The Dynamic Correlation Between Policy Uncertainty and Commodity Markets: A Wavelet Based Analysis

2019 ◽  
Author(s):  
Aktham Issa Maghyereh ◽  
Abul Hassan
Keyword(s):  
Commodity Markets ◽  
Policy Uncertainty ◽  
Dynamic Correlation

Commodity and Stock Market Interlinkages: Opportunities and Challenges for Investors in Indian Market

2020 ◽  
pp. 097215092094641
Author(s):  
Shital Jhunjhunwala ◽  
Sandra Suresh
Keyword(s):  
Stock Market ◽  
Developed Countries ◽  
Commodity Markets ◽  
Asset Markets ◽  
Specific Reference ◽  
Indian Market ◽  
Dynamic Correlation ◽  
Regulatory Measures ◽  
The Government

This article examines the volatility links between asset markets in India with specific reference to stock and commodity markets over a period of 12 years spanning from 2006 to 2018. By employing DCC-GARCH and BEKK-GARCH, we show that the dynamic correlation between these asset markets have undergone significant changes especially after the financial crisis of 2008. The safe haven role of gold is clearly evidenced with the rising negative correlation between the two markets, while there is a rise in Crude oil volatility. Metals like Zinc, Nickel and Lead provide substantial diversification benefits to investors in the current market scenario as their correlation with the stock market have reduced considerably after 2013. There is no evidence for financialization of commodity markets in India unlike developed countries due to regulatory measures implemented by the government thereby providing investors with diversification opportunities.

scholarly journals Spillover and Drivers of Uncertainty among Oil and Commodity Markets

Mathematics ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 441
Author(s):  
Muhammad Abubakr Naeem ◽  
Saqib Farid ◽  
Safwan Mohd Nor ◽  
Syed Jawad Hussain Shahzad
Keyword(s):  
Implied Volatility ◽  
Global Financial Crisis ◽  
Causal Effect ◽  
Forecast Error ◽  
Error Variance ◽  
Commodity Markets ◽  
Policy Uncertainty ◽  
Volatility Risk ◽  
Forecast Error Variance ◽  
The Global Financial Crisis

The paper aims to examine the spillover of uncertainty among commodity markets using Diebold–Yilmaz approach based on forecast error variance decomposition. Next, causal impact of global factors as drivers of uncertainty transmission between oil and other commodity markets is analyzed. Our analysis suggests that oil is a net transmitter to other commodity uncertainties, and this transmission significantly increased during the global financial crisis of 2008–2009. The use of linear and nonlinear causality tests indicates that the global factors have a causal effect on the overall connectedness, and especially on the spillovers from oil to other commodity uncertainties. Further segregation of transmissions between oil to individual commodity markets indicates that stock market implied volatility, risk spread, and economic policy uncertainty are the influential drivers of connectedness among commodity markets.

Dynamics of Co-movements among Implied Volatility, Policy Uncertainty and Market Performance

2017 ◽  
Vol 18 (6) ◽  
pp. 1478-1487 ◽  
Author(s):  
Mobeen Ur Rehman
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Implied Volatility ◽  
Policy Uncertainty ◽  
Market Returns ◽  
Correlation Pattern ◽  
Stock Market Returns ◽  
Dynamic Correlation ◽  
Volatility Index ◽  
Exchange Rate Changes

This article examines the dynamic correlation among policy uncertainty, stock returns and implied volatility. The presence of a heterogeneous pattern during the financial crises period indicated significant dynamic correlation values with persistence. Extraneous variables, that is, exchange rate changes and oil prices, also influenced the dynamic correlation pattern between implied volatility index and stock market returns. Findings of this article suggest that the time-varying property exists among correlations and is sensitive to the financial turmoil and exchange rate changes.

Convergence of Corporate Governance Models

2004 ◽  
pp. 129-140 ◽  
Author(s):  
M. Tretyakov
Keyword(s):  
Corporate Governance ◽  
Institutional Environment ◽  
Driving Forces ◽  
Commodity Markets ◽  
Legal Systems ◽  
National Institutions ◽  
Governance Models ◽  
Changing Role

The article focuses on the analysis of the process of convergence of outsider and insider models of corporate governance. Chief characteristics of basic and intermediate systems of corporate governance as well as the changing role of its main agents are under examination. Globalization of financial and commodity markets, convergence of legal systems, an open exchange of ideas and information are the driving forces of the convergence of basic systems of corporate governance. However the convergence does not imply the unification of institutional environment and national institutions of corporate governance.

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