Dynamic Spillovers Among Equity, Gold and Oil Markets During COVID and Russia-Ukraine War: Evidence from India

IF 2.5 Q2 ECONOMICS
Paramita Mukherjee, Samaresh Bardhan
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Abstract

The interactions among equity and commodity market prices and their volatility provide valuable information to market participants. This paper explores such dynamic interrelations in India, especially whether relationships have significantly changed with the onset of the COVID-19 pandemic and the Russia-Ukraine war of 2022. Based on a daily dataset from January 2017 to May 2022, VAR-MGARCH models and dynamic correlations are estimated with prices of gold, equity, and crude oil for spot and futures markets. Findings suggest that for gold, crude oil, and equity in spot and futures segments, there is evidence of significant persistence of volatility and spillover from past shocks. In general, volatility spillover is more pronounced in the spot than in the futures market. Evidence also indicates bi-directional spillovers between markets, but it is more prominent from the equity market to the crude oil and from crude oil to the gold market. However, the most notable finding of the study is that, like the period of the global financial crisis, the dynamic correlation between stock and crude oil markets has substantially increased during the COVID and war periods both in spot and futures markets. Also, during COVID, the property of gold acting as a hedge against stock has weakened.

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COVID 和俄乌战争期间股票、黄金和石油市场的动态溢出效应:来自印度的证据
股票和商品市场价格之间的相互作用及其波动性为市场参与者提供了宝贵的信息。本文探讨了印度的这种动态相互关系,特别是随着 COVID-19 大流行病和 2022 年俄乌战争的爆发,这种关系是否发生了重大变化。基于 2017 年 1 月至 2022 年 5 月的每日数据集,对现货和期货市场的黄金、股票和原油价格进行了 VAR-MGARCH 模型和动态相关性估计。研究结果表明,对于黄金、原油和股票的现货和期货部分,有证据表明波动性和过去冲击的溢出具有显著的持续性。一般来说,现货市场的波动溢出比期货市场更明显。证据还表明市场之间存在双向溢出效应,但从股票市场到原油市场以及从原油市场到黄金市场的溢出效应更为突出。然而,本研究最显著的发现是,与全球金融危机时期一样,在 COVID 和战争时期,股票市场和原油市场之间的动态相关性大幅增加,无论是现货市场还是期货市场。此外,在 COVID 期间,黄金作为股票对冲工具的特性有所减弱。
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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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