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Crude oil, equity and gold futures open interest co-movements

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  • Souček, Michael

Abstract

The study is unique in its investigation of the co-movements between trading activity on the equity, crude oil, and gold futures market, proxied by open interest. It provides empirical evidence that stock and crude oil futures demand for hedging is positively related, but reacts negatively to sudden shocks in open interest on the other market. Furthermore, gold futures open interest reacts positively to shocks in the crude oil futures trading activity. The level of instantaneous linkage is related to external market conditions. During periods of unstable financial markets, the correlation between equity and energy futures open interest decreases, and the correlation of the open interest on the equity and gold futures market turns weak negative. This indicates hedging funds allocation toward gold market in periods of stock market uncertainty.

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  • Souček, Michael, 2013. "Crude oil, equity and gold futures open interest co-movements," Energy Economics, Elsevier, vol. 40(C), pages 306-315.
    • Handle: RePEc:eee:eneeco:v:40:y:2013:i:c:p:306-315
    DOI: 10.1016/j.eneco.2013.07.010
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    4. Abdelbari El Khamlichi & Thi Hong Van Hoang & Wing‐keung Wong, 2016. "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," Post-Print hal-02965765, HAL.
    5. Smimou, K., 2017. "Does gold Liquidity learn from the greenback or the equity?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 461-479.
    6. Huang, Shupei & An, Haizhong & Gao, Xiangyun & Huang, Xuan, 2016. "Time–frequency featured co-movement between the stock and prices of crude oil and gold," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 985-995.
    7. Hoang, Thi-Hong-Van & Zhu, Zhenzhen & El Khamlichi, Abdelbari & Wong, Wing-Keung, 2019. "Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis," Resources Policy, Elsevier, vol. 61(C), pages 617-626.

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