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Dynamic return and volatility spillovers among S&P 500, crude oil and gold

Author

Listed:
  • Mehmet Balcilar

    () (Department of Economics, Eastern Mediterranean University)

  • Zeynel Abidin Ozdemir

    (Gazi University, Ankara, Turkey)

  • Huseyin Ozdemir

    (Gazi University, Ankara, Turkey)

Abstract

This paper examines the return and volatility spillover effects among S&P 500, crude oil and gold by employing the spillover index of Diebold and Yilmaz (2012). Monthly realized volatility and return series covering the period from January 1986 to August 2018 are used to examine the return and volatility spillovers. Our findings indicate a bi-directional return and volatility spillover among these assets. The full sample empirical evidence is consistent with the structure in which oil plays a central role in the information transmission mechanism. The role of oil and gold as a safe haven has changed over time in financial and non-financial economic turbulence time-span. Commodity market financialization has decreased the effectiveness of adding commodities to portfolios after 2002.

Suggested Citation

  • Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2018. "Dynamic return and volatility spillovers among S&P 500, crude oil and gold," Working Papers 15-46, Eastern Mediterranean University, Department of Economics.
  • Handle: RePEc:emu:wpaper:15-46.pdf
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    File URL: http://repec.economics.emu.edu.tr/RePEc/emu/wpaper/15-46.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    S&P 500 index; Oil price; Gold Price; Return spillover; Volatility spillover;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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