Volatility Spillovers between the Chinese and World Equity Markets

CFA Digest ◽  
2012 ◽  
Vol 42 (3) ◽  
pp. 77-79
Author(s):  
Billyana Kuncheva
Keyword(s):  
Equity Markets ◽  
Volatility Spillovers

Equities and Commodities Comovements: Evidence from Emerging Markets

2018 ◽  
Vol 18 (3) ◽  
pp. 20170075 ◽  
Author(s):  
Maria E. de Boyrie ◽  
Ivelina Pavlova
Keyword(s):  
Emerging Markets ◽  
Latin American ◽  
Explanatory Power ◽  
Precious Metals ◽  
Equity Markets ◽  
Investment Strategy ◽  
Volatility Spillovers ◽  
Developed Markets ◽  
Financial Portfolios ◽  
Index Investment

The financialization of commodities and their inclusion in financial portfolios as part of an investment strategy may result in higher correlations and volatility spillovers between commodity and equity markets. In this paper, we estimate the correlation between equity markets and commodities using the dynamic conditional correlation (DCC) model, while emphasizing the differences between emerging and developed markets co-movements with commodities. The results reveal that certain emerging markets, especially those in Asia, show a much lower level of co-movement with commodities than developed markets do, while Latin American equities exhibit a higher level of integration with commodities. Furthermore, it is found that both agricultural and precious metals commodities offer better diversification possibilities in the less developed markets. We also find that increases in the CBOE Volatility Index (VIX) are related to higher agriculture commodities-equities correlations, while commodity net index investment has limited explanatory power in our study.

scholarly journals Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies

2016 ◽  
Vol 4 (1) ◽  
pp. 1266788 ◽  
Author(s):  
Lidija Dedi ◽  
Burhan F. Yavas ◽  
David McMillan
Keyword(s):  
Equity Markets ◽  
Volatility Spillovers

Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises

2017 ◽  
Vol 61 ◽  
pp. 169-180 ◽  
Author(s):  
Henry Leung ◽  
Dirk Schiereck ◽  
Florian Schroeder
Keyword(s):  
Exchange Rate ◽  
Equity Markets ◽  
Volatility Spillovers

Volatility spillovers between the Chinese and world equity markets

2012 ◽  
Vol 20 (2) ◽  
pp. 247-270 ◽  
Author(s):  
Xiangyi Zhou ◽  
Weijin Zhang ◽  
Jie Zhang
Keyword(s):  
Equity Markets ◽  
Volatility Spillovers
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