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- W2324547372 abstract "ABSTRACTThis article investigates the transmission from equity markets to commodity markets during two major financial crises, namely the Subprime Mortgage and the Sovereign Debt Crises. We perform an analysis on sub-stages from 3 January 2003 to 31 October 2013 to capture the price behaviour of both equity and commodity markets. Two financial crises indicators, VIX and CDS, are used to represent fear of a crisis. We find that correlations between commodity and equity markets are time-varying and highly volatile during a financial crisis. While sharing some common features, commodities cannot be considered a homogeneous asset class. Segmentation characteristics of commodity markets disappear in times of financial crises, reducing their substitutability as an investment portfolio for asset diversification purposes. Through our test for Granger causality, we find the existence of transmission during a financial crisis. Volatility spillover effect also plays a major role as transmission mechanisms. After the..." @default.
- W2324547372 created "2016-06-24" @default.
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- W2324547372 date "2016-04-04" @default.
- W2324547372 modified "2023-10-18" @default.
- W2324547372 title "The transmission from equity markets to commodity markets in crises periods" @default.
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- W2324547372 doi "https://doi.org/10.1080/00036846.2016.1164816" @default.
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