Connectedness among crude oil prices, stock index and metal prices: An application of network approach in the USA

Shaiara Husain, Aviral Kumar Tiwari, Kazi Sohag, Muhammad Shahbaz

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

We investigate the connectedness among crude oil prices, stock index and metal prices covering the period of 1990M1-2017M3 for US economy applying time domain Spillover Index framework by Diebold and Yilmaz (2012). We contribute to the literature by developing network-based approach generated from time domain spill-over methods. It is evident that the stock index is neither price spillover receiver nor contributor. Our investigation demonstrates that palladium, gold, platinum and silver are net contributors of volatility spillover whereas crude oil, titanium, steel, and silver are net receivers of volatility spillover. The identification of the net recipient and receiver of volatility spillover appears challenging measured by the magnitudes of net volatility spillovers index in the presence of economic crises including global financial crisis 2008–2009 and European Sovereign Debt Crisis period 2010–2012.

Original languageEnglish
Pages (from-to)57-65
Number of pages9
JournalResources Policy
Volume62
DOIs
Publication statusPublished - 1 Aug 2019

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crude oil
oil price
recipient
metal
silver
debt crisis
financial crisis
palladium
gold
platinum
economic crisis
titanium
steel
economy
index
volatility
price
Stock index
Connectedness
Crude oil price

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Husain, Shaiara ; Tiwari, Aviral Kumar ; Sohag, Kazi ; Shahbaz, Muhammad. / Connectedness among crude oil prices, stock index and metal prices : An application of network approach in the USA. In: Resources Policy. 2019 ; Vol. 62. pp. 57-65.
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Connectedness among crude oil prices, stock index and metal prices : An application of network approach in the USA. / Husain, Shaiara; Tiwari, Aviral Kumar; Sohag, Kazi; Shahbaz, Muhammad.

In: Resources Policy, Vol. 62, 01.08.2019, p. 57-65.

Research output: Contribution to journalArticle

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