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Issue 5(1), October 2010 -- Paper Abstracts
Girard  (p. 9-22)
Cooper (p. 23-32)
Kunz-Osborne (p. 33-41)
Coulmas-Law (p.42-46)
Stasio (p. 47-56)
Albert-Valette-Florence (p.57-63)
Zhang-Rauch (p. 64-70)
Alam-Yasin (p. 71-78)
Mattare-Monahan-Shah (p. 79-94)
Nonis-Hudson-Hunt (p. 95-106)



JOURNAL OF ACCOUNTING AND FINANCE

VIX, Gold, Silver, and Oil: How do Commodities
React to Financial Market Volatility?


Author(s): Daniel Jubinski, Amy F. Lipton

Citation: Daniel Jubinski, Amy F. Lipton, (2013) "VIX, Gold, Silver, and Oil: How do Commodities React to Financial Market Volatility?," Journal of Accounting and Finance, Vol. 13, Iss. 1, pp. 70 - 88

Article Type: Research paper

Publisher: North American Business Press

Abstract:

We examine how implied and contemporaneous equity market volatility influence gold, silver, and oil
commodities futures returns. Our measure of implied volatility is the VIX index, and the measure of
contemporaneous volatility uses aggregated squared intraday S&P 500 index returns. We find that Gold
and silver futures returns respond to changes in implied, but not contemporaneous, volatility in a manner
consistent with their properties as a safe haven. Oil has a statistically negative response to implied
volatility and a marginally negative response to contemporaneous volatility. These effects are amplified
during recessionary periods and robust after controlling for a dollar index.