Year: 2024
Type: article
Abstract: The present work aimed to examine the risk spillover between three commodity sectors, namely energy, precious metals, and agriculture, and emerging stock markets.Asymmetric dynamic conditional correlation (ADCC) and conditional value at risk (CoVaR) were used to measure downside and upside risk spillovers between the studied markets.Our empirical results reveal that the downside and upside risk spillovers are significant.We also found an asymmetric two-way risk spillover in most cases, but the degree of asymmetry differs according to the application of the entire cumulative distributions or distribution tails.Downside and upside risk spillover magnitudes between precious metals and emerging stock markets are not significantly larger following the global financial crisis (GFC) compared to the pre-crisis period, except for the downside risk spillover below the 25th quantile.However, for the other pairs, downside and upside risk spillovers are significantly higher after GFC than before it.Our empirical findings have important implications for risk management among investors and policymakers, as they emphasise the prevalence of tail behaviour and the persistent asymmetric nature of both downside and upside risk spillovers.
Authors: Fahmi Ghallabi, Ahmed Ghorbel
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W4405920400