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The relationship between Asian equity and commodity futures markets


  • 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.

Suggested Citation

  • Kannan Thuraisamy & Susan S Sharma & Huson A Ahmed, "undated". "The relationship between Asian equity and commodity futures markets," Financial Econometics Series 2012_07, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  • Handle: RePEc:dkn:ecomet:fe_2012_07

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    1. repec:eee:asieco:v:52:y:2017:i:c:p:32-44 is not listed on IDEAS
    2. Souček, Michael & Todorova, Neda, 2014. "Realized volatility transmission: The role of jumps and leverage effects," Economics Letters, Elsevier, vol. 122(2), pages 111-115.
    3. Elie Bouri & Rangan Gupta & Seyedmehdi Hosseini & Chi Keung Marco Lau, 2017. "Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model," Working Papers 201704, University of Pretoria, Department of Economics.
    4. Hoang, Thi-Hong-Van & Wong, Wing-Keung & Zhu, Zhenzhen, 2015. "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Economic Modelling, Elsevier, vol. 50(C), pages 200-211.
    5. Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2017. "Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication," Chemnitz Economic Papers 012, Department of Economics, Chemnitz University of Technology, revised Jul 2017.
    6. Omura, Akihiro & Todorova, Neda & Li, Bin & Chung, Richard, 2016. "Steel scrap and equity market in Japan," Resources Policy, Elsevier, vol. 47(C), pages 115-124.
    7. Li, Lei & Yin, Libo & Zhou, Yimin, 2016. "Exogenous shocks and the spillover effects between uncertainty and oil price," Energy Economics, Elsevier, vol. 54(C), pages 224-234.
    8. Neda Todorova & Michael Soucek & Eduardo Roca, 2015. "Volatility spillovers from international commodity markets to the Australian equity market," Discussion Papers in Finance finance:201505, Griffith University, Department of Accounting, Finance and Economics.
    9. Souček, Michael & Todorova, Neda, 2013. "Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach," Energy Economics, Elsevier, vol. 40(C), pages 586-597.
    10. Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Energy Economics, Elsevier, vol. 41(C), pages 1-18.
    11. repec:eee:finlet:v:23:y:2017:i:c:p:23-30 is not listed on IDEAS
    12. Kang, Sang Hoon & McIver, Ron & Yoon, Seong-Min, 2017. "Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets," Energy Economics, Elsevier, vol. 62(C), pages 19-32.
    13. repec:ers:journl:v:xx:y:2017:i:3a:p:511-524 is not listed on IDEAS

    More about this item


    Equity Markets; Gold Futures; Oil Futures; Volatility Spillover;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets


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