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Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …

Persistent link: https://www.econbiz.de/10010515402

Energy contagion in the COVID-19 crisis

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020

We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...

Persistent link: https://www.econbiz.de/10012226706

Gold and silver as safe havens : a fractional integration and cointegration analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022

This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with … 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and … sample starting in January 2020, the evidence in favour of gold and silver as possible safe havens is pretty conclusive since …

Persistent link: https://www.econbiz.de/10013445596

How money relates to value? : an empirical examination on gold, silver and bitcoin

Alves, José; Gonçalves, João Quental - 2022

our problem allowing us to ask how old forms of money such as Gold and Silver hold up in today's world regarding their …. We analyse price dynamics from 1980 to 2020 for gold and silver resorting to annual data. Regarding bitcoin we employ …

Persistent link: https://www.econbiz.de/10013170942

Networks of volatility spillovers among stock markets

Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017

In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

Persistent link: https://www.econbiz.de/10011654569

A neglected semi-stylized fact of daily stock returns

Davies, Patrick Laurie; Krämer, Walter - 2016

We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...

Persistent link: https://www.econbiz.de/10011444114

Total, asymmetric and frequency connectedness between oil and forex markets

Baruník, Jozef; Kočenda, Evžen - 2019

We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 - 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and...

Persistent link: https://www.econbiz.de/10012035050

Disentangling timing uncertainty of event-driven connectedness among oil-based energy commodities

Kočenda, Evžen; Bartušek, Daniel - 2024

Reported news events frequently influence the pricing dynamics of oil-based commodities. We analyze almost 900 oil-related events from 1987 to 2022, categorizing them based on recurring characteristics. We quantify dynamic connectedness among energy commodities and apply a novel...

Persistent link: https://www.econbiz.de/10015125481

Event-driven changes in volatility connectedness in global forex markets

Albrecht, Peter; Kočenda, Evžen - 2025

Using novel methods, we comprehensively analyze volatility connectedness among most traded currencies using high-frequency data from 2009 to 2023. Our study presents the first empirical evidence of a statistically significant association between increases in connectedness and endogenously...

Persistent link: https://www.econbiz.de/10015179220

Too much in one basket? : debt concentration and sovereign yields

Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025

We examine the effects of debt distribution characteristics, specifically skewness and maturity concentration, on sovereign yields across OECD countries over the period 1995Q1 to 2020Q4. After computing specific Lorenz curves and Gini coefficients, we find that positive skewness generally exerts...

Persistent link: https://www.econbiz.de/10015420879