Risk Factors and Contagion in Commodity Markets and Stocks Markets

Edited by Stéphane Goutte and Khaled Guesmi

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often been debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due to seasonal variations, dramatic market changes, political and regulatory decisions, or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so-called "commodities risk". Additionally, commodities price fluctuations may spread to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets.

Keywords: Risk; Commodity; Commodity Markets; Stock; Risk Contagion; Contagion; Volatility (search for similar items in EconPapers)
JEL-codes: F3 G1 Q43 (search for similar items in EconPapers)
Date: 2020
ISBN: 9789811210235
References: Add references at CitEc
Citations: View citations in EconPapers (1)

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https://www.worldscientific.com/worldscibooks/10.1142/11549 (text/html)
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Chapters in this book:

Ch 1 Bubbles on Bitcoin Price: The Bitcoin Rush , pp 1-24

Dominique Guegan and Marius-Cristian Frunza

Ch 2 Investigating the Association between Oil VIX and Equity VIX: Evidence from China , pp 25-46

Anupam Dutta, Timo Rothovius and Jussi Nikkinen

Ch 3 The Predictive Power of Oil and Commodity Prices for Equity Markets , pp 47-82

Leila Dagher, Ibrahim Jamali and Nasser Badra

Ch 4 Time-Varying Linkage between Equities and Oil , pp 83-120

Beyza Mina Ordu-Akkaya, Adil Oran and Ugur Soytas

Ch 5 Has the Causal Nexus of Oil Prices and Consumer Prices Been Asymmetric in the US during the Last Fifteen Decades? , pp 121-131

Abdulnasser Hatemi-J and Youssef El-Khatib

Ch 6 Risky Financial Assets in Financial Integration and the Impacts of Derivatives on Banking Returns , pp 133-159

Hasan Dinçer, Serhat Yüksel, Fatih Pınarbaşı and Mehmet Ali Alhan

Ch 7 The Risk-Sharing Paradigm in Islamic Financial System: Myth or Reality? , pp 161-196

Jamel Boukhatem and Mouldi Djelassi

Ch 8 Commodity Markets’ Asset Allocation with Robust Liquidity Risk Management Optimization Parameters , pp 197-235

Mazin A. M. Al Janabi

Ch 9 Comovements and Integration in African Stock Markets , pp 237-255

El Mehdi Ferrouhi

Ch 10 Interdependence or Contagion in Equity Markets? Evidence from Past Crises , pp 257-290

Olfa Kaabia

Ch 11 Impact of Contagion on Proxy-Hedging in Jet-Fuel Markets , pp 291-322

Dominique Guegan, Marius-Cristian Frunza and Rostislav Haliplii

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