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On the relationship of gold, crude oil, stocks with financial stress: A causality-in-quantiles approach

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  • Das, Debojyoti
  • Kumar, Surya Bhushan
  • Tiwari, Aviral Kumar
  • Shahbaz, Muhammad
  • Hasim, Haslifah M.

Abstract

We examined the dependence structure of stocks, gold and crude oil with financial stress using the nonparametric causality-in-quantile technique for the period from December 1993 to March 2017. The study finds the evidence of bilateral causality in mean and variance for gold and crude oil with respect to financial stress, and stocks to be influential to financial stress both in mean and variance.

Suggested Citation

  • Das, Debojyoti & Kumar, Surya Bhushan & Tiwari, Aviral Kumar & Shahbaz, Muhammad & Hasim, Haslifah M., 2018. "On the relationship of gold, crude oil, stocks with financial stress: A causality-in-quantiles approach," Finance Research Letters, Elsevier, vol. 27(C), pages 169-174.
    • Handle: RePEc:eee:finlet:v:27:y:2018:i:c:p:169-174
    DOI: 10.1016/j.frl.2018.02.030
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    References listed on IDEAS

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    More about this item

    Keywords

    Gold; Crude oil; Financial stress; Causality-in-quantiles;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics

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