Authors
Walid Mensi, Muhammad Shafiullah, Xuan Vinh Vo, Sang Hoon Kang
Publication date
2021/6/1
Journal
Resources Policy
Volume
71
Pages
102002
Publisher
Pergamon
Description
This study examines the short-, intermediate-, and long-term volatility spillovers between developed (Australia, Canada, France, Germany, Japan, UK, and US) and emerging BRICS (Brazil, Russia, China, India, and South Africa) stock markets and strategic commodity futures markets (oil and gold). Using Baruník and Křehlík's (2018) methodology, we find evidence of time-varying volatility spillovers, which are intensified under major events. Moreover, the total volatility spillovers are higher in the short term than both the intermediate and long terms. A portfolio management analysis reveals that a mixed portfolio (commodity and stock markets) provides a higher level of hedging effectiveness for both emerging and developed markets. In addition, the hedging effectiveness in BRICS markets is more pronounced than in developed markets irrespective of frequencies. The hedging effectiveness is also higher using gold …
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Scholar articles
W Mensi, M Shafiullah, XV Vo, SH Kang - Resources Policy, 2021