Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets

By Walid Mensi, Abdel Razzaq Al Rababa'a, X. Vo, Sang Hoon Kang. Energy Economics, 2021

211 citations recorded by the source corpus.

Abstract This paper examines the asymmetric return spillovers between crude oil futures, gold futures and ten sector stock markets of China. The results show using the spillover index of Diebold and Yilmaz (2012, 2014) time-varying asymmetry spillovers among commodity and the ten sectors. Industrials and consumer discretionary sectors are the largest contributor and receiver of spillovers in the system. In addition, basic materials sector is a net contributor of spillovers whereas oil futures, gold futures and the remaining sectors are net receiver of spillovers. Furthermore, the bad return spillovers dominate the good return spillovers. The asymmetry spillovers are influenced by the global financial and European crises (GFC & ESDC), oil price crash and global health crisis (COVID-19 outbreak). Equity investors benefit from adding gold and oil to their individual equity markets. Moreover, the hedging is sensitive to the GFC & ESDC, oil price crash, and COVID-19 outbreak. Finally, the highest hedging effectiveness occurs during COVID-19 spread for the case of oil futures. The result is similar for gold under only good spillovers and it is highest during recovery period under bad spillovers.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/b0d555b3256fc64ce8ae3429f93b455a7cf30dfe