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Quantile connectedness among gold, gold mining, silver, oil and energy sector uncertainty indexes

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  • Mensi, Walid
  • Lee, Yun-Jung
  • Vo, Xuan Vinh
  • Yoon, Seong-Min

Abstract

This study examines the quantile relationships among silver, gold, gold mining, oil and energy sector uncertainty indexes. Using a quantile cross-spectral approach, results show that the uncertainty indexes have a time- and quantile-dependent structure. Moreover, the extent of dependence is higher at the long term than at the short- and medium-terms, irrespective of time horizons. Gold and silver show negative and positive short-term dependence during bearish and bull market conditions, respectively, at two-day trading. The dependence switches to positive beyond two trading days. We find asymmetric dependence between crude oil and energy sector uncertainty indexes at two-day trading. The dependence is positive at medium and long terms. Furthermore, the magnitude of dependence between metal (gold, gold mining and silver) and energy uncertainty indexes (crude oil and energy sectors) is sensitive to market conditions.

Suggested Citation

  • Mensi, Walid & Lee, Yun-Jung & Vo, Xuan Vinh & Yoon, Seong-Min, 2021. "Quantile connectedness among gold, gold mining, silver, oil and energy sector uncertainty indexes," Resources Policy, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:jrpoli:v:74:y:2021:i:c:s030142072100458x
    DOI: 10.1016/j.resourpol.2021.102450
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    More about this item

    Keywords

    Metal and energy uncertainty indexes; Connectedness; Quantile cross-spectral approach;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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