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Dynamic spillovers and connectedness between stock, commodities, bonds and VIX markets
, , Sang Hoon Kang, Robert Brooks
Published in Elsevier BV
2019
Volume: 58
   
Pages: 101 - 221
Abstract

This study investigates the pattern of spillover and connectedness between a broad set of financial assets (equities, commodities, bonds, and VIX) and its implications for portfolio diversification strategies. In recent years, increased interest in international portfolio diversification has motivated investors to search for assets and markets that can provide a cushion against shocks during periods of financial turmoil. Thus, cross-market or cross-asset linkages have become an important topic, both for academics and investors, especially with the increasing correlation between commodities and equity markets after the global financial crisis.

About the journal
JournalData powered by TypesetPacific Basin Finance Journal
PublisherData powered by TypesetElsevier BV
ISSN0927-538X
Open AccessNo