On the relationship of gold, crude oil, stocks with financial stress: A causality-in-quantiles approach

•The dependence structure of stocks, gold and crude oil with financial stress is examined.•We used the nonparametric causality-in-quantile technique.•Bilateral causality exists in mean and variance for gold and crude oil with respect to financial stress.•Stocks influence financial stress both in mea...

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Bibliographic Details
Published in:Finance research letters 2018-12, Vol.27, p.169-174
Main Authors: Das, Debojyoti, Kumar, Surya Bhushan, Tiwari, Aviral Kumar, Shahbaz, Muhammad, Hasim, Haslifah M.
Format: Article
Language:English
Subjects:
Causality-in-quantiles
Crude oil
Financial stress
Gold
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Summary:•The dependence structure of stocks, gold and crude oil with financial stress is examined.•We used the nonparametric causality-in-quantile technique.•Bilateral causality exists in mean and variance for gold and crude oil with respect to financial stress.•Stocks influence financial stress both in mean and variance. We examined the dependence structure of stocks, gold and crude oil with financial stress using the nonparametric causality-in-quantile technique for the period from December 1993 to March 2017. The study finds the evidence of bilateral causality in mean and variance for gold and crude oil with respect to financial stress, and stocks to be influential to financial stress both in mean and variance.
ISSN:1544-6123
1544-6131
DOI:10.1016/j.frl.2018.02.030