Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5106437 | Journal of Commodity Markets | 2017 | 37 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Energy
Renewable Energy, Sustainability and the Environment
Authors
Baris Kocaarslan, Ramazan Sari, Alper Gormus, Ugur Soytas,