Exploring shock and volatility transmission between oil and Chinese industrial raw materials
نویسندگان
چکیده
Abstract The main objective of this paper is to investigate the volatility spillover between oil prices and Chinese industrial raw materials stock indices including oil, coal, iron non-ferrous metals. In order achieve task, OPEC WTI were used as benchmarks several multivariate GARCH models applied on daily closing for period from 2004 through 2014. Among models, VAR-GARCH model fits data best. findings show significant returns. However, unidirectional it more apparent past shocks This can be attributed structure market, which slightly integrating into global markets yet detached its own real economy. Moreover, suggest that conditional correlations are higher than those indices. Overall, have important implications both portfolio managers policy makers in terms risk management.
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ژورنال
عنوان ژورنال: Resources Policy
سال: 2021
ISSN: ['0301-4207', '1873-7641']
DOI: https://doi.org/10.1016/j.resourpol.2020.101974