Volatility linkages among the returns of oil, gold, and stock market: Evidence from Thailand

Abstract

This paper examines the return and volatility linkages between oil, gold, and Thai stock markets by applying the multivariate Baba-Engle-Kraft-Kroner (BEKK)-GARCH model to daily data from January 1, 1996 to December 31, 2020. To better understand the impact of the global financial crisis, we divide the data into three sub-periods: the pre-crisis period (January 1, 1996 to December 31, 2006), the crisis period (January 1, 2007 to December 31, 2009), and the post-crisis period (January 1, 2010 to December 31, 2020). We find that the return spillovers vary across the whole and three sub-periods for oil, gold, and stock. Moreover, the volatility transmissions are found to be different during the whole and three sub-periods for oil, gold, and stock in Thailand. These findings provide useful information to investors, portfolio managers, and policymakers regarding portfolio diversification and risk management.