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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.