Asymmetric risk transmissions between oil, gold and US equities: Recent evidence from the realized variance of the futures prices

Aktham Maghyereh, Basel Awartani, Nader S. Virk

    Research output: Contribution to journalArticlepeer-review

    4 Citations (Scopus)

    Abstract

    In this paper, we compute the Baruník and Baruník (2018) spillover asymmetric measure (the SAM hereinafter) to explain the difference between good and bad risk transmissions in a system of three strategic markets: the oil market, the gold market, and the US equity market. To get consistent and responsive volatility estimates, we compute the realized volatilities at the 5-min returns frequency of the future prices of the three asset classes. The results from the obtained sample indicate that daily bad volatilities transmit more risk information than daily good volatilities. Interestingly, these asymmetries in the transmission mechanism are found to increase after a progressive deterioration in the US business environment and/or in the economic policy uncertainty of the US economy. Hence, we conclude that the day-to-day changes in policy uncertainty and economic activity in the US are important and should be accounted for in risk transmission, risk forecasting, asset pricing, and portfolio diversification.

    Original languageEnglish
    Article number103108
    JournalResources Policy
    Volume79
    DOIs
    Publication statusPublished - Dec 2022

    Keywords

    • Asymmetric effects
    • Financial crisis
    • Spillovers semi variance
    • Volatility connectedness

    ASJC Scopus subject areas

    • Sociology and Political Science
    • Economics and Econometrics
    • Management, Monitoring, Policy and Law
    • Law

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