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- W2279516557 abstract "This paper is the first to study volatility spillover effects emerging from international commodity markets to the Australian equity market. The analysis is based on a novel approach utilizing a multivariate HAR model where realized volatility is decomposed into jump and continuous elements. Accounting for synchronous and non-synchronous trading times in the individual markets, volatility transmission is analyzed for realized volatility as well as for its jump and diffusion components separately. The analysis is based on intraday data from 2008 to 2012 divided in two samples and controls for global equity risk as reflected in the MSCI World Index. The results provide evidence of spillover effects mainly from the LME copper futures market to the Australian equity market during the crisis period. This relationship holds also in the post-crisis time. In this period, the DJ-UBS commodity index appears to additionally contain relevant information for the elements of the future Australian equity market volatility. In contrast, less incremental information is inherent in aluminium futures series and no spillover effects can be observed emerging from a global benchmark of oil prices." @default.
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- W2279516557 date "2015-05-01" @default.
- W2279516557 modified "2023-09-27" @default.
- W2279516557 title "Volatility spillovers from international commodity markets to the Australian equity market" @default.
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