Izvorni znanstveni članak
https://doi.org/10.18045/zbefri.2018.1.29
Bidirectional spillover effect between Russian stock index and the selected commodities
Dejan Živkov
orcid.org/0000-0003-2357-3250
; Novi Sad school of business, University of Novi Sad, Novi Sad, Serbia
Jovan Njegić
; Novi Sad school of business, University of Novi Sad, Novi Sad, Serbia
Mirela Momčilović
; Novi Sad school of business, University of Novi Sad, Novi Sad, Serbia
Sažetak
This paper investigates shock and volatility spillover eJect between Russian index RTS and six futures commodities (Brent oil, natural gas, gasoline, gold, platinum and palladium), observing joint time-frequency domain via wavelet decomposed series. Due to the fact that our time-span of almost 16 years is permeated with tranquil and crisis periods, we divided full-sample into three subsamples – before, during and after World financial crisis (WFC) via modified ICSS algorithm. We find that spillover eJects happen mostly from the commodity markets toward RTS index in all three subsamples. However, during relatively calm periods (first and third sub-periods), spillover eJects are very moderate and they occur in relatively few wavelet scales, which points that duration of these eJects is limited in peaceful times. On the other hand, duration of spillover eJects and its intensity increased during WFC. Also, wavelet coherence indicates that there are areas of stronger co-movements in period of WFC at higher wavelet scales for pairs such as RTS-Brent,
-gasoline and -platinum. Commodities that have the strongest transmission eJect on RTS index are Brent oil, gasoline and palladium, while gold has strong volatility transmission only during WFC.
Ključne riječi
commodities; spillover eJect; MODWT; BEKK-GARCH; wavelet coherence
Hrčak ID:
202064
URI
Datum izdavanja:
26.6.2018.
Posjeta: 1.822 *