Measurement of Volatility Spillovers and Asymmetric Connectedness on Commodity and Equity Markets

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F20%3A10412249" target="_blank" >RIV/00216208:11230/20:10412249 - isvavai.cz</a>

Result on the web

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=n8UTSb2644" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=n8UTSb2644</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.32065/CJEF.2020.01.03" target="_blank" >10.32065/CJEF.2020.01.03</a>

Result language

angličtina

Original language name

Measurement of Volatility Spillovers and Asymmetric Connectedness on Commodity and Equity Markets

Original language description

We study total, directional, and asymmetric connectedness between four commodity futures and S&amp;P 500 Index over the 2002-2015 period by employing a recently developed approach based on realized measures and variance decomposition. We estimate that, on average, volatility transmission accounts for around one fifth of the volatility forecast error variance. The shocks to the stock markets play the most crucial role. Volatility spillovers were limited before the 2008 financial crisis, and then sharply increased during the crisis. The directional spillovers detect quite low connectedness between soft agricultural commodities and the rest of the assets that we study, which may improve portfolio investors&apos; trading strategies. Finally, we analyze asymmetric connectedness. Our results defy the common perception that adverse shocks impact volatility spillovers more heavily than the positive ones. Overall, we provide new insights into volatility transmission between analyzed markets, which may inform investment decisions and hedging strategies.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

50201 - Economic Theory

Project

—

Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2020

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Finance a úvěr

ISSN

0015-1920

e-ISSN

—

Volume of the periodical

70

Issue of the periodical within the volume

1

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

28

Pages from-to

42-69

UT code for WoS article

000540380800003

EID of the result in the Scopus database

2-s2.0-85090701134