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The relationship between Asian equity and commodity futures markets

Listed author(s):
  • Kannan Thuraisamy

    ()

    (deakin university)

  • Susan S Sharma

    ()

    (Deakin University)

  • Huson A Ahmed

In this paper, we test spillover effects between Asian equity market volatility and the volatility of the two most dominant commodities, namely, crude oil and gold futures. We consider a total of 14 Asian markets. We find that volatility shocks in established and mature equity markets, such as the Japanese market, spill over to the crude oil and gold futures markets, while immature markets tend to have spillover effects from commodity futures to equity markets. We also report evidence of increased bi-directional volatility transmission during the recent global financial crisis period. Like the volatility of crude oil futures, the volatility of gold futures matters to the equity market. As far as quity market volatility is concerned, the impact of volatility shocks from the gold futures market is as important as the volatility shocks from the crude oil futures market.

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File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/fin-econometrics/2012_07.pdf
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Paper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Financial Econometics Series with number 2012_07.

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Length: 26
Date of creation:
Handle: RePEc:dkn:ecomet:fe_2012_07
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