Please use this identifier to cite or link to this item:
https://digital.lib.ueh.edu.vn/handle/UEH/61864
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hung N.T. | - |
dc.contributor.other | Vo X.V. | - |
dc.date.accessioned | 2021-08-20T14:47:35Z | - |
dc.date.available | 2021-08-20T14:47:35Z | - |
dc.date.issued | 2021 | - |
dc.identifier.issn | 1057-5219 | - |
dc.identifier.uri | http://digital.lib.ueh.edu.vn/handle/UEH/61864 | - |
dc.description.abstract | The Covid-19 crisis has been spread rapidly throughout the world so far. However, how deep and long the turbulence would depend on the success of solutions taken to deter the spread of Covid-19, the impacts of government policies may be prominent to alleviate the current crisis. In this article, we investigate the spillover effects and time-frequency connectedness between S&P 500, crude oil prices, and gold asset using both the spillover index of Diebold and Yilmaz (2012) and the wavelet coherence to evaluate whether the time-varying dynamic return spillover index exhibited the intensity and direction of transmission during the Covid-19 outbreak. Overall, the present results shed light on that in comparison with the pre-Covid-19 period, and the return transmissions are more apparent during the Covid-19 crisis. More importantly, there exist significant dependent patterns about the information spillovers among the crude oil, S&P 500, and gold markets might provide significant implications for portfolio managers, investors, and government agencies. | en |
dc.format | Portable Document Format (PDF) | - |
dc.language.iso | eng | - |
dc.publisher | Elsevier Inc. | - |
dc.relation.ispartof | International Review of Financial Analysis | - |
dc.relation.ispartofseries | Vol. 76 | - |
dc.subject | COVID-19 | en |
dc.subject | Gold asset | en |
dc.subject | Oil prices | en |
dc.subject | S&P 500 | en |
dc.subject | Spillover index | en |
dc.subject | Wavelet coherence | en |
dc.title | Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak | en |
dc.type | Journal Article | en |
dc.identifier.doi | https://doi.org/10.1016/j.irfa.2021.101730 | - |
ueh.JournalRanking | Scopus | - |
item.cerifentitytype | Publications | - |
item.fulltext | Only abstracts | - |
item.languageiso639-1 | en | - |
item.grantfulltext | none | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.openairetype | Journal Article | - |
Appears in Collections: | INTERNATIONAL PUBLICATIONS |
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