Commodity and equity markets: Volatility and return spillovers

dc.contributor.authorPinho, Carlos
dc.contributor.authorMaldonado, Isabel
dc.date.accessioned2023-01-06T15:12:18Z
dc.date.available2023-01-06T15:12:18Z
dc.date.issued2022-07-19
dc.description.abstractThe present paper provides an empirical analysis of the relationship between shocks to commodity markets and stock markets. By employing a total volatility connectedness measure, we study the relationship between shocks to oil, gold, copper, and agricultural commodity markets and emerging and developed stock markets. We conduct a connectivity analysis in the time and frequency domain to quantify market linkages using volatility spillovers over the period from 2004 to 2021. In addition, we analyze the spillovers of returns in these markets over the same period. The results suggest that both on volatility and returns spillovers, slightly more than 35% of the total variance of forecast errors is explained by shocks to markets during the period January 2004 to June 2021. We also show that, in terms of both volatility and returns, the contribution of equity market shocks to other markets is substantially more important than that of commodities; however, our analysis reveals that the total link between market returns is larger in the short run than in the long run, while in the case of volatility, the long-run frequencies concentrate the market link. Additionally, we use dynamic analysis to assess both the time evolution of total connectivity and all directional partial connectivity between markets. Our results show that both volatility and return linkages change significantly over time and that a set of events has a significant impact on them.pt_PT
dc.identifier.citationPinho, C., & Maldonado, I. (2022). Commodity and equity markets: Volatility and return spillovers. Commodities, 1(1), 18-33. https://doi.org/10.3390/commodities1010003. Repositório Institucional UPT. http://hdl.handle.net/11328/4610pt_PT
dc.identifier.doihttps://doi.org/10.3390/commodities1010003pt_PT
dc.identifier.issn2813-2432 (Electronic)
dc.identifier.urihttp://hdl.handle.net/11328/4610
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherMDPI - Multidisciplinary Digital Publishing Institutept_PT
dc.relation.publisherversionhttps://www.mdpi.com/2813-2432/1/1/3pt_PT
dc.rightsopen accesspt_PT
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectSpillover effectpt_PT
dc.subjectVolatility connectednesspt_PT
dc.subjectVariance decompositionpt_PT
dc.subjectVolatilitypt_PT
dc.titleCommodity and equity markets: Volatility and return spilloverspt_PT
dc.typejournal articlept_PT
degois.publication.firstPage18pt_PT
degois.publication.issue1pt_PT
degois.publication.lastPage33pt_PT
degois.publication.titleCommoditiespt_PT
degois.publication.volume1pt_PT
dspace.entity.typePublicationen
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