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The spillover effects of economic policy uncertainty on the oil, gold, and stock markets: Evidence from China

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  • Ruzhao Gao
  • Yancai Zhao
  • Bing Zhang

Abstract

In this study, we investigate the different spillover levels of economic policy uncertainty (EPU) on the oil, gold, and stock markets in China. EPU has the highest levels of the growth and volatility spillover on the gold market, and EPU transmits the lowest levels of growth and volatility spillovers to the oil market. EPU receives the highest level of return spillover from the oil market and the lowest from the gold market. However, EPU receives a higher level of the volatility spillover from the gold and stock markets. Regarding growth spillover, EPU is the net spillover receiver from the oil market and the net spillover transmitter to the gold market. Regarding volatility spillover, EPU is a main spillover receiver from all three markets. All net spillovers from EPU to the oil, gold, and stock markets are time‐varying. The recent financial crisis exerts significant effects on the net spillovers of EPU on the three markets.

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  • Ruzhao Gao & Yancai Zhao & Bing Zhang, 2021. "The spillover effects of economic policy uncertainty on the oil, gold, and stock markets: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2134-2141, April.
    • Handle: RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2134-2141
    DOI: 10.1002/ijfe.1898
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    Cited by:

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    2. Karol Szafranek & Michał Rubaszek & Gazi Salah Uddin, 2023. "The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets," KAE Working Papers 2023-095, Warsaw School of Economics, Collegium of Economic Analysis.
    3. Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    4. Wu, Lan & Xu, Weiju & Huang, Dengshi & Li, Pan, 2022. "Does the volatility spillover effect matter in oil price volatility predictability? Evidence from high-frequency data," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 299-306.
    5. Shah, Adil Ahmad & Dar, Arif Billah & Bhanumurthy, N.R., 2021. "Are precious metals and equities immune to monetary and fiscal policy uncertainties?," Resources Policy, Elsevier, vol. 74(C).
    6. Ioannis Dokas & Georgios Oikonomou & Minas Panagiotidis & Eleftherios Spyromitros, 2023. "Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review," Energies, MDPI, vol. 16(3), pages 1-35, February.
    7. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
    8. Li, Sufang & Tu, Dalun & Zeng, Yan & Gong, Chenggang & Yuan, Di, 2022. "Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data," Energy Economics, Elsevier, vol. 113(C).
    9. Dou, Yue & Li, Yiying & Dong, Kangyin & Ren, Xiaohang, 2022. "Dynamic linkages between economic policy uncertainty and the carbon futures market: Does Covid-19 pandemic matter?," Resources Policy, Elsevier, vol. 75(C).
    10. Chi-Wei Su & Lidong Pang & Muhammad Umar & Oana-Ramona Lobonţ, 2022. "Will Gold Always Shine amid World Uncertainty?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 58(12), pages 3425-3438, September.

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