Dynamic cross hedging, conditional co‐movements in commodities and financial markets during subprime and sovereign debt crisis: Evidence from China and G7 countries

Victor Moutinho, Luís Almeida, Mateus Neves and João Monteiro

Review of Financial Economics, 2025, vol. 43, issue 3, 261-285

Abstract: This study examines the transmission of risks and co‐movements between financial and commodity markets during the global financial crisis from July 26, 2007 to December 31, 2009, as well as the sovereign debt crisis from January 1, 2010 to December 31, 2013. Daily closing prices of leading stock indices from G7 markets and China were analyzed. The Granger causality with a time‐varying framework was used as a preliminary step to support the diagonal BEKK model to study risk transmission hedging. Additionally, the DCC‐MGARCH model was employed to investigate dynamic conditional volatilities. Findings from previous studies indicate that econometric evidence of Granger causality in a time‐varying context reveals that the existence of non‐causality is interchanged with the existence of causality, although the duration of non‐causality significantly exceeded the periods in which causality is exhibited between the markets analyzed. Moreover, according to the BEKK model and the DCC‐MGARCH, the results show that during the global financial crisis, risk transmissions between financial indices and the gold market were most pronounced. However, the levels of risk transmission between financial and oil markets were consistently higher than those between financial and gold markets.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/rfe.70000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:revfec:v:43:y:2025:i:3:p:261-285

Access Statistics for this article

More articles in Review of Financial Economics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().