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Spillover effects between commodity and stock markets: A SDSES approach

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  • Garcia-Jorcano, Laura
  • Sanchis-Marco, Lidia

Abstract

In this paper, we use a state-dependent sensitivity expected shortfall (SDSES) approach using expectiles. This model enables us to quantify the direction, size, and persistence of risk spillovers among the US and emerging market stock indices and different individual commodities as a function of the state of financial markets (tranquil, normal, and volatile). We obtain high and more significant spillovers and financialization process evidence in the volatile state of the post-Draghi speech and COVID-19 period, especially for the copper and wheat market. Market stock indices and commodity US market index appear to play a major role in the transmission of shocks to other markets, mainly to the wheat market.

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  • Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022. "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722003701
    DOI: 10.1016/j.resourpol.2022.102926
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    More about this item

    Keywords

    Commodities; Risk spillovers; Financialization; Expected shortfall; CARE models;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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