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COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets

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  • Mensi, Walid
  • Vo, Xuan Vinh
  • Kang, Sang Hoon

Abstract

This study examines the volatility spillovers between the US stock market (S&P500 index) and both oil and gold before and during the global health crisis (GHC). We apply the FIAPARCH-DCC model to the 15-minute intraday data. The results showed negative (positive) conditional correlations between the S&P500 and gold (oil). The time-varying conditional correlations between markets were higher during COVID-19 spread. Moreover, gold offers more diversification gains than oil does during the pandemic. Hedging is more expensive during a pandemic than before. Oil provides higher hedging effectiveness (HE) than gold for all sub-periods. HE was lower during the COVID-19 outbreak for both oil and gold. These findings have important implications for both equity investors and policymakers.

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  • Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 702-715.
  • Handle: RePEc:eee:ecanpo:v:74:y:2022:i:c:p:702-715
    DOI: 10.1016/j.eap.2022.04.001
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    Keywords

    Spillovers; Hedging; COVID-19; High frequency;
    All these keywords.

    JEL classification:

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

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