Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets |
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| Institution: | 1. Department of Applied Economics, National Chung Hsing University, Taiwan;2. Department of Finance, National Chung Hsing University, Taiwan;3. Department of Finance, Asia University, Taiwan;4. Department of Quantitative Finance, National Tsing Hua University, Taiwan;5. Discipline of Business Analytics, University of Sydney Business School, Australia;6. Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, the Netherlands;7. Department of Quantitative Analysis and ICAE, Complutense University of Madrid, Spain;8. Institute of Advanced Sciences, Yokohama National University, Japan;1. Middle East Technical University, Department of Business Administration, 06531 Ankara, Turkey;2. Y?ld?r?m Beyaz?t University, Department of Management, Esenbo?a Külliyesi, Esenbo?a, 06970 Ankara, Turkey;3. Middle East Technical University, Department of Earth System Science, 06531 Ankara, Turkey |
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| Abstract: | Our paper focuses on commodity financialization and the gradual integration between commodity and financial markets, investigating to what extent shocks in stock markets impact commodity price volatility, and the persistency of the phenomenon. To this end, we estimate Volatility Impulse Response Function from stock markets to agricultural commodity markets over a symmetric window before and after two of the most important bubble bursts since the new millennium, the 2000 dot.com bubble and the 2008 financial crises. Results highlight that volatility spillover increased significantly after the 2008 financial crises, signalling a rising interconnection between financial and agricultural commodity markets. |
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| Keywords: | Stock markets’ bubbles Financialization Volatility spillover Agricultural commodity market VIRF G11 C32 Q11 |
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