{"title":"Dynamic Spillovers Among Equity, Gold and Oil Markets During COVID and Russia-Ukraine War: Evidence from India","authors":"Paramita Mukherjee, Samaresh Bardhan","doi":"10.1007/s10690-024-09482-7","DOIUrl":null,"url":null,"abstract":"<p>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.</p>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.5000,"publicationDate":"2024-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asia-Pacific Financial Markets","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s10690-024-09482-7","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
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.
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