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On the links between stock and commodity markets' volatility

Anna Creti, Marc Joëts and Valérie Mignon ()

Working Papers from CEPII research center

Abstract: This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the correlations between commodity and stock markets evolve through time and are highly volatile, particularly since the 2007-2008 financial crisis. The latter has played a key role, emphasizing the links between commodity and stock markets, and underlining the financialization of commodity markets. At the idiosyncratic level, a speculation phenomenon is highlighted for oil, coffee and cocoa, while the safe-haven role of gold is evidenced.

Keywords: commodities; stock market; financial crisis; volatility; correlations; DCC-GARCH (search for similar items in EconPapers)
JEL-codes: C22 G01 G10 Q4 (search for similar items in EconPapers)
Date: 2012-10
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Related works:
Journal Article: On the links between stock and commodity markets' volatility (2013) Downloads
Working Paper: On the links between stock and commodity markets’ volatility (2013)
Working Paper: On the links between stock and commodity markets' volatility (2012) Downloads
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