TY - JOUR
T1 - Commodity markets volatility transmission : Roles of risk perceptions and uncertainty in financial markets
AU - Gozgor, Giray
AU - Lau, Chi Keung Marco
AU - Bilgin, Mehmet Huseyin
N1 - Publisher Copyright:
© 2016 Elsevier B.V.
Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.
PY - 2016/9/1
Y1 - 2016/9/1
N2 - This paper uses GJR–GARCH estimations to analyze the price volatility transmissions among the crude oil, corn, soybeans, sugar, and wheat markets. Special role is also given to two driving mechanisms of the relationship: (i) the volatility index (VIX) as a measure of risk perceptions, and (ii) the equity market uncertainty (EMU) index as a measure of uncertainty in financial markets. The analysis covers the daily futures markets data from January 1, 1990 to July 31, 2015, and several sub-periods in the empirical strategy are also considered. The empirical results show that (i) crude oil return is positively related to four agricultural commodity returns; (ii) a higher risk perception in financial markets suppresses both the corn and soybeans returns over the period August 1, 2008–July 31, 2015; (iii) a higher uncertainty in financial markets is negatively related to the corn and soybeans returns for the period from June 1, 2010 to July 31, 2015; (iv) the results for the effects of risk perceptions and uncertainty on wheat market returns are not statistically robust; i.e., these results are time-specific in the different sub-period analyses.
AB - This paper uses GJR–GARCH estimations to analyze the price volatility transmissions among the crude oil, corn, soybeans, sugar, and wheat markets. Special role is also given to two driving mechanisms of the relationship: (i) the volatility index (VIX) as a measure of risk perceptions, and (ii) the equity market uncertainty (EMU) index as a measure of uncertainty in financial markets. The analysis covers the daily futures markets data from January 1, 1990 to July 31, 2015, and several sub-periods in the empirical strategy are also considered. The empirical results show that (i) crude oil return is positively related to four agricultural commodity returns; (ii) a higher risk perception in financial markets suppresses both the corn and soybeans returns over the period August 1, 2008–July 31, 2015; (iii) a higher uncertainty in financial markets is negatively related to the corn and soybeans returns for the period from June 1, 2010 to July 31, 2015; (iv) the results for the effects of risk perceptions and uncertainty on wheat market returns are not statistically robust; i.e., these results are time-specific in the different sub-period analyses.
UR - http://www.scopus.com/inward/record.url?scp=85032068825&partnerID=8YFLogxK
U2 - 10.1016/j.intfin.2016.04.008
DO - 10.1016/j.intfin.2016.04.008
M3 - Article
AN - SCOPUS:85032068825
SN - 1042-4431
VL - 44
SP - 35
EP - 45
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
ER -