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Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets

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  • Kang, Sang Hoon
  • Maitra, Debasish
  • Dash, Saumya Ranjan
  • Brooks, Robert

Abstract

•This study examines dynamic spillovers and connectedness between stocks, commodities, bonds, and VIX markets.•Results suggest that emerging equity markets are net receiver of shocks.•Commodity markets provide poor heading opportunity in the short-run.•Portfolio strategy using shock-receiver and shock-transmitter information generates better hedging effectiveness.

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  • Kang, Sang Hoon & Maitra, Debasish & Dash, Saumya Ranjan & Brooks, Robert, 2019. "Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
    • Handle: RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x18305912
    DOI: 10.1016/j.pacfin.2019.101221
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