Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets

Lucia Baldi, Massimo Peri and Daniela Vandone

Research in International Business and Finance, 2016, vol. 38, issue C, 277-285

Abstract: Our paper focuses on commodity financialization and the gradual integration between commodity and financial markets, investigating to what extent shocks in stock markets impact commodity price volatility, and the persistency of the phenomenon. To this end, we estimate Volatility Impulse Response Function from stock markets to agricultural commodity markets over a symmetric window before and after two of the most important bubble bursts since the new millennium, the 2000 dot.com bubble and the 2008 financial crises. Results highlight that volatility spillover increased significantly after the 2008 financial crises, signalling a rising interconnection between financial and agricultural commodity markets.

Keywords: Stock markets’ bubbles; Financialization; Volatility spillover; Agricultural commodity market; VIRF (search for similar items in EconPapers)
JEL-codes: C32 G11 Q11 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:38:y:2016:i:c:p:277-285

DOI: 10.1016/j.ribaf.2016.04.020

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