Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets

Sang Hoon Kang, Debasish Maitra, Saumya Ranjan Dash and Robert Brooks

Pacific-Basin Finance Journal, 2019, vol. 58, issue C

Abstract: •This study examines dynamic spillovers and connectedness between stocks, commodities, bonds, and VIX markets.•Results suggest that emerging equity markets are net receiver of shocks.•Commodity markets provide poor heading opportunity in the short-run.•Portfolio strategy using shock-receiver and shock-transmitter information generates better hedging effectiveness.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x18305912

DOI: 10.1016/j.pacfin.2019.101221

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