Volatility Spillover Among Equity and Commodity Markets

被引：21

作者：

Aziz, Tariq ^{[1
]}

Sadhwani, Ranjeeta ^{[1
]}

Habibah, Ume ^{[1
]}

Al Janabi, Mazin A. M. ^{[2
]}

机构：

[1] Sukkur IBA Univ, Airport Rd, Sukkur 65200, Sindh, Pakistan

[2] EGADE Business Sch, Mexico City, DF, Mexico

来源：

SAGE OPEN | 2020年 / 10卷 / 02期

关键词：

volatility spillover; commodity markets; equity market; GARCH; OIL PRICES; STOCK-PRICES; MODELING VOLATILITY; CLEAN ENERGY; CRUDE-OIL; FINANCIALIZATION; CRISIS; RETURN;

D O I：

10.1177/2158244020924418

中图分类号：

C [社会科学总论];

学科分类号：

03 ; 0303 ;

摘要：

This study aims to examine volatility spillover among equity and commodity markets of the United States. The analysis focuses on crude oil (Brent and WTI [West Texas Intermediate]), rice, and gasoline. For the analysis, generalized autoregressive conditional heteroscedasticity (GARCH) (1, 1) model is applied on monthly data for the period of February 2005 to December 2016. Results show that there is no volatility spillover from commodity market (gold, oil, gas, and rice) to equity market, whereas it only exists in few commodity markets, from oil to rice and gas. The study also finds that there is neither mean spillover nor volatility spillover among gold and equity market; therefore, investor can invest in equity and gold to diversify risk of portfolio.

引用

页数：7

共 32 条

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