Spillover effects between commodity and stock markets: A SDSES approach

Laura Garcia-Jorcano and Lidia Sanchis-Marco

Resources Policy, 2022, vol. 79, issue C

Abstract: In this paper, we use a state-dependent sensitivity expected shortfall (SDSES) approach using expectiles. This model enables us to quantify the direction, size, and persistence of risk spillovers among the US and emerging market stock indices and different individual commodities as a function of the state of financial markets (tranquil, normal, and volatile). We obtain high and more significant spillovers and financialization process evidence in the volatile state of the post-Draghi speech and COVID-19 period, especially for the copper and wheat market. Market stock indices and commodity US market index appear to play a major role in the transmission of shocks to other markets, mainly to the wheat market.

Keywords: Commodities; Risk spillovers; Financialization; Expected shortfall; CARE models (search for similar items in EconPapers)
JEL-codes: C22 C32 C52 G17 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722003701

DOI: 10.1016/j.resourpol.2022.102926

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