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The relationship between Asian equity and commodity futures markets

Author

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  • Thuraisamy, Kannan
  • Sharma, Susan S.
  • Ahmed, Huson Ali

Abstract

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 equity 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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Suggested Citation

  • Thuraisamy, Kannan & Sharma, Susan S. & Ahmed, Huson Ali, 2012. "The relationship between Asian equity and commodity futures markets," Working Papers fe_2012_07, Deakin University, Department of Economics.
    • Handle: RePEc:dkn:ecomet:fe_2012_07
    DOI: 10.1016/j.asieco.2013.04.003
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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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