Risk Factors And Contagion In Commodity Markets And Stocks Markets
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Author | : Stephane Goutte |
Publisher | : World Scientific |
Total Pages | : 355 |
Release | : 2020-04-28 |
Genre | : Business & Economics |
ISBN | : 981121025X |
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.Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Did the financialization in energy commodities occur after the 2008 Global Financial Crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets.
Author | : Bernardina Algieri |
Publisher | : |
Total Pages | : 40 |
Release | : 2017 |
Genre | : |
ISBN | : |
Author | : Claudio Nicolai Wewel |
Publisher | : |
Total Pages | : 0 |
Release | : 2013 |
Genre | : |
ISBN | : |
Author | : Sabri Boubaker |
Publisher | : World Scientific |
Total Pages | : 828 |
Release | : 2019-06-27 |
Genre | : Business & Economics |
ISBN | : 9813236663 |
The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.
Author | : Gazi Salah Uddin |
Publisher | : |
Total Pages | : 22 |
Release | : 2018 |
Genre | : |
ISBN | : |
This study explores the economic and financial effects of uncertainty on the commodity market integration. This issue is important from the perspective of financialization versus hedging strategy, as the commodity market plays an important role in this context. We consider the eight major developed equity markets and three major sectors of the commodity futures markets including energy, metals and agriculture, and several sources of uncertainty. To this end, we use the panel smooth transition regression (PSTR) to capture the heterogeneity in the regression coefficients that vary across individuals and over time. Our main findings indicate a significant effect of uncertainty on the commodity markets in the two “extreme regimes” of the financial market (recessions and booms), and the sign of this effect is heterogeneous depending on the type of commodity and the source of uncertainty.
Author | : Sichong Chen |
Publisher | : |
Total Pages | : 201 |
Release | : 2007 |
Genre | : |
ISBN | : |
Author | : Xiaoqian Wen |
Publisher | : |
Total Pages | : |
Release | : 2017 |
Genre | : |
ISBN | : |
In this paper, we apply time-varying copulas to investigate whether a contagion effect existed between energy and stock markets during the recent financial crisis. Using the WTI oil spot price, the S&P500 index, the Shanghai stock market composite index and the Shenzhen stock market component index returns, evidence was found for a significantly increasing dependence between crude oil and stock markets after the failure of Lehman Brothers, thus supporting the existence of contagion in the sense of Forbes and Rigobon's (2002) definition. Moreover, increased tail dependence and symmetry characterize all the paired markets. This indicates that significant increases in tail dependence are an actual dimension of the contagion phenomenon and that crude oil and stock prices are linked to the same degree regardless of whether markets are booming or crashing during the sample period. Finally, the contagion effect is found to be much weaker for China than the US. The empirical results have potentially important implications for risk management.
Author | : Laura E. Kodres |
Publisher | : |
Total Pages | : 57 |
Release | : 2003 |
Genre | : |
ISBN | : |
We develop a multiple asset rational expectations model of asset prices to study the determinants of financial market contagion, and to provide an explanation for the pattern of contagion during the Asian financial crisis. Our findings show that the pattern and severity of financial contagion depends on the size of markets' sensitivities to common macroeconomic risk factors. The amount of information asymmetry within a financial market also increases its susceptibility to contagion. We focus on contagion through the cross-market hedging of macroeconomic risks. Through this channel, idiosyncratic shocks in one market are transmitted to others. Interestingly, contagion can occur between markets that have no macroeconomic risks in common. In addition, contagion occurs in the absence of any news, and before the macroeconomic risk factors are realized. Because contagion occurs through hedging, the pattern of contagion is strongly influenced by the presence or absence of derivatives markets for unbundling and hedging the macroeconomic risks. Errors in market participants' beliefs about dynamic hedging activity influence the pattern of contagion and, in some cases, strongly magnify the size of the contagious price responses.
Author | : Dimitris Kenourgios |
Publisher | : |
Total Pages | : 28 |
Release | : 2017 |
Genre | : |
ISBN | : |
This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial contagion is provided by estimating and comparing asymmetric conditional correlations among asset markets during stable and turmoil periods. Results provide evidence on the existence of a correlated-information channel as a contagion mechanism among the US stocks, real estate, commodities and emerging Brazilian bond index. The findings also support the decoupling of BRIC equity markets from the crisis, the diversification benefits of shipping and foreign exchange value of the US dollar indices, and the existence of a flight to quality mechanism from risky US assets to German bonds. This evidence has important implications for portfolio diversification strategies and the future work of policymakers.
Author | : Najakorn Khajonchotpanya |
Publisher | : |
Total Pages | : 104 |
Release | : 2017 |
Genre | : Financial crisis |
ISBN | : |
The thesis aims to develop a framework and a model of the fundamental-based contagion in the international stock market. Rather than studying the contagion effect directly across countries' stock markets as in past studies, this thesis assumes the distribution of stock market return is determined by a hidden process called the domestic fundamental, which is defned as the health of the economy, and study the contagion through the fundamentals. Under the framework proposed by this thesis, the mechanism of the fundamental-based contagion in the international stock market consists of two effects: the transmission of shocks and the shock amplification effects. The proposed model is estimated using Markov Chain Monte Carlo (MCMC). Then, results from the empirical study on the international stock market contagion between Japan - Thailand, Hong Kong- Thailand and the Us - Thailand reveals that financial linkage is the only transmision channel of shock to Thailand and that there is a significant evidence of the effect of shock amplication by the Thai fundamental. Thus, as the fnancial linkage gets larger, more external shocks would transmit to Thailand, and if the Thai fundamental is weak, it would suffer from the shocks more greatly. Lastly, this thesis finds that Thailand was affected by the fundamental of the US the most, and the effect of changes in the US fundamental on the Thai fundamental and stock market returns became more pronounced during the 2008 global fnancial crisis.