Return and volatility spillovers in crude

Harri, Nalley, and Hudson investigate the price relationship through time of the primary agricultural commodities, exchange rates, and oil prices. Our sample period goes from 2 January to 31 Decemberyielding a total of 7, observations.

Besides, all the indices exhibit negative skewness implying that large negative stock returns are more common than large positive returns in these markets. Such investigations are crucial in several aspects. Oil shocks and aggregate macroeconomic behavior: Risk factors in stock returns of Canadian oil and gas companies.

As is a conditional covariance matrix conditional on the vector of standardized residuals and is. The authors further show that the spot precious metal markets respond significantly but temporarily to a shock in any of the prices of the other metal prices and the exchange rate.

Financial and Macroeconomic Connectedness: A recent study by Zhang and Qu investigates the effect of global oil price shocks on agricultural commodities in China, including strong wheat, corn, soybean, bean pulp, cotton, and natural rubber.

Over this period, index prices in all countries, have followed the same downward trend as the oil price. Table 1 shows that the stock indices of the oil exporting countries have higher risks than the oil importing countries identifying the effect of oil and crises on their stock markets.

Employing this method is beneficial, since it allows us to explore whether negative return innovations affect volatility more than positive shocks.

Oil prices displayed sharp volatility throughout much ofsetting record highs on a consistent basis during the early part of the year and Figure 2. Hammoudeh and Yuanfor example, consider the application of GARCH family models to inspect the volatility behavior of three strategic commodities: However, the DCC estimates of the conditional correlations are always significant.

During this periodthe stock markets of oil importing countries exhibited a negative correlation and showed a negative peak. For instance, Zhang and Tureport that metal industry is highly oil-intensive and hence oil price volatility certainly affects the metal markets.

This fits the definition of a "Risk Metric". Now, a rise in oil price will result in increased prices of gasoline which is produced from crude oil. Wu's comment on this article[ edit ] Dr. For instance, in Brent crude oil is a global benchmark for other case of contracts with less than one year to maturity grades and is widely used to determine crude oil spot prices tend to lead futures prices whereas in the prices in Europe and in other parts of the world.

This indicates the market situation of contango, which states that the hedgers are willing The ADF test was conducted for each spot to pay more in the futures than the expected price.

The rest of the paper will proceed as follows. This paper is also an attempt to learn that have also found that futures market could attract whether there has been significant change in the significant amount of new hedging activities without volatility of the spot return and future return or if at sufficient speculative trading for effective risk all these two markets are related.

Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market

We hope Wikipedians on this talk page can take advantage of these comments and improve the quality of the article accordingly. Abstract The paper examines the return and volatility spillovers between crude oil, gold and equities, and investigates the usefulness of the two commodities in hedging equity portfolios.

Oil and copper, or oil and maize traditionally have been relatively low. The volatility persistence is measured by the sum of the estimated coefficients gives an indication about. The sample contains both oil importing and oil exporting countries that depend heavily on oil production and exports.

Volatility Spillovers Between Oil Prices And Stock Returns: A Focus On Frontier Markets

Japan and the World Economy, The Relationship holdings and hedge through the futures market. Owing to the importance of carbon emissions and their connection to fossil fuels, and the possibility of [1] Granger causality in spot and futures prices, returns, and volatility of carbon emissions, crude oil and coal have recently become very important research topics.

The largest source of carbon emissions from human activities in some countries in Europe and elsewhere is from burning fossil fuels for electricity, heat, and transportation. The authors argue that bio-fuel firms may have an incentive to produce ethanol or bio-diesel if the crude oil price remains at a higher level.

The significance of one of the two coefficients indicates the volatility spillover from oil to the stock market. Finally, oil price shocks seem to have a significant influence on the relationship between oil and stock indices of Middle East countries.

In many contexts, however, derivatives markets are not available for the objects of interest.This paper investigates the volatility spillover and the dynamic correlation between crude oil and stock index returns.

Monthly returns from January to December of the crude oil, oil-importing and oil-exporting stock indices are analysed using three multivariate GARCH specifications specifically the BEKK-GARCH model, the CCC-GARCH model and the DCC-GARCH model. Chang, C.-L., Mcaleer, M. and Tansuchat, R.

() Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns. The North American Journal of Economics and Finance, 25, Read "Volatility spillovers and dynamic conditional correlation between crude oil and stock market returns, International Journal of Managerial and Financial Accounting" on DeepDyve, the largest online rental service for scholarly research with thousands of academic publications available at your fingertips.

Investigate the return and volatility spillovers between crude oil, gold and equities in GCC countries.

Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns

• Investigate the usefulness of the two commodities in hedging equity portfolios. • Gold and oil are not good hedges against equity fluctuations. • Gold and oil are suitable for portfolio diversification.

Studying the conditional correlations and volatility spillovers between crude oil and stock index returns is important for investors to make necessary investment decisions and for policy makers to regulate stock markets more effectively. Guesmi, K.

Equity Market Spillovers in the Americas

and Fattoum, S. () Return and Volatility Transmission between Oil Prices and Oil. Abstract: The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil company stocks using alternative multivariate GARCH models, namely the CCC model of Bollerslev (), VARMA-GARCH model of Ling and McAleer (), and VARMA-AGARCH model.

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Return and volatility spillovers in crude
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