On the links between stock and commodity markets' volatility

Anna Creti (), Marc Joëts () and Valérie Mignon ()
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Anna Creti: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Marc Joëts: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

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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)
Date: 2012
Note: View the original document on HAL open archive server: https://hal.science/hal-04141042
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Related works:
Journal Article: On the links between stock and commodity markets' volatility (2013)
Working Paper: On the links between stock and commodity markets’ volatility (2013)
Working Paper: On the links between stock and commodity markets' volatility (2012)
Working Paper: On the links between stock and commodity markets' volatility (2012)
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