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dc.contributor.authorTodorova, Neda
dc.contributor.authorSoucek, Michael
dc.contributor.authorRoca, Eduardo
dc.contributor.editorNeupane, Suman
dc.contributor.editorRoca, Eduardo
dc.date.accessioned2020-01-16T08:10:18Z
dc.date.available2020-01-16T08:10:18Z
dc.date.issued2015
dc.identifier.issn1836-8123
dc.identifier.otherRePEc:gri:fpaper:finance:201505
dc.identifier.urihttp://hdl.handle.net/10072/390384
dc.description.abstractThis 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.
dc.format.extent34 pages
dc.languageEnglish
dc.publisherGriffith University
dc.publisher.placeBrisbane, Australia
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto34
dc.subject.keywordsG15 - International Financial Markets
dc.subject.keywordsVolatility transmission
dc.subject.keywordsHAR model
dc.subject.keywordsIntraday data
dc.subject.keywordsRealized volatility
dc.subject.keywordsJumps
dc.subject.keywordsCommodity markets
dc.title2015-05: Volatility spillovers from international commodity markets to the Australian equity market (Working paper)
dc.typeReport
dc.type.descriptionDiscussion Paper
gro.facultyGriffith Business School
gro.description.notepublicFinance
gro.rights.copyrightCopyright © 2010 by author(s). No part of this paper may be reproduced in any form, or stored in a retrieval system, without prior permission of the author(s).
gro.date.issued2015
gro.hasfulltextFull Text
gro.griffith.authorTodorova, Neda
gro.griffith.authorRoca, Eduardo D.


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