Risk Spillover and Dynamic Conduction among Oil, Gold and Stock Markets: New Evidence from Implied Volatility

Abstract

Abstract: The outbreak of COVID-19 has had a systematic impact on global financial markets. Based on a new perspective of implied volatility, a cutting-edge risk spillover network model is adopted to comprehensively examine the intensity, scale, and time-varying characteristics of risk spillovers among oil, gold, and major global stock markets. Then, based on the marginal spillover analysis method, the sources and dynamic transmission paths of risk spillovers among oil, gold, and stock markets are observed. The results show that there is a significant and asymmetric risk spillover effect among global oil, gold and stock markets, and the effect increased rapidly in the COVID-19 period, during which the spillover index reached its peak. The oil and gold markets are important sources of risk in the stock market, and the mainland Chinese stock market is the most important exporter of risk. After the outbreak of the epidemic, especially during the first two circuit breakers in the US stock market, the intensity of risk spillovers in the oil market and the Brazilian stock market increased sharply. With the effective control of the domestic epidemic, the mainland Chinese stock market has gradually transformed into a risk-taker.

Key words: risk spillover, dynamic conduction, spillover index, implied volatility

He Meng, Zhu Xuehong, Chen Jinyu, Liao Jianhui. Risk Spillover and Dynamic Conduction among Oil, Gold and Stock Markets: New Evidence from Implied Volatility[J]. Management Review, 2025, 37(1): 3-15.

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