Spillover effects between commodity and stock markets: A SDSES approach

In this paper, we use a state-dependent sensitivity expected shortfall (SDSES) approach using expectiles. This model enables us to quantify the direction, size, and persistence of risk spillovers among the US and emerging market stock indices and different individual commodities as a function of the...

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Detalles Bibliográficos
Autores: García Jorcano, Laura, Sanchís Marco, Lidia
Tipo de recurso: artículo
Fecha de publicación:2022
País:España
Institución:Universidad de Castilla-La Mancha
Repositorio:RUIdeRA. Repositorio Institucional de la UCLM
OAI Identifier:oai:ruidera.uclm.es:10578/42645
Acceso en línea:https://doi.org/10.1016/j.resourpol.2022.102926
https://hdl.handle.net/10578/42645
Access Level:acceso embargado
Palabra clave:CARE models
Commodities
Expected shortfall
Financialization
Risk spillovers
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spelling Spillover effects between commodity and stock markets: A SDSES approachGarcía Jorcano, LauraSanchís Marco, LidiaCARE modelsCommoditiesExpected shortfallFinancializationRisk spilloversIn this paper, we use a state-dependent sensitivity expected shortfall (SDSES) approach using expectiles. This model enables us to quantify the direction, size, and persistence of risk spillovers among the US and emerging market stock indices and different individual commodities as a function of the state of financial markets (tranquil, normal, and volatile). We obtain high and more significant spillovers and financialization process evidence in the volatile state of the post-Draghi speech and COVID-19 period, especially for the copper and wheat market. Market stock indices and commodity US market index appear to play a major role in the transmission of shocks to other markets, mainly to the wheat market.Elsevier202520252022info:eu-repo/semantics/articleapplication/pdfapplication/pdfhttps://doi.org/10.1016/j.resourpol.2022.102926https://hdl.handle.net/10578/42645reponame:RUIdeRA. Repositorio Institucional de la UCLMinstname:Universidad de Castilla-La ManchaInglésinfo:eu-repo/semantics/embargoedAccessoai:ruidera.uclm.es:10578/426452026-05-27T07:36:41Z
dc.title.none.fl_str_mv Spillover effects between commodity and stock markets: A SDSES approach
title Spillover effects between commodity and stock markets: A SDSES approach
spellingShingle Spillover effects between commodity and stock markets: A SDSES approach
García Jorcano, Laura
CARE models
Commodities
Expected shortfall
Financialization
Risk spillovers
title_short Spillover effects between commodity and stock markets: A SDSES approach
title_full Spillover effects between commodity and stock markets: A SDSES approach
title_fullStr Spillover effects between commodity and stock markets: A SDSES approach
title_full_unstemmed Spillover effects between commodity and stock markets: A SDSES approach
title_sort Spillover effects between commodity and stock markets: A SDSES approach
dc.creator.none.fl_str_mv García Jorcano, Laura
Sanchís Marco, Lidia
author García Jorcano, Laura
author_facet García Jorcano, Laura
Sanchís Marco, Lidia
author_role author
author2 Sanchís Marco, Lidia
author2_role author
dc.subject.none.fl_str_mv CARE models
Commodities
Expected shortfall
Financialization
Risk spillovers
topic CARE models
Commodities
Expected shortfall
Financialization
Risk spillovers
description In this paper, we use a state-dependent sensitivity expected shortfall (SDSES) approach using expectiles. This model enables us to quantify the direction, size, and persistence of risk spillovers among the US and emerging market stock indices and different individual commodities as a function of the state of financial markets (tranquil, normal, and volatile). We obtain high and more significant spillovers and financialization process evidence in the volatile state of the post-Draghi speech and COVID-19 period, especially for the copper and wheat market. Market stock indices and commodity US market index appear to play a major role in the transmission of shocks to other markets, mainly to the wheat market.
publishDate 2022
dc.date.none.fl_str_mv 2022
2025
2025
dc.type.none.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://doi.org/10.1016/j.resourpol.2022.102926
https://hdl.handle.net/10578/42645
url https://doi.org/10.1016/j.resourpol.2022.102926
https://hdl.handle.net/10578/42645
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.rights.none.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:RUIdeRA. Repositorio Institucional de la UCLM
instname:Universidad de Castilla-La Mancha
instname_str Universidad de Castilla-La Mancha
reponame_str RUIdeRA. Repositorio Institucional de la UCLM
collection RUIdeRA. Repositorio Institucional de la UCLM
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,811543

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