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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

Finance a úvěr

ISSN

0015-1920

e-ISSN

—

Svazek periodika

70

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

28

Strana od-do

42-69

Kód UT WoS článku

000540380800003

EID výsledku v databázi Scopus

2-s2.0-85090701134