Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets
Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets
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DOI：
10.1016/j.pacfin.2019.101221
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发表时间：
2019-12-01
影响因子：
4.6
通讯作者：
Brooks, Robert
中科院分区：
文献类型：
--
作者：
Kang, Sang Hoon;Maitra, Debasish;Brooks, Robert
这项研究调查了广泛的金融资产(股票、大宗商品、债券和波动率指数)之间的溢出和联系模式及其对投资组合多元化战略的影响。近年来，投资者对国际投资组合多样化的兴趣与日俱增，促使他们寻找能够在金融动荡期间提供缓冲以抵御冲击的资产和市场。因此，跨市场或跨资产联系已成为学者和投资者的一个重要话题，特别是在全球金融危机后大宗商品与股票市场之间的相关性日益增强的情况下。1文献中论证的关键要素是，为了实现更高的投资组合多样化收益，必须了解各种资产(市场)之间的协同运动、相互依赖和溢出。从逻辑上讲，出于实际投资目的，市场参与者预计会更关注其投资组合中不同资产类别的净收益溢出贡献的幅度和方向。与这种现实的投资预期相一致的是，大量不断增长的文献使用Diebold和Yilmaz的直观溢出方法研究了不同市场(资产)之间的总体和净定向溢出效应，他们分别于2009年、Diebold和Yilmaz，2012年。现有的跨市场或跨资产环境下的溢出文献主要考察溢出的存在、溢出的方向和溢出冲击的大小。2现有文献中现有的经验证据存在三个缺陷。
This study investigates the pattern of spillover and connectedness between a broad set of financial assets (equities, commodities, bonds, and VIX) and its implications for portfolio diversification strategies. In recent years, increased interest in international portfolio diversification has motivated investors to search for assets and markets that can provide a cushion against shocks during periods of financial turmoil. Thus, cross-market or cross-asset linkages have become an important topic, both for academics and investors, especially with the increasing correlation between commodities and equity markets after the global financial crisis. 1A key element of the argument in the literature is that to achieve higher portfolio diversification benefits, it is imperative to understand the co-movements, interdependence, and spillover among various assets (markets). Logically, for practical investment purposes, market participants are expected to be more concerned about the magnitude and directions of net return spillover contributions by different asset classes in their portfolios. Consistent with such realistic investment expectations, a large body of growing literature examines the total and net directional spillover effects among different markets (assets) using the intuitive spillover approach of Diebold and Yilmaz, 2009, Diebold and Yilmaz, 2012. The existing spillover literature in cross-market or cross-asset settings predominantly examines the presence of spillover, its direction, and the size of spillover shocks. 2 Available empirical evidence in the existing literature is subject to three shortcomings.