Advanced Search
MyIDEAS: Login to save this paper or follow this series

On the links between stock and commodity markets' volatility

Contents:

Author Info

  • Anna Creti
  • Marc Joëts
  • Valérie Mignon

Abstract

This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the correlations between commodity and stock markets evolve through time and are highly volatile, particularly since the 2007-2008 financial crisis. The latter has played a key role, emphasizing the links between commodity and stock markets, and underlining the financialization of commodity markets. At the idiosyncratic level, a speculation phenomenon is highlighted for oil, coffee and cocoa, while the safe-haven role of gold is evidenced.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://economix.fr/pdf/dt/2012/WP_EcoX_2012-42.pdf
Download Restriction: no

Bibliographic Info

Paper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2012-42.

as in new window
Length: 24 pages
Date of creation: 2012
Date of revision:
Handle: RePEc:drm:wpaper:2012-42

Contact details of provider:
Postal: 200 Avenue de la République, Bât. G - 92001 Nanterre Cedex
Email:
Web page: http://economix.fr
More information through EDIRC

Related research

Keywords: Commodities; stock market; financial crisis; volatility; correlations; DCC-GARCH;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Chiou, Jer-Shiou & Lee, Yen-Hsien, 2009. "Jump dynamics and volatility: Oil and the stock markets," Energy, Elsevier, Elsevier, vol. 34(6), pages 788-796.
  2. Xiaodong Du & Cindy L. Yu & Dermot J. Hayes, 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," Food and Agricultural Policy Research Institute (FAPRI) Publications, Food and Agricultural Policy Research Institute (FAPRI) at Iowa State University 09-wp491, Food and Agricultural Policy Research Institute (FAPRI) at Iowa State University.
  3. Park, Jungwook & Ratti, Ronald A., 2008. "Oil price shocks and stock markets in the U.S. and 13 European countries," Energy Economics, Elsevier, Elsevier, vol. 30(5), pages 2587-2608, September.
  4. Christopher Gilbert & Wyn Morgan, 2010. "Has food price volatility risen?," Department of Economics Working Papers, Department of Economics, University of Trento, Italia 1002, Department of Economics, University of Trento, Italia.
  5. Bahattin Buyuksahin & Jeffrey H. Harris, 2011. "Do Speculators Drive Crude Oil Futures Prices?," The Energy Journal, International Association for Energy Economics, International Association for Energy Economics, vol. 0(Number 2), pages 167-202.
  6. Gian Piero Aielli, 2011. "Dynamic Conditional Correlation: On properties and estimation," "Marco Fanno" Working Papers 0142, Dipartimento di Scienze Economiche "Marco Fanno".
  7. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9807, Universite de Montreal, Departement de sciences economiques.
  8. Gunther Capelle-Blancard & Dramane Coulibaly, 2011. "Index trading and agricultural commodity prices: A panel Granger causality analysis," Economie Internationale, CEPII research center, CEPII research center, issue 126-127, pages 51-72.
  9. Alexandra Dwyer & George Gardner & Thomas Williams, 2011. "Global Commodity Markets - Price Volatility and Financialisation," RBA Bulletin, Reserve Bank of Australia, Reserve Bank of Australia, pages 49-58, June.
  10. Malik, Farooq & Ewing, Bradley T., 2009. "Volatility transmission between oil prices and equity sector returns," International Review of Financial Analysis, Elsevier, Elsevier, vol. 18(3), pages 95-100, June.
  11. Filis, George & Degiannakis, Stavros & Floros, Christos, 2011. "Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries," International Review of Financial Analysis, Elsevier, Elsevier, vol. 20(3), pages 152-164, June.
  12. Mohsin S. Khan, 2009. "The 2008 Oil Price "Bubble"," Policy Briefs PB09-19, Peterson Institute for International Economics.
  13. Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012. "Returns in commodities futures markets and financial speculation: a multivariate GARCH approach," Quaderni di Dipartimento, University of Pavia, Department of Economics and Quantitative Methods 170, University of Pavia, Department of Economics and Quantitative Methods.
  14. Jones, Charles M & Kaul, Gautam, 1996. " Oil and the Stock Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 51(2), pages 463-91, June.
  15. repec:cii:cepiei:2011-q2-3-126-127 is not listed on IDEAS
  16. Dirk G. Baur & Thomas K. McDermott, . "Is gold a safe haven? International evidence," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp310, IIIS.
  17. Hammoudeh, Shawkat & Dibooglu, Sel & Aleisa, Eisa, 2004. "Relationships among U.S. oil prices and oil industry equity indices," International Review of Economics & Finance, Elsevier, Elsevier, vol. 13(4), pages 427-453.
  18. Choi, Kyongwook & Hammoudeh, Shawkat, 2010. "Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment," Energy Policy, Elsevier, Elsevier, vol. 38(8), pages 4388-4399, August.
  19. Vivian, Andrew & Wohar, Mark E., 2012. "Commodity volatility breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(2), pages 395-422.
  20. Papapetrou, Evangelia, 2001. "Oil price shocks, stock market, economic activity and employment in Greece," Energy Economics, Elsevier, Elsevier, vol. 23(5), pages 511-532, September.
  21. Silvennoinen, Annastiina & Thorp, Susan, 2013. "Financialization, crisis and commodity correlation dynamics," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 24(C), pages 42-65.
  22. Irwin, Scott H. & Sanders, Dwight R., 2012. "Testing the Masters Hypothesis in commodity futures markets," Energy Economics, Elsevier, Elsevier, vol. 34(1), pages 256-269.
  23. Ke Tang & Wei Xiong, 2010. "Index Investment and Financialization of Commodities," NBER Working Papers 16385, National Bureau of Economic Research, Inc.
  24. Stout Lynn A., 2011. "Risk, Speculation, and OTC Derivatives: An Inaugural Essay for Convivium," Accounting, Economics, and Law, De Gruyter, De Gruyter, vol. 1(1), pages 1-15, January.
  25. Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, Elsevier, vol. 21(5), pages 449-469, October.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:drm:wpaper:2012-42. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Valérie Mignon).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.