Do Volatilities Matter in the Interconnectedness between World Energy Commodities and Stock Markets of BRICS?
Financial markets integration has resulted in high interconnectedness among the BRICS stock markets, which minimizes diversification potentials. This has increased investors’ interest in the financialization of commodities to minimize their portfolio risks. However, the comovements between these ass...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2022-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2022/1030567 |
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| author | Gilbert K. Amoako Emmanuel Asafo-Adjei Kofi Mintah Oware Anokye M. Adam |
| author_facet | Gilbert K. Amoako Emmanuel Asafo-Adjei Kofi Mintah Oware Anokye M. Adam |
| author_sort | Gilbert K. Amoako |
| collection | DOAJ |
| description | Financial markets integration has resulted in high interconnectedness among the BRICS stock markets, which minimizes diversification potentials. This has increased investors’ interest in the financialization of commodities to minimize their portfolio risks. However, the comovements between these assets do not operate in a vacuum, which requires that the role of volatilities be considered in tandem. The purpose of this study is to explore the interdependencies between energy commodities and stock markets of BRICS in the midst of relevant volatilities. For this reason, the wavelet techniques, biwavelet and partial wavelet, are employed. We find that positive comovements between energy commodities and stock markets of BRICS become stronger in the long-term. Furthermore, volatility has a long-term impact on the correlations between energy commodities and the BRICS stock market. We argue that the US Volatility Index, which measures investor anxiety and volatility in stock markets, has the biggest impact on the relationship between energy commodities and BRICS stock markets. Surprisingly, the correlations between energy commodities and Russian stock markets were strong enough to withstand the effects of volatilities. Hence, investors can use volatilities to hedge portfolio risks in energy commodities and stock markets in Brazil, India, China, and South Africa. |
| format | Article |
| id | doaj-art-64a9e4749e484fdcb79d059a21cd4487 |
| institution | Kabale University |
| issn | 1607-887X |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-64a9e4749e484fdcb79d059a21cd44872025-08-20T03:34:25ZengWileyDiscrete Dynamics in Nature and Society1607-887X2022-01-01202210.1155/2022/1030567Do Volatilities Matter in the Interconnectedness between World Energy Commodities and Stock Markets of BRICS?Gilbert K. Amoako0Emmanuel Asafo-Adjei1Kofi Mintah Oware2Anokye M. Adam3Department of Accountancy and Accounting Information SystemKumasiDepartment of Finance University of Cape CoastBanking Technology and Finance KumasiDepartment of Finance University of Cape CoastFinancial markets integration has resulted in high interconnectedness among the BRICS stock markets, which minimizes diversification potentials. This has increased investors’ interest in the financialization of commodities to minimize their portfolio risks. However, the comovements between these assets do not operate in a vacuum, which requires that the role of volatilities be considered in tandem. The purpose of this study is to explore the interdependencies between energy commodities and stock markets of BRICS in the midst of relevant volatilities. For this reason, the wavelet techniques, biwavelet and partial wavelet, are employed. We find that positive comovements between energy commodities and stock markets of BRICS become stronger in the long-term. Furthermore, volatility has a long-term impact on the correlations between energy commodities and the BRICS stock market. We argue that the US Volatility Index, which measures investor anxiety and volatility in stock markets, has the biggest impact on the relationship between energy commodities and BRICS stock markets. Surprisingly, the correlations between energy commodities and Russian stock markets were strong enough to withstand the effects of volatilities. Hence, investors can use volatilities to hedge portfolio risks in energy commodities and stock markets in Brazil, India, China, and South Africa.http://dx.doi.org/10.1155/2022/1030567 |
| spellingShingle | Gilbert K. Amoako Emmanuel Asafo-Adjei Kofi Mintah Oware Anokye M. Adam Do Volatilities Matter in the Interconnectedness between World Energy Commodities and Stock Markets of BRICS? Discrete Dynamics in Nature and Society |
| title | Do Volatilities Matter in the Interconnectedness between World Energy Commodities and Stock Markets of BRICS? |
| title_full | Do Volatilities Matter in the Interconnectedness between World Energy Commodities and Stock Markets of BRICS? |
| title_fullStr | Do Volatilities Matter in the Interconnectedness between World Energy Commodities and Stock Markets of BRICS? |
| title_full_unstemmed | Do Volatilities Matter in the Interconnectedness between World Energy Commodities and Stock Markets of BRICS? |
| title_short | Do Volatilities Matter in the Interconnectedness between World Energy Commodities and Stock Markets of BRICS? |
| title_sort | do volatilities matter in the interconnectedness between world energy commodities and stock markets of brics |
| url | http://dx.doi.org/10.1155/2022/1030567 |
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