Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets
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- 作者：Lucia Baldia ; lucia.baldi@unimi.it" class="auth_mail" title="E-mail the corresponding author ; Massimo Perib ; massimo.peri@unimi.it" class="auth_mail" title="E-mail the corresponding author ; Daniela Vandonec ; daniela.vandone@unimi.it" class="auth_mail" title="E-mail the corresponding author
- 关键词：Stock markets&rsquo ; bubbles ; Financialization ; Volatility spillover ; Agricultural commodity market ; VIRF
- 刊名：Research in International Business and Finance
- 出版年：2016
- 出版时间：September 2016
- 年：2016
- 卷：38
- 期：Complete
- 页码：277-285
- 全文大小：849 K
文摘
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Financialization has generated a link between agricultural and financial markets.
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We investigate to what extent bubble bursts impact commodity price volatility.
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The focus is on the 2000 dot.com bubble and the 2008 financial crisis.
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We analyze VIRF from for S&P500 to S&P Agriculture, Grain and Corn Indexes.
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Empirical findings underline a rising financialization in the analyzed markets.