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

doi:10.1016/j.frl.2018.02.030

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

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

74 Citations (Scopus)

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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 language	English
Pages (from-to)	169-174
Number of pages	6
Journal	Finance Research Letters
Volume	27
Early online date	7 Mar 2018
DOIs	https://doi.org/10.1016/j.frl.2018.02.030
Publication status	Published - Dec 2018

Keywords

Causality-in-quantiles
Crude oil
Financial stress
Gold

ASJC Scopus subject areas

Finance

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

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.",

keywords = "Causality-in-quantiles, Crude oil, Financial stress, Gold",

author = "Debojyoti Das and Kumar, \{Surya Bhushan\} and Tiwari, \{Aviral Kumar\} and Muhammad Shahbaz and Hasim, \{Haslifah M.\}",

year = "2018",

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language = "English",

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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 - https://www.scopus.com/pages/publications/85044269443

U2 - 10.1016/j.frl.2018.02.030

DO - 10.1016/j.frl.2018.02.030

M3 - Article

AN - SCOPUS:85044269443

SN - 1544-6123

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SP - 169

EP - 174

JO - Finance Research Letters

JF - Finance Research Letters

ER -

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

Abstract

Keywords

ASJC Scopus subject areas

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