期刊
GLOBAL FINANCE JOURNAL
卷 49, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.gfj.2021.100653
关键词
Asymmetric volatility connectedness; Network connectedness; DJIM; Commodity; Realized volatility; Semi-variances
资金
- Ministry of Education of the Republic of Korea
- National Research Foundation of Korea [NRF-2020S1A5B8103268]
This study reveals significant asymmetric volatility connectedness between the DJIM and commodity markets, with DJIM and the Brent oil market being the main contributors to spillovers. Negative volatilities are associated with net transmission of spillovers to other markets in an asymmetric manner.
This paper examines the asymmetric volatility connectedness amongst the Dow Jones Islamic Market Index (DJIM) and the Brent crude oil, gold, and silver markets. We use the Diebold and Yilmaz methodology to examine asymmetric volatility connectedness associated with bad (negative semi-variance) and good (positive semi-variance) volatility in these markets. We identify significant volatility connectedness between the DJIM and commodity markets, with the DJIM and Brent oil markets being the largest net contributors of spillovers. Furthermore, the evidence on semi-volatility connectedness displays asymmetric behavior. Bad volatilities are associated with net transmission of spillovers to other markets, except for silver. Our results have significant implications for investors dealing with the DJIM and commodity markets in terms of asset management and diversification.
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