Global connectivity between commodity prices and national stock markets: a time‐varying MIDAS analysis
Global connectivity between commodity prices and national stock markets: a time‐varying MIDAS analysis
In this paper, we provide a comprehensive study of the linkages between global commodity price shocks and national financial markets. We consider an overall price index, three proxies of global oil shocks (overall, supply and demand) and non-oil (metal) price shocks and assess their causal relationships with the stock prices of a large set of heterogeneous countries in terms of development. Using a mixed-frequency VAR approach in a time-varying setting, we construct a Global Commodity Connectivity Index and a Global Stock Connectivity Index to monitor the prevalence, over time, of Granger-Causality from commodities to stock markets and vice versa. Our results show the existence of time-varying causality during the observed period depending on the level of country development and the position on the global commodity shocks super-cycles: the commodities depression of the 1980s and 1990s, the commodity boom of the 2000s and the post-Global Financial Crisis
Enilov, Martin
a33a63d6-b26a-4ab5-88bb-d92151983cde
Fazio, Giorgio
df818081-2353-4f82-8ac6-4197d6247d3a
Ghoshray, Atanu
f5f2c198-4386-48c4-9903-1d0f13f9be52
Enilov, Martin
a33a63d6-b26a-4ab5-88bb-d92151983cde
Fazio, Giorgio
df818081-2353-4f82-8ac6-4197d6247d3a
Ghoshray, Atanu
f5f2c198-4386-48c4-9903-1d0f13f9be52
Enilov, Martin, Fazio, Giorgio and Ghoshray, Atanu
(2021)
Global connectivity between commodity prices and national stock markets: a time‐varying MIDAS analysis.
International Journal of Finance & Economics, [2552].
(doi:10.1002/ijfe.2552).
Abstract
In this paper, we provide a comprehensive study of the linkages between global commodity price shocks and national financial markets. We consider an overall price index, three proxies of global oil shocks (overall, supply and demand) and non-oil (metal) price shocks and assess their causal relationships with the stock prices of a large set of heterogeneous countries in terms of development. Using a mixed-frequency VAR approach in a time-varying setting, we construct a Global Commodity Connectivity Index and a Global Stock Connectivity Index to monitor the prevalence, over time, of Granger-Causality from commodities to stock markets and vice versa. Our results show the existence of time-varying causality during the observed period depending on the level of country development and the position on the global commodity shocks super-cycles: the commodities depression of the 1980s and 1990s, the commodity boom of the 2000s and the post-Global Financial Crisis
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Accepted/In Press date: 18 January 2021
e-pub ahead of print date: 7 February 2021
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Local EPrints ID: 476230
URI: http://eprints.soton.ac.uk/id/eprint/476230
ISSN: 1076-9307
PURE UUID: 7235c6f7-c794-46d9-968c-bbb47e60dd0b
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Date deposited: 14 Apr 2023 16:55
Last modified: 17 Mar 2024 04:13
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Author:
Martin Enilov
Author:
Giorgio Fazio
Author:
Atanu Ghoshray
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