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Do precious metals hedge crude oil volatility jumps?

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  • Das, Debojyoti
  • Bhatia, Vaneet
  • Kumar, Surya Bhushan
  • Basu, Sankarshan

Abstract

In this study, we investigate the impacts of contemporaneous and lagged implied oil volatility (OVX) jumps on precious metals (gold, palladium, platinum, and silver) with the focus on hedging property of precious metals. Additionally, the impacts of OVX jumps on precious metals is investigated in returns and volatility. The results show that gold returns are relatively less responsive against contemporaneous and lagged OVX jumps, thus, gold acts as a weak hedge against OVX jumps. However, other metals (copper, palladium, platinum, and silver) do not serve as a hedge against contemporaneous OVX jumps. Nevertheless, these metals takeover the traditional hedging favourite ‘gold’ in the case of lagged OVX jumps and offers a strong hedge. It suggests that ignoring past information could severely undermine the investigation of OVX and the precious metal relationship. OVX jumps result in an increased volatility in precious metals, thereby indicating that all precious metals behave as a single asset class in terms of volatility transmissions. Moreover, gold is the contemporaneous metal of choice when risk perception is high or investors are averse to risk. Nevertheless, as information is diffused, other metals yield better performance as a hedge.

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  • Das, Debojyoti & Bhatia, Vaneet & Kumar, Surya Bhushan & Basu, Sankarshan, 2022. "Do precious metals hedge crude oil volatility jumps?," International Review of Financial Analysis, Elsevier, vol. 83(C).
  • Handle: RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002150
    DOI: 10.1016/j.irfa.2022.102257
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    More about this item

    Keywords

    Oil implied volatility; Precious metals; Gold; Oil volatility jumps; Hedging;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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