Quantile connectedness among gold, gold mining, silver, oil and energy sector uncertainty indexes

Abstract This study examines the quantile relationships among silver, gold, gold mining, oil and energy sector uncertainty indexes. Using a quantile cross-spectral approach, results show that the uncertainty indexes have a time- and quantile-dependent structure. Moreover, the extent of dependence is higher at the long term than at the short- and medium-terms, irrespective of time horizons. Gold and silver show negative and positive short-term dependence during bearish and bull market conditions, respectively, at two-day trading. The dependence switches to positive beyond two trading days. We find asymmetric dependence between crude oil and energy sector uncertainty indexes at two-day trading. The dependence is positive at medium and long terms. Furthermore, the magnitude of dependence between metal (gold, gold mining and silver) and energy uncertainty indexes (crude oil and energy sectors) is sensitive to market conditions.