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Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets

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  • Kocaarslan, Baris
  • Sari, Ramazan
  • Gormus, Alper
  • Soytas, Ugur

Abstract

This study investigates the impacts of volatility expectations in oil, gold, currency and the U.S. stock markets on time-varying conditional correlations between BRIC and U.S. stock markets. We use asymmetric dynamic conditional correlation and dynamic conditional correlation models to derive the time-varying relationships. We then examine the dynamic conditional correlations using quantile regressions for a detailed analysis of dependence structure containing non-linear and asymmetric interactions. Our results show that the impacts of volatility expectations in U.S. stock, gold, and oil markets on the correlations are asymmetric based on the level of correlations. Depending on the level of correlations, interdependence between the markets is driven by risk perceptions in both financial and non-financial markets. Our findings have important implications for determining international investment strategies.

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  • Kocaarslan, Baris & Sari, Ramazan & Gormus, Alper & Soytas, Ugur, 2017. "Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 41-56.
  • Handle: RePEc:eee:jocoma:v:7:y:2017:i:c:p:41-56
    DOI: 10.1016/j.jcomm.2017.08.001
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    Cited by:

    1. repec:eee:energy:v:165:y:2018:i:pa:p:469-486 is not listed on IDEAS
    2. repec:eee:finana:v:59:y:2018:i:c:p:117-133 is not listed on IDEAS
    3. repec:asi:adprev:2019:p:98-110 is not listed on IDEAS

    More about this item

    Keywords

    Volatility expectations; Quantile regression; BRIC markets; Commodity markets; Volatility spillovers; Dynamic conditional correlation (DCC) model;

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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