<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>The volatility spillover effect plays an increasingly important role in the transmission of shocks mainly in recent periods, with the further advance of globalization and the rapid development in international linkages. This analysis of the interconnections between economic and financial markets has particular importance for investors in risk hedging strategies and portfolio diversification. Moreover, current turbulent periods, characterized by a volatile oil price, instability of gold price and supply bottlenecks caused by the outbreak of the COVID-19 pandemic impose the necessity to study this effect. The novelty brought by this paper is related to the analysis of the spillover effect coming from oil, commodity and bulk shipping markets to financial markets of Eastern-Europe emerging markets, namely Czech Republic, Hungary, Poland and Romania. To assess this effect, in this study it was implemented a widely used model in research papers model, more exactly the bivariate GARCH-BEKK (1,1) from the period July 2012 – February 2022. The results suggest the long-term memory of volatility in these markets, while direct interconnection and unidirectional spillovers effects are expected to be underlined by the volatility of gold returns on the stock markets returns.</p>
</abstract>

The volatility spillover effect plays an increasingly important role in the transmission of shocks mainly in recent periods, with the further advance of globalization and the rapid development in international linkages. This analysis of the interconnections between economic and financial markets has particular importance for investors in risk hedging strategies and portfolio diversification. Moreover, current turbulent periods, characterized by a volatile oil price, instability of gold price and supply bottlenecks caused by the outbreak of the COVID-19 pandemic impose the necessity to study this effect. The novelty brought by this paper is related to the analysis of the spillover effect coming from oil, commodity and bulk shipping markets to financial markets of Eastern-Europe emerging markets, namely Czech Republic, Hungary, Poland and Romania. To assess this effect, in this study it was implemented a widely used model in research papers model, more exactly the bivariate GARCH-BEKK (1,1) from the period July 2012 – February 2022. The results suggest the long-term memory of volatility in these markets, while direct interconnection and unidirectional spillovers effects are expected to be underlined by the volatility of gold returns on the stock markets returns.

Volatility spillover effects of oil, gold and bulk shipping prices on financial markets

Proceedings of the International Conference on Business Excellence

This work is licensed under the Creative Commons Attribution 4.0 International License.

The volatility spillover effect plays an increasingly important role in the transmission of shocks mainly in recent periods, with the further advance of...

Volatility spillover effects of oil, gold and bulk shipping prices on financial markets

Pubblicato online: 08 ago 2022

Pagine: 695 - 706

DOI: https://doi.org/10.2478/picbe-2022-0066

Parole chiave
volatility spillover, financial markets, contagion

© 2022 Georgiana Pleşa, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Volatility spillover effects of oil, gold and bulk shipping prices on financial markets

Pubblicato online: 08 ago 2022

Pagine: 695 - 706

DOI: https://doi.org/10.2478/picbe-2022-0066

Parole chiavevolatility spillover, financial markets, contagion

© 2022 Georgiana Pleşa, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Parole chiave
volatility spillover, financial markets, contagion