Volatility Spillover Among Equity and Commodity Markets

Tariq Aziz (), Ranjeeta Sadhwani, Ume Habibah and Mazin A. M. Al Janabi

SAGE Open, 2020, vol. 10, issue 2, 2158244020924418

Abstract: This study aims to examine volatility spillover among equity and commodity markets of the United States. The analysis focuses on crude oil (Brent and WTI [West Texas Intermediate]), rice, and gasoline. For the analysis, generalized autoregressive conditional heteroscedasticity (GARCH) (1, 1) model is applied on monthly data for the period of February 2005 to December 2016. Results show that there is no volatility spillover from commodity market (gold, oil, gas, and rice) to equity market, whereas it only exists in few commodity markets, from oil to rice and gas. The study also finds that there is neither mean spillover nor volatility spillover among gold and equity market; therefore, investor can invest in equity and gold to diversify risk of portfolio.

Keywords: volatility spillover; commodity markets; equity market; GARCH (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:sagope:v:10:y:2020:i:2:p:2158244020924418

DOI: 10.1177/2158244020924418

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