Commodity markets volatility transmission: Roles of risk perceptions and uncertainty in financial markets


GÖZGÖR G. , Lau C. K. M. , BİLGİN M. H.

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, cilt.44, ss.35-45, 2016 (SSCI İndekslerine Giren Dergi)

Atıf İçin Kopyala
  • Cilt numarası: 44
  • Basım Tarihi: 2016
  • Doi Numarası: 10.1016/j.intfin.2016.04.008
  • Dergi Adı: JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
  • Sayfa Sayısı: ss.35-45

Özet

This paper uses GJR-GARCH estimations to analyze the price volatility transmissions among the crude oil, corn, soybeans, sugar, and wheat markets. Special role is also given to two driving mechanisms of the relationship: (i) the volatility index (VIX) as a measure of risk perceptions, and (ii) the equity market uncertainty (EMU) index as a measure of uncertainty in financial markets. The analysis covers the daily futures markets data from January 1, 1990 to July 31, 2015, and several sub-periods in the empirical strategy are also considered. The empirical results show that (i) crude oil return is positively related to four agricultural commodity returns; (ii) a higher risk perception in financial markets suppresses both the corn and soybeans returns over the period August 1, 2008-July 31, 2015; (iii) a higher uncertainty in financial markets is negatively related to the corn and soybeans returns for the period from June 1, 2010 to July 31, 2015; (iv) the results for the effects of risk perceptions and uncertainty on wheat market returns are not statistically robust; i.e., these results are time-specific in the different sub-period analyses. (C) 2016 Elsevier B.V. All rights reserved.