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首页> 外文期刊>Global Economy Journal >Equities and Commodities Comovements: Evidence from Emerging Markets
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Equities and Commodities Comovements: Evidence from Emerging Markets

机译：股票和大宗商品Comovements:证据从新兴市场

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摘要

The financialization of commodities and their inclusion in financial portfolios as part of an investment strategy may result in higher correlations and volatility spillovers between commodity and equity markets. In this paper, we estimate the correlation between equity markets and commodities using the dynamic conditional correlation (DCC) model, while emphasizing the differences between emerging and developed markets co-movements with commodities. The results reveal that certain emerging markets, especially those in Asia, show a much lower level of co-movement with commodities than developed markets do, while Latin American equities exhibit a higher level of integration with commodities. Furthermore, it is found that both agricultural and precious metals commodities offer better diversification possibilities in the less developed markets. We also find that increases in the CBOE Volatility Index (VIX) are related to higher agriculture commodities-equities correlations, while commodity net index investment has limited explanatory power in our study.
机译：大宗商品和他们的金融化包含在金融投资组合的一部分投资策略可能会导致更高的之间的相关性和波动溢出效应大宗商品和股票市场。估计股票市场之间的相关性使用动态条件和大宗商品相关性(DCC)模型,同时强调新兴市场和发达之间的区别市场co-movements大宗商品。结果表明,某些新兴市场,尤其是在亚洲,显示一个非常低的水平co-movement的商品比发达股票市场,而拉丁美洲的展览更高层次的整合与大宗商品。此外,发现农业和贵金属商品提供更好的多样化的可能性更少发达市场。芝加哥期权交易所(CBOE)波动率指数(VIX)有关高农业commodities-equities相关性,而商品净指数投资在我们的解释力有限研究。

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  • 来源
    《Global Economy Journal》 |2018年第3期|共14页
  • 作者

    Maria E.de Boyrie; IvelinaPavlova;

  • 作者单位

    College of Business, University of Houston – Clear Lake, 2700 Bay Area Blvd., Box 70, Houston, TX 77058, USA;

    Department of Finance, MSC 3FIN, College of Business, New Mexico State University, P.O. BOX 30001, Las Cruces, NM 88003, USA;

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  • 原文格式 PDF
  • 正文语种 英语
  • 中图分类
  • 关键词

    STK19 gene; commodities; rise levelMarketsLOW LEVEL;

    机译：STK19基因;商品;levelMarketsLOW水平上升;

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