On the relationship of gold, crude oil, stocks with financial stress: A causality-in-quantiles approach

Debojyoti Das, Surya Bhushan Kumar, Aviral Kumar Tiwari, Muhammad Shahbaz, Haslifah M. Hasim

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)169-174
Number of pages6
JournalFinance Research Letters
Volume27
Early online date7 Mar 2018
DOIs
Publication statusPublished - Dec 2018

Keywords

  • Causality-in-quantiles
  • Crude oil
  • Financial stress
  • Gold

ASJC Scopus subject areas

  • Finance

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