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
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی های تجدید پذیر، توسعه پایدار و محیط زیست
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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
Journal: Journal of Commodity Markets - Volume 7, September 2017, Pages 41-56
نویسندگان
Baris Kocaarslan, Ramazan Sari, Alper Gormus, Ugur Soytas,