Decoding systemic risks across commodities and emerging market stock markets
Abstract This study explores correlations and risk spillovers, essential concepts for financial risk management, among commodities (crude oil, gold, and a global commodities index) and emerging stock markets. Using the Asymmetric Dynamic Conditional Correlation–Conditional Value-at-Risk (ADCC-CoVaR)...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2025-01-01
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| Series: | Financial Innovation |
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| Online Access: | https://doi.org/10.1186/s40854-024-00732-1 |
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| author | Fahmi Ghallabi Ahmed Ghorbel Sitara Karim |
| author_facet | Fahmi Ghallabi Ahmed Ghorbel Sitara Karim |
| author_sort | Fahmi Ghallabi |
| collection | DOAJ |
| description | Abstract This study explores correlations and risk spillovers, essential concepts for financial risk management, among commodities (crude oil, gold, and a global commodities index) and emerging stock markets. Using the Asymmetric Dynamic Conditional Correlation–Conditional Value-at-Risk (ADCC-CoVaR) model and a bootstrapped Kolmogorov–Smirnov (KS) test, we analyze the period from December 30, 2005, to February 28, 2024, examining correlations, downside and upside risk spillovers, and highlighting the effects of major events such as the global financial crisis of 2008, the COVID-19 pandemic, and the Russia-Ukraine war. The results show heightened correlations during crises and significant risk spillovers across market pairs, with downside risks often outweighing upside risks. Gold displays minimal risk spillover, highlighting its unique role as a haven asset. We find that spillovers between gold, global commodities, and stocks increased during the pandemic and the Russia-Ukraine conflict, while those involving crude oil remained stable. These findings provide valuable guidance for portfolio managers in navigating volatile markets. |
| format | Article |
| id | doaj-art-5ee4f0bdab9e46439413f2049897983e |
| institution | Kabale University |
| issn | 2199-4730 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Financial Innovation |
| spelling | doaj-art-5ee4f0bdab9e46439413f2049897983e2025-01-19T12:36:04ZengSpringerOpenFinancial Innovation2199-47302025-01-0111112310.1186/s40854-024-00732-1Decoding systemic risks across commodities and emerging market stock marketsFahmi Ghallabi0Ahmed Ghorbel1Sitara Karim2Faculty of Economics and Management of Sfax, University of SfaxFaculty of Economics and Management of Sfax, University of SfaxDepartment of Business Administration, Faculty of Management Sciences, ILMA UniversityAbstract This study explores correlations and risk spillovers, essential concepts for financial risk management, among commodities (crude oil, gold, and a global commodities index) and emerging stock markets. Using the Asymmetric Dynamic Conditional Correlation–Conditional Value-at-Risk (ADCC-CoVaR) model and a bootstrapped Kolmogorov–Smirnov (KS) test, we analyze the period from December 30, 2005, to February 28, 2024, examining correlations, downside and upside risk spillovers, and highlighting the effects of major events such as the global financial crisis of 2008, the COVID-19 pandemic, and the Russia-Ukraine war. The results show heightened correlations during crises and significant risk spillovers across market pairs, with downside risks often outweighing upside risks. Gold displays minimal risk spillover, highlighting its unique role as a haven asset. We find that spillovers between gold, global commodities, and stocks increased during the pandemic and the Russia-Ukraine conflict, while those involving crude oil remained stable. These findings provide valuable guidance for portfolio managers in navigating volatile markets.https://doi.org/10.1186/s40854-024-00732-1ADCC-CoVaREmerging stock marketsOilGoldGlobal commodity |
| spellingShingle | Fahmi Ghallabi Ahmed Ghorbel Sitara Karim Decoding systemic risks across commodities and emerging market stock markets Financial Innovation ADCC-CoVaR Emerging stock markets Oil Gold Global commodity |
| title | Decoding systemic risks across commodities and emerging market stock markets |
| title_full | Decoding systemic risks across commodities and emerging market stock markets |
| title_fullStr | Decoding systemic risks across commodities and emerging market stock markets |
| title_full_unstemmed | Decoding systemic risks across commodities and emerging market stock markets |
| title_short | Decoding systemic risks across commodities and emerging market stock markets |
| title_sort | decoding systemic risks across commodities and emerging market stock markets |
| topic | ADCC-CoVaR Emerging stock markets Oil Gold Global commodity |
| url | https://doi.org/10.1186/s40854-024-00732-1 |
| work_keys_str_mv | AT fahmighallabi decodingsystemicrisksacrosscommoditiesandemergingmarketstockmarkets AT ahmedghorbel decodingsystemicrisksacrosscommoditiesandemergingmarketstockmarkets AT sitarakarim decodingsystemicrisksacrosscommoditiesandemergingmarketstockmarkets |