کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5106437 1481510 2017 37 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی های تجدید پذیر، توسعه پایدار و محیط زیست
پیش نمایش صفحه اول مقاله
Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets
چکیده انگلیسی
This study investigates the impacts of volatility expectations in oil, gold, currency and the U.S. stock markets on time-varying conditional correlations between BRIC and U.S. stock markets. We use asymmetric dynamic conditional correlation and dynamic conditional correlation models to derive the time-varying relationships. We then examine the dynamic conditional correlations using quantile regressions for a detailed analysis of dependence structure containing non-linear and asymmetric interactions. Our results show that the impacts of volatility expectations in U.S. stock, gold, and oil markets on the correlations are asymmetric based on the level of correlations. Depending on the level of correlations, interdependence between the markets is driven by risk perceptions in both financial and non-financial markets. Our findings have important implications for determining international investment strategies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Commodity Markets - Volume 7, September 2017, Pages 41-56
نویسندگان
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