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Energy, precious metals, and GCC stock markets: Is there any risk spillover? · Study

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ArticleEnergy, precious metals, and GCC stock markets: Is there any risk spillover?

Khamis Hamed Al‐Yahyaee2019

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Articlegreen2019

Energy, precious metals, and GCC stock markets: Is there any risk spillover?

Khamis Hamed Al‐Yahyaee · Walid Mensi · Ahmet Şensoy · Sang Hoon Kang

130 citations·0/0 files stored·Pacific-Basin Finance Journal

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Market Dynamics and Volatility Economics of Agriculture and Food Markets Financial Risk and Volatility Modeling

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References

2002Dynamic Conditional Correlation 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2001Extreme Correlation of International Equity Markets 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold 2010Is gold a safe haven? International evidence 1995Is the correlation in international equity returns constant: 1960–1990?

Cited by

2023Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict 2022Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications 2022Time-varying spillover effects and investment strategies between WTI crude oil, natural gas and Chinese stock markets related to belt and road initiative 2021Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak

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Details

Year2019

Typearticle

Published2019-05-22

VenuePacific-Basin Finance Journal

ISSN-L0927-538X

Languageen

Citations130

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.pacfin.2019.05.006

openalex_workW2946737604

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2020Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives

2020Impact of the novel coronavirus on stock market returns: evidence from GCC countries

2021Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach

2021The safe-haven property of precious metal commodities in the COVID-19 era