create a website

Equities and Commodities Comovements: Evidence from Emerging Markets. (2018). Ivelina, Pavlova ; Boyrie, DE.
In: Global Economy Journal.
RePEc:bpj:glecon:v:18:y:2018:i:3:p:14:n:1.

Full description at Econpapers || Download paper

Cited: 7

Citations received by this document

Cites: 38

References cited by this document

Cocites: 22

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Connectedness with commodities in emerging markets: ESG leaders vs. conventional indexes. (2024). de Boyrie, Maria E ; Pavlova, Ivelina.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002496.

    Full description at Econpapers || Download paper

  2. Which Commodity Sectors Effectively Hedge Emerging Eastern European Stock Markets? Evidence from MGARCH Models. (2023). Melki, Amel ; Ghorbel, Ahmed.
    In: Commodities.
    RePEc:gam:jcommo:v:2:y:2023:i:3:p:16-279:d:1209981.

    Full description at Econpapers || Download paper

  3. A comparative analysis of the financialization of commodities during COVID-19 and the global financial crisis using a quantile regression approach. (2022). Sharma, Aarzoo.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003671.

    Full description at Econpapers || Download paper

  4. Spillover and Drivers of Uncertainty among Oil and Commodity Markets. (2021). Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Farid, Saqib ; Nor, Safwan Mohd ; Naeem, Muhammad Abubakr.
    In: Mathematics.
    RePEc:gam:jmathe:v:9:y:2021:i:4:p:441-:d:504241.

    Full description at Econpapers || Download paper

  5. Commodity index risk premium. (2021). Rojas, Maximiliano ; Ortega, Hector ; Cortazar, Gonzalo ; Schwartz, Eduardo S.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300337.

    Full description at Econpapers || Download paper

  6. Asymmetric linkages among precious metals, global equity and bond yields: The role of volatility and business cycle factors. (2019). Anochiwa, Lasbrey ; Idume, Gabriel ; Yuni, Denis ; Urom, Christian.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:20:y:2019:i:c:s1703494919300246.

    Full description at Econpapers || Download paper

  7. Measuring the hedging effectiveness of commodities. (2019). Chunhachinda, Pornchai ; de Boyrie, Maria E ; Pavlova, Ivelina.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:30:y:2019:i:c:p:201-207.

    Full description at Econpapers || Download paper

References

References cited by this document

    References contributed by pfo235-1157

  1. Adams, Z., and T. Glück. 2015. "Financialization in Commodity Markets: A Passing Trend or the New Normal?" Journal of Banking & Finance 60:93–111. Aizenman, J., Y. Jinjarak, and D. Park. 2016. "Fundamentals and Sovereign Risk of Emerging Markets." Pacific Economic Review 21(2):151–177.

  2. Arouri, M.E.H., and D.K. Nguyen. 2010. "Oil Prices, Stock Markets and Portfolio Investment: Evidence from Sector Analysis in Europe over the Last Decade." Energy Policy 38(8):4528–4539.

  3. Büyüksahin, B., M.S. Haigh, and M.A. Robe. 2010. "Commodities and Equities: Ever a "Market of One"?" Journal of Alternative Investments 12(3):76–95.
    Paper not yet in RePEc: Add citation now
  4. Basher, S.A., A.A. Haug, and P. Sadorsky. 2012. "Oil Prices, Exchange Rates and Emerging Stock Markets." Energy Economics 34(1):227–240.

  5. Basher, S.A., and P. Sadorsky. 2006. "Oil Price Risk and Emerging Stock Markets." Global Finance Journal 17(2):224–251.

  6. Baur, D.G., and T.K. McDermott. 2010. "Is Gold a Safe Haven? International Evidence." Journal of Banking & Finance 34(8):1886–1898.

  7. Beber, A., M.W. Brandt, and K.A. Kavajecz. 2007. "Flight-To-Quality or Flight- To-Liquidity? Evidence from the Euro-Area Bond Market." Review of Financial Studies 22(3):925–957.
    Paper not yet in RePEc: Add citation now
  8. Belousova, J., and G. Dorfleitner. 2012. "On the Diversification Benefits of Commodities from the Perspective of Euro Investors." Journal of Banking & Finance 36(9):2455–2472.

  9. Bollerslev, T. 1986. "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics 31(3):307–327.

  10. Charlot, P., O. Darné, and Z. Moussa. 2016. "Commodity Returns Co-Movements: Fundamentals or "Style" Effect?" Journal of International Money and Finance 68:130–160.

  11. Chong, J., and J. Miffre. 2010. "Conditional Correlation and Volatility in Commodity Futures and Traditional Asset Markets." Journal of Alternative Investments 12(3):61–75.
    Paper not yet in RePEc: Add citation now
  12. Creti, A., M. Jots, and V. Mignon. 2013. "On the Links between Stock and Commodity Markets’ Volatility." Energy Economics 37:16–28.

  13. Delatte, A.L., and C. Lopez. 2013. "Commodity and Equity Markets: Some Stylized Facts from a Copula Approach." Journal of Banking & Finance 37(12):5346–5356.

  14. Ding, Z., R.F. Engle, and C.W.J. Granger. 1993. "A Long Memory Property of Stock Market Returns and A New Model." Journal of Empirical Finance 1:83–106.

  15. Engle, R. 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models." Journal of Business & Economic Statistics 20(3):339–350.

  16. Engle, R.F. 1982. "A General Approach to Lagrange Multiplier Model Diagnostics." Journal of Econometrics 20(1):83–104.

  17. Engle, R.F., and G.J. Lee. 1999. "A Permanent and Transitory Component Model of Stock Return Volatility." In Cointegration, Causality, and Forecasting: A Festschrift in Honor of Clive W. J. Granger, edited by R.F. Engle and H. White. Oxford, UK: Oxford University Press.

  18. Engle, R.F., and T. Bollerslev. 1986. "Modelling the Persistence of Conditional Variances." Econometric Reviews 5:1–50.
    Paper not yet in RePEc: Add citation now
  19. Filis, G., S. Degiannakis, and C. Floros. 2011. "Dynamic Correlation between Stock Market and Oil Prices: The Case of Oil-Importing and Oil-Exporting Countries." International Review of Financial Analysis 20(3):152–164.

  20. Glosten, L.R., R. Jagannathan, and D.E. Runkle. 1993. "On the Relationship between the Expected Value and the Volatility of the Nominal Excess Return on Stocks." Journal of Finance 48:1779–1801.

  21. Graham, M., J. Kiviaho, and J. Nikkinen. 2013. "Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity Prices." Quantitative Finance 13(4):583–592.

  22. Graham, M., J. Peltomaki, and V. Piljak. 2016. "Global Economic Activity as an Explicator of Emerging Market Equity Returns." Research in International Business Finance 36:424–435.

  23. Hillier, D., P. Draper, and R. Faff. 2006. "Do Precious Metals Shine? an Investment Perspective." Financial Analysts Journal 62:98–106.
    Paper not yet in RePEc: Add citation now
  24. Johnson, R., and L. Soenen. 2009. "Commodity Prices and Stock Market Behavior in South American Countries in the Short Run." Emerging Markets Finance and Trade 45(4):69–82.

  25. Li, X., B. Zhang, and Z. Du (2011). Correlation in Commodity Futures and Equity Markets around the World: Long-Run Trend and Short-Run Fluctuation (November 16, 2011). Available at SSRN: http://ssrn.com/abstract=2011178.
    Paper not yet in RePEc: Add citation now
  26. Malik, F., and B.T. Ewing. 2009. "Volatility Transmission between Oil Prices and Equity Sector Returns." International Review of Financial Analysis 18(3):95–100.

  27. Masih, R., S. Peters, and L. De Mello. 2011. "Oil Price Volatility and Stock Price Fluctuations in an Emerging Market: Evidence from South Korea." Energy Economics 33(5):975–986.

  28. Mensi, W., M. Beljid, A. Boubaker, and S. Managi. 2013. "Correlations and Volatility Spillovers across Commodity and Stock Markets: Linking Energies, Food, and Gold." Economic Modelling 2:15–22.

  29. Nazlioglu, S. 2011. "World Oil and Agricultural Commodity Prices: Evidence from Nonlinear Causality." Energy Policy 39:2935–2943.

  30. Nazlioglu, S., and U. Soytas. 2012. "Oil Price, Agricultural Commodity Prices, and the Dollar: A Panel Cointegration and Causality Analysis." Energy Economics 34:1098–1104.

  31. Nazlioglu, S., C. Erdem, and U. Soytas. 2013. "Volatility Spillover between Oil and Agricultural Commodity Markets." Energy Economics 36:658–665.

  32. Roache, S.K. 2012. China’s Impact on World Commodity Markets (No. 12/115). Washington, DC: International Monetary Fund.
    Paper not yet in RePEc: Add citation now
  33. Sadorsky, P. 2014. "Modeling Volatility and Correlations between Emerging Market Stock Prices and the Prices of Copper, Oil and Wheat." Energy Economics 43:72–81.

  34. Sari, R., S. Hammoudeh, and U. Soytas. 2010. "Dynamics of Oil Price, Precious Metal Prices, and Exchange Rate." Energy Economics 32(2):351–362.

  35. Silvennoinen, A., and S. Thorp. 2013. "Financialization, Crisis and Commodity Correlation Dynamics." Journal of International Financial Markets, Institutions and Money 24:42–65.

  36. Soytas, U., R. Sari, S. Hammoudeh, and E. Hacihasanoglu. 2009. "World Oil Prices, Precious Metal Prices and Macroeconomy in Turkey." Energy Policy 37(12):5557–5566.

  37. Tang, K., and W. Xiong. 2012. "Index Investment and the Financialization of Commodities." Financial Analysts Journal 68(5):54–74.
    Paper not yet in RePEc: Add citation now
  38. Zhu, H.-M., R. Li, and S. Li. 2014. "Modelling Dynamic Dependence between Crude Oil Prices and Asia-Pacific Stock Market Returns." International Review of Economics & Finance 29:208–223.

Cocites

Documents in RePEc which have cited the same bibliography

  1. The impact of global shocks on sovereign risk: Role of domestic factors. (2025). Inoguchi, Masahiro.
    In: Economic Systems.
    RePEc:eee:ecosys:v:49:y:2025:i:2:s0939362524000992.

    Full description at Econpapers || Download paper

  2. World commodity prices and partial default in emerging markets: an empirical analysis. (2024). Atolia, Manoj ; Feng, Shuang.
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:160:y:2024:i:2:d:10.1007_s10290-023-00510-8.

    Full description at Econpapers || Download paper

  3. The asymmetric response of sovereign credit default swaps spreads to risk aversion, investor sentiment and monetary policy shocks. (2024). Haddou, Samira.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:93:y:2024:i:pb:p:244-272.

    Full description at Econpapers || Download paper

  4. The determinants of Turkish CDS volatility: An ARDL approach covering COVID period. (2024). Sunal, Onur ; Yaci, Filiz.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924000930.

    Full description at Econpapers || Download paper

  5. Public and Private Investment as Catalysts for Growth: An analysis of emerging markets and developing economies with a focus on Asia. (2024). Qureshi, Irfan ; PARK, DONGHYUN ; Jalles, Joo Tovar.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:148:y:2024:i:c:s0261560624001530.

    Full description at Econpapers || Download paper

  6. Examining the nexus between oil shocks and sovereign credit risk: Multidimensional insights from major oil exporters. (2024). Naifar, Nader.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400130x.

    Full description at Econpapers || Download paper

  7. Do green financial policies offset the climate transition risk penalty imposed on long-term sovereign bond yields?. (2023). Cheng, Ruijie ; Rajan, Ramkishen S ; Gupta, Bhavya.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923001022.

    Full description at Econpapers || Download paper

  8. To what extent do sovereign rating actions affect global equity market sectors?. (2023). Sahibzada, Irfan Ullah.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:84:y:2023:i:c:p:240-261.

    Full description at Econpapers || Download paper

  9. Physical climate change and the sovereign risk of emerging economies. (2022). Boehm, Hannes.
    In: Journal of Economic Structures.
    RePEc:spr:jecstr:v:11:y:2022:i:1:d:10.1186_s40008-022-00284-6.

    Full description at Econpapers || Download paper

  10. Dynamic effects of network exposure on equity markets. (2022). Volkov, Vladimir ; Kangogo, Moses ; Dungey, Mardi.
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:12:y:2022:i:4:d:10.1007_s40822-022-00210-y.

    Full description at Econpapers || Download paper

  11. Does fiscal sentiment matter for sovereign risk?. (2022). Nicolay, Rodolfo ; Montes, Gabriel ; Pereira, Flavio.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:86:y:2022:i:c:p:18-30.

    Full description at Econpapers || Download paper

  12. Tail risk transmission from commodity prices to sovereign risk of emerging economies. (2022). Shahzad, Syed Jawad Hussain ; Zhang, Zhengyong ; Hussain, Syed Jawad ; Bouri, Elie.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003154.

    Full description at Econpapers || Download paper

  13. Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis. (2022). Cheuathonghua, Massaporn ; de Boyrie, Maria E ; Wongkantarakorn, Jutamas ; Pavlova, Ivelina.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000138.

    Full description at Econpapers || Download paper

  14. Assessing the Impact of Covid-19 Pandemic on Emerging Market Economies’ (EMEs) Sovereign Bond Risk Premium and Fiscal Solvency. (2021). Geremew, Menelik ; Bizuneh, Menna.
    In: Eastern Economic Journal.
    RePEc:pal:easeco:v:47:y:2021:i:4:d:10.1057_s41302-021-00201-y.

    Full description at Econpapers || Download paper

  15. What drives the commodity-sovereign risk dependence in emerging market economies?. (2021). Giessler, Stefan ; Eichler, Stefan ; Boehm, Hannes.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:111:y:2021:i:c:s0261560620302643.

    Full description at Econpapers || Download paper

  16. Sovereign Credit Spread Spillovers in Asia. (2020). guo, biao ; Han, Qian ; Liang, Jufang ; Yu, Jinyoung ; Ryu, Doojin.
    In: Sustainability.
    RePEc:gam:jsusta:v:12:y:2020:i:4:p:1472-:d:321357.

    Full description at Econpapers || Download paper

  17. Interest premium and external position: A state dependent approach. (2020). Maduko, Franklin ; Kónya, István ; Konya, Istvan.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:66:y:2020:i:c:s1042443120300767.

    Full description at Econpapers || Download paper

  18. Sovereign default risk, debt uncertainty and fiscal credibility: The case of Brazil. (2020). Montes, Gabriel ; Souza, Ivan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302316.

    Full description at Econpapers || Download paper

  19. Commodity volatility shocks and BRIC sovereign risk: A GARCH-quantile approach. (2019). Roubaud, David ; Jalkh, Naji ; Bouri, Elie.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:61:y:2019:i:c:p:385-392.

    Full description at Econpapers || Download paper

  20. Interest rate pass-through in Morocco: Evidence from bank-level survey data. (2019). Bennouna, Hicham.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:80:y:2019:i:c:p:142-157.

    Full description at Econpapers || Download paper

  21. Oil volatility and sovereign risk of BRICS. (2018). Shahzad, Syed Jawad Hussain ; Roubaud, David ; Bouri, Elie ; Hussain, Syed Jawad ; Raza, Naveed.
    In: Energy Economics.
    RePEc:eee:eneeco:v:70:y:2018:i:c:p:258-269.

    Full description at Econpapers || Download paper

  22. Equities and Commodities Comovements: Evidence from Emerging Markets. (2018). Ivelina, Pavlova ; Boyrie, DE.
    In: Global Economy Journal.
    RePEc:bpj:glecon:v:18:y:2018:i:3:p:14:n:1.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-06 03:53:07 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.