Maghyereh, A.I., Awartani, B. and Tziogkidis, P. 2017. Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries. Energy Economics. 68, pp. 440-453. https://doi.org/10.1016/j.eneco.2017.10.025
| Title | Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries |
|---|---|
| Type | Journal article |
| Authors | Maghyereh, A.I., Awartani, B. and Tziogkidis, P. |
| Abstract | The paper examines the return and volatility spillovers between crude oil, gold and equities, and investigates the usefulness of the two commodities in hedging equity portfolios. Using daily data from January 20043 to May 2016 for the Gulf Cooperation Council countries, a DCC-GARCH model is used to estimate dynamic correlations and hedge ratios. We find significant spillovers from oil to equities, highlighting the heavy dependence of the local economies on oil. Moreover, the spillovers of gold on the stock markets are insignificant, suggesting that gold price fluctuations do not necessarily influence equity investment decisions. In the opposite direction, we find that equities do not exert significant influence on the two commodities, which we attribute to the relatively small capitalisation of the exchanges. Our results reveal low dynamic correlations and hedge ratios, with a few spikes during crises, indicating that oil and gold are cheap hedges for stocks, albeit not good ones, while they could be considered as weak safe havens, but at a considerable cost. |
| Journal | Energy Economics |
| Journal citation | 68, pp. 440-453 |
| ISSN | 0140-9883 |
| Year | 2017 |
| Publisher | Elsevier |
| Accepted author manuscript | |
| Digital Object Identifier (DOI) | https://doi.org/10.1016/j.eneco.2017.10.025 |
| Publication dates | |
| Published online | 25 Oct 2015 |
| Published | 25 Oct 2015 |
| Published in print | Oct 2017 |
| License | CC BY-NC-ND 4.0 |