The influence of oil, gold and stock market index on US equity sectors

Within a Markov regime switching perspective, we examine the spillovers between the returns of the ten most representative US equity sectors and the returns of gold, oil, and S&P 500 (GOI), on the one hand, and their implied volatilities, GVZ, OVX, and VIX, on the other hand. Our objective is to...

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Veröffentlicht in:	Applied economics 2022-02, Vol.54 (6), p.719-732
Hauptverfasser:	BenSaïda, Ahmed, Hernandez, Jose Arreola, Litimi, Houda, Yoon, Seong-Min
Format:	Artikel
Sprache:	eng
Schlagworte:	Economic analysis Economic theory Equity equity sectors gold Hedging implied volatility Influence oil Petroleum Securities markets Spillovers Volatility
Online-Zugang:	Volltext
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