TY - JOUR
T1 - On the relationship of gold, crude oil, stocks with financial stress
T2 - A causality-in-quantiles approach
AU - Das, Debojyoti
AU - Kumar, Surya Bhushan
AU - Tiwari, Aviral Kumar
AU - Shahbaz, Muhammad
AU - Hasim, Haslifah M.
PY - 2018/12
Y1 - 2018/12
N2 - We examined the dependence structure of stocks, gold and crude oil with financial stress using the nonparametric causality-in-quantile technique for the period from December 1993 to March 2017. The study finds the evidence of bilateral causality in mean and variance for gold and crude oil with respect to financial stress, and stocks to be influential to financial stress both in mean and variance.
AB - We examined the dependence structure of stocks, gold and crude oil with financial stress using the nonparametric causality-in-quantile technique for the period from December 1993 to March 2017. The study finds the evidence of bilateral causality in mean and variance for gold and crude oil with respect to financial stress, and stocks to be influential to financial stress both in mean and variance.
KW - Causality-in-quantiles
KW - Crude oil
KW - Financial stress
KW - Gold
UR - http://www.scopus.com/inward/record.url?scp=85044269443&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2018.02.030
DO - 10.1016/j.frl.2018.02.030
M3 - Article
AN - SCOPUS:85044269443
SN - 1544-6123
VL - 27
SP - 169
EP - 174
JO - Finance Research Letters
JF - Finance Research Letters
ER -