我校经济管理学院程胜老师在T1级别期刊——《Resources Policy》上发表题为“Asymmetric volatility spillover among global oil, gold, and Chinese sectors in the presence of major emergencies”。论文第一作者程胜为经济管理学院教授，博士生导师。

Abstract /摘要：

The volatility of international crude oil and gold markets has affected stock markets through several economic channels, and the impact tends to be more evident with the appearance of emergencies. However, the volatility linkages between commodities and Chinese sector stocks in the presence of emergencies are understudied. To examine the asymmetric relationship and time-varying connectedness between commodities and Chinese sector stocks, this paper first employs GJR-GARCH to capture the realized volatility of international oil, gold, and Chinese sector stocks. Secondly, we decompose the realized volatility of international oil and gold into bad and good volatility and then employ the TVP-VAR-DY approach to obtain the connectedness index. The final result shows asymmetric volatility spillover among oil, gold, and Chinese sector stocks. During the COVID-19 outbreak, the gold good volatility transmission is intenser than bad volatility. Thirdly, the analysis is also carried out under different subperiods. They include three international events: the global financial crisis and the European debt crisis, the oil crisis, and COVID-19. The result reveals heterogeneity exists in the impact of international oil and gold on the Chinese sector stocks under different emergencies. These findings are of great significance for policymakers to improve the sector management under the impact of different emergencies and for investors to design diversified portfolios according to the commodity-sector risk spillover effects.

论文信息;

Title/题目:

Asymmetric volatility spillover among global oil, gold, and Chinese sectors in the presence of major emergencies

Authors/作者:

Cheng Sheng;Deng MingJie;Liang Ruibin;Cao Yan

Keywords /关键词

Asymmetry;Volatility spillover;Oil;Gold;Chinese sector stocks;Emergencies

DOI:10.1016/J.RESOURPOL.2023.103579

全文链接：https://www.sciencedirect.com/science/article/pii/S0301420723002908?via%3Dihub