Return and volatility spillovers between fossil oil and seafood commodity markets

2022 ◽  
pp. 87-104
Author(s):  
Akram Shavkatovich Hasanov ◽  
Walid Mensi ◽  
Yessengali Oskenbayev
Keyword(s):  
Commodity Markets ◽  
Volatility Spillovers

scholarly journals Volatility Spillovers Arising from the Financialization of Commodities

2018 ◽  
Vol 11 (4) ◽  
pp. 72 ◽  
Author(s):  
Wing Chan ◽  
Bryce Shelton ◽  
Yan Wu
Keyword(s):  
Commodity Prices ◽  
Spillover Effects ◽  
Realized Volatility ◽  
Commodity Markets ◽  
Exchange Traded Funds ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
The Difference ◽  
Index Investment ◽  
The Impact

This paper examines whether the proliferation of new index products, such as commodity-tracking exchange-traded funds (ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility spillover effects among crude oil, metals, agriculture, and non-energy commodity markets. The results show financialization has an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on volatility is not symmetric across all commodities. The analysis of index investment and investors’ positions in futures markets shows that, when a relationship exists, it is generally negatively correlated with the realized volatility of non-energy commodities. Using realized volatility in the difference-in-difference model provides estimates that are inconsistent with other findings that non-energy commodities, traded as a part of indices, have experienced higher volatility. The results are similar to the index investment and futures market analysis, where increased participation by investors through new investment products has put download pressure on realized volatility.

scholarly journals Volatility spillovers in commodity markets: A large t-vector autoregressive approach

2020 ◽  
Vol 85 ◽  
pp. 104555 ◽  
Author(s):  
Luca Barbaglia ◽  
Christophe Croux ◽  
Ines Wilms
Keyword(s):  
Commodity Markets ◽  
Vector Autoregressive ◽  
Volatility Spillovers

Volatility spillovers in commodity markets

2013 ◽  
Vol 20 (13) ◽  
pp. 1211-1227 ◽  
Author(s):  
Julien Chevallier ◽  
Florian Ielpo
Keyword(s):  
Commodity Markets ◽  
Volatility Spillovers

Price discovery and volatility spillovers in futures and spot commodity markets

2014 ◽  
Vol 11 (2) ◽  
pp. 211-226 ◽  
Author(s):  
Mantu Kumar Mahalik ◽  
Debashis Acharya ◽  
M. Suresh Babu
Keyword(s):  
Price Index ◽  
Price Discovery ◽  
Commodity Prices ◽  
Spot Market ◽  
Commodity Markets ◽  
Spot Price ◽  
Future Price ◽  
Reverse Causality ◽  
Content Type ◽  
Volatility Spillovers

Purpose – The purpose of this paper is to investigate empirically the price discovery and volatility spillovers in Indian spot-futures commodity markets. Design/methodology/approach – The study has used four futures and spot indices of Multi-Commodity Exchange, Mumbai. The study also employs vector error correction model (VECM) and bivariate exponential Garch model (EGARCH) to analyze the price discovery and volatility spillovers in Indian spot-futures commodity market. Findings – The VECM shows that agriculture future price index (LAGRIFP), energy future price index (LENERGYFP) and aggregate commodity index (LCOMDEXFP) effectively serve the price discovery function in the spot market implying that there is a flow of information from future to spot commodity markets but the reverse causality does not exist. There is no cointegrating relationship between metal future price index (LMETALFP) and metal spot price index (LMETALSP). Besides the bivariate EGARCH model indicates that although the innovations in one market can predict the volatility in another market, the volatility spillovers from future to the spot market are dominant in the case of LENERGY and LCOMDEX index while LAGRISP acts as a source of volatility toward the agri-futures market. Research limitations/implications – The results are aggregate in nature. Further study at disaggregated level will provide further insights on behavior of specific commodity prices and the price discovery process. Originality/value – The paper provides useful information about the evolution and structures of futures commodity trading in India, related literature and relevant methodology concerning the hypotheses.

scholarly journals Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis

2019 ◽  
Vol 11 (2) ◽  
pp. 396 ◽  
Author(s):  
Yaxian Lu ◽  
Longguang Yang ◽  
Lihong Liu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Autoregressive Model ◽  
Spillover Effects ◽  
Commodity Markets ◽  
Agricultural Commodity ◽  
Short Term ◽  
Crisis Period ◽  
Volatility Spillovers

This study examines the nature and dynamics of volatility spillovers between crude oil and agricultural commodity markets since the 2008–09 financial crisis. We tested for volatility spillovers with a flexible bivariate heterogeneous autoregressive model to identify the short-, mid-, and long-term spillover effects. We observed bidirectional spillovers of short-term volatilities between crude oil and agricultural commodity markets in the crisis period, compared to mid-term and long-term volatilities of corn being transmitted to the crude oil volatility in the post-crisis period. These findings suggest that crude oil and agricultural commodity markets have become less integrated after the 2008–09 crisis.

Convergence of Corporate Governance Models

2004 ◽  
pp. 129-140 ◽  
Author(s):  
M. Tretyakov
Keyword(s):  
Corporate Governance ◽  
Institutional Environment ◽  
Driving Forces ◽  
Commodity Markets ◽  
Legal Systems ◽  
National Institutions ◽  
Governance Models ◽  
Changing Role

The article focuses on the analysis of the process of convergence of outsider and insider models of corporate governance. Chief characteristics of basic and intermediate systems of corporate governance as well as the changing role of its main agents are under examination. Globalization of financial and commodity markets, convergence of legal systems, an open exchange of ideas and information are the driving forces of the convergence of basic systems of corporate governance. However the convergence does not imply the unification of institutional environment and national institutions of corporate governance.

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