COVID-19 pandemic's impact on intraday volatility spillover between oil, gold, and stock markets.
Econ Anal Policy
; 74: 702-715, 2022 Jun.
Article
in English
| MEDLINE | ID: covidwho-1778090
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.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Experimental Studies
Language:
English
Journal:
Econ Anal Policy
Year:
2022
Document Type:
Article
Affiliation country:
J.eap.2022.04.001
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