Equities and Commodities Comovements: Evidence from Emerging Markets
E. de Boyrie Maria () and
Pavlova Ivelina ()
Additional contact information
E. de Boyrie Maria: Department of Finance, MSC 3FIN, College of Business, New Mexico State University, P.O. BOX 30001, Las Cruces, NM 88003, USA
Pavlova Ivelina: College of Business, University of Houston – Clear Lake, 2700 Bay Area Blvd., Box 70, Houston, TX 77058, USA
Global Economy Journal, 2018, vol. 18, issue 3, 14
The financialization of commodities and their inclusion in financial portfolios as part of an investment strategy may result in higher correlations and volatility spillovers between commodity and equity markets. In this paper, we estimate the correlation between equity markets and commodities using the dynamic conditional correlation (DCC) model, while emphasizing the differences between emerging and developed markets co-movements with commodities. The results reveal that certain emerging markets, especially those in Asia, show a much lower level of co-movement with commodities than developed markets do, while Latin American equities exhibit a higher level of integration with commodities. Furthermore, it is found that both agricultural and precious metals commodities offer better diversification possibilities in the less developed markets. We also find that increases in the CBOE Volatility Index (VIX) are related to higher agriculture commodities-equities correlations, while commodity net index investment has limited explanatory power in our study.
Keywords: emerging markets; commodities; dynamic conditional correlation (search for similar items in EconPapers)
JEL-codes: G15 G11 F15 F36 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
https://www.degruyter.com/view/j/gej.2018.18.issue ... -0075.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bpj:glecon:v:18:y:2018:i:3:p:14:n:1
Ordering information: This journal article can be ordered from
Access Statistics for this article
Global Economy Journal is currently edited by Jannett Highfill
More articles in Global Economy Journal from De Gruyter
Bibliographic data for series maintained by Peter Golla ().