Volatility spillover effects of oil, gold and bulk shipping prices on financial markets

Pleşa Georgiana ()
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Pleşa Georgiana: Bucharest University of Economic Studies, Bucharest, Romania

Proceedings of the International Conference on Business Excellence, 2022, vol. 16, issue 1, 695-706

Abstract: The volatility spillover effect plays an increasingly important role in the transmission of shocks mainly in recent periods, with the further advance of globalization and the rapid development in international linkages. This analysis of the interconnections between economic and financial markets has particular importance for investors in risk hedging strategies and portfolio diversification. Moreover, current turbulent periods, characterized by a volatile oil price, instability of gold price and supply bottlenecks caused by the outbreak of the COVID-19 pandemic impose the necessity to study this effect. The novelty brought by this paper is related to the analysis of the spillover effect coming from oil, commodity and bulk shipping markets to financial markets of Eastern-Europe emerging markets, namely Czech Republic, Hungary, Poland and Romania. To assess this effect, in this study it was implemented a widely used model in research papers model, more exactly the bivariate GARCH-BEKK (1,1) from the period July 2012 – February 2022. The results suggest the long-term memory of volatility in these markets, while direct interconnection and unidirectional spillovers effects are expected to be underlined by the volatility of gold returns on the stock markets returns.

Keywords: volatility spillover; financial markets; contagion (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:poicbe:v:16:y:2022:i:1:p:695-706:n:33

DOI: 10.2478/picbe-2022-0066

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