Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets

Date

2017-09-01

Author

Kocaarslan, BARIŞ
Sarı, Ramazan
GORMUS, Alper
Soytaş, Uğur

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This study investigates the impacts of volatility expectations in oil, gold, currency and the U.S. stock markets on time-varying conditional correlations between BRIC and U.S. stock markets. We use asymmetric dynamic conditional correlation and dynamic conditional correlation models to derive the time-varying relationships. We then examine the dynamic conditional correlations using quantile regressions for a detailed analysis of dependence structure containing non-linear and asymmetric interactions. Our results show that the impacts of volatility expectations in U.S. stock, gold, and oil markets on the correlations are asymmetric based on the level of correlations. Depending on the level of correlations, interdependence between the markets is driven by risk perceptions in both financial and non-financial markets. Our findings have important implications for determining international investment strategies.

Subject Keywords

Volatility expectations, Quantile regression, BRIC markets, Commodity markets, Volatility spillovers, Dynamic conditional correlation (DCC) model

URI

https://hdl.handle.net/11511/47866

Journal

JOURNAL OF COMMODITY MARKETS

DOI

https://doi.org/10.1016/j.jcomm.2017.08.001

Collections

Department of Business Administration, Article

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Citation Formats

B. Kocaarslan, R. Sarı, A. GORMUS, and U. Soytaş, “Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets,” JOURNAL OF COMMODITY MARKETS, pp. 41–56, 2017, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/47866.