Commodity markets volatility transmission: Roles of risk perceptions and uncertainty in financial markets
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- 作者：Giray Gozgora ; giray.gozgor@medeniyet.edu.tr" class="auth_mail" title="E-mail the corresponding author ; Chi Keung Marco Laub ; chi.lau@northumbria.ac.uk" class="auth_mail" title="E-mail the corresponding author ; Mehmet Huseyin Bilgina ; mehmet.bilgin@medeniyet.edu.tr" class="auth_mail" title="E-mail the corresponding author
- 关键词：F30 ; G15 ; Q02 ; Q41
- 刊名：Journal of International Financial Markets, Institutions & Money
- 出版年：2016
- 出版时间：September 2016
- 年：2016
- 卷：44
- 期：Complete
- 页码：35-45
- 全文大小：299 K
文摘
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We analyze the price volatility transmissions among the crude oil, corn, soybeans, sugar, and wheat markets.
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We focus on the effects of the VIX and the EMU indexes.
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A higher VIX suppresses both the corn and soybeans returns.
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Effects on the wheat market returns are not found as statistically robust.