December 2013
Intermediate to advanced
928 pages
28h 50m
English
book
Emerging Markets and the Global Economy
by Mohammed Hedi Arouri, Sabri Boubaker, Duc Khuong Nguyen
Content preview from Emerging Markets and the Global Economy
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Chapter 32
Asset Return and Volatility Spillovers Between Big Commodity Producing Countries
Perry Sadorsky, Schulich School of Business, York University, Toronto, Ontario, Canada, E-mail: psadorsk@schulich.yorku.ca
Abstract
The purpose of this chapter is to investigate asset return and volatility spillovers between an important group of commodity producing countries (Canada, Australia, Brazil, and South Africa), commodity prices and the developed stock markets of Japan, the United Kingdom, and the United States. The empirical approach uses recently developed VAR techniques to calculate spillover tables and spillover plots. The spillover indices for returns and volatility show similar patterns in that their spillovers increased considerably ...
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