Ray, Subhajyoti, 2023. "Linear and nonlinear asymmetric relationship in crude oil, gold, stock market and exchange rates: An evidence from the UAE," Resources Policy, Elsevier, vol. 83(C).

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    More about this item

    Keywords

    gold price; oil price; spillover effect; covid-19;
    All these keywords.

    JEL classification:

    • L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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