Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold
Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold
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DOI：
10.1016/j.econmod.2013.01.023
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发表时间：
2013-05-01
影响因子：
4.7
通讯作者：
Managi, Shunsuke
中科院分区：
文献类型：
--
作者：
Mensi, Walid;Beljid, Makram;Managi, Shunsuke
本文采用 VAR-GARCH 模型来研究 2000 年至 2011 年动荡时期标准普尔 500 指数与能源、食品、黄金和饮料大宗商品价格指数之间的回报联系和波动性传导。了解大宗商品价格的价格行为以及这些市场与证券交易所之间的波动性传导机制对于每个参与者（包括政府、交易员、投资组合经理、消费者和生产者）都至关重要。对于回报和波动性溢出，结果显示标准普尔 500 指数和大宗商品市场之间存在显着传导。标准普尔 500 指数过去的冲击和波动强烈影响了石油和黄金市场。本研究发现，标准普尔 500 指数与黄金指数以及标准普尔 500 指数与 WTI 指数之间的条件相关性最高。我们还使用每个指数的估计来分析商品/标准普尔 500 指数投资组合持有的最佳权重和对冲比率。总体而言，我们的研究结果说明了对投资组合套期保值者进行最佳投资组合配置、参与风险管理以及预测股票和商品市场未来波动性的几个重要影响。 (C) 2013 Elsevier B.V. 保留所有权利。
This paper employs a VAR-GARCH model to investigate the return links and volatility transmission between the S&P 500 and commodity price indices for energy, food, gold and beverages over the turbulent period from 2000 to 2011. Understanding the price behavior of commodity prices and the volatility transmission mechanism between these markets and the stock exchanges are crucial for each participant, including governments, traders, portfolio managers, consumers, and producers. For return and volatility spillover, the results show significant transmission among the S&P 500 and commodity markets. The past shocks and volatility of the S&P 500 strongly influenced the oil and gold markets. This study finds that the highest conditional correlations are between the S&P 500 and gold index and the S&P 500 and WTI index. We also analyze the optimal weights and hedge ratios for commodities/S&P 500 portfolio holdings using the estimates for each index. Overall, our findings illustrate several important implications for portfolio hedgers for making optimal portfolio allocations, engaging in risk management and forecasting future volatility in equity and commodity markets. (C) 2013 Elsevier B.V. All rights reserved.