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Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications

Author

Listed:
  • Mensi, Walid
  • Aslan, Aylin
  • Vo, Xuan Vinh
  • Kang, Sang Hoon
Abstract
This paper examines the time-frequency spillovers and connectedness between the major precious metals futures markets (gold, palladium, platinum, and silver), the West Texas Intermediate (WTI) oil futures, the US stock market, the US 10-year Treasury Bond (T-Bond) market, and the US dollar index. Applying Barunik and Krehlik’s (2018) novel framework, the results show that spillovers across markets strengthens in the short-term, suggesting that diversification opportunities are lower in the short-term than the long-term. Furthermore, we find that the net transmitter/receiver of spillover is dependent on the frequency being analyzed, thereby indicating asymmetric spillovers among markets. Moreover, gold and silver (platinum, T-Bonds, and US dollar index) are net transmitters (receivers) of spillover regardless of the time horizon. Palladium is the net transmitter of spillover to the other markets in the short-term period (1–8 days); in contrast, in the long-term period (8–256 days), the S&P 500 index is the net transmitter of spillover. Precious metals futures, crude oil, and T-Bond assets are diversifiers for the US stock market for short-term and the long-term investments. The US dollar index is a strong hedge regardless of the time horizon and a strong (weak) safe haven asset in the short (long) term. Precious metals are a safe haven in the short-term and long-term periods. Crude oil and T-Bonds are not a safe haven for US equity investors. Finally, our result support evidence of diversification benefits and better hedging effectiveness by adding precious metals, WTI, T-Bond, and USDX to S&P500 index, which is higher in the long-term than in the short-term. WTI offers the highest hedging effectiveness, regardless the time investment horizons.

Suggested Citation

  • Mensi, Walid & Aslan, Aylin & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 219-232.
    • Handle: RePEc:eee:reveco:v:83:y:2023:i:c:p:219-232
    DOI: 10.1016/j.iref.2022.08.015
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    More about this item

    Keywords

    Precious metals; Oil; Financial markets; Asymmetric spillovers; Safe haven;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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