Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets
Sang Hoon Kang,
Saumya Ranjan Dash and
Pacific-Basin Finance Journal, 2019, vol. 58, issue C
•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.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
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:eee:pacfin:v:58:y:2019:i:c:s0927538x18305912
Access Statistics for this article
Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee
More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Haili He ().