Comovement between the Stock Markets and Commodity Market
DOI:
https://doi.org/10.22555/ijelcs.v9i2.1164Keywords:
Comovement, stock market, commodity market, G7, BRICS, wavelet coherenceAbstract
The study extends the literature by investigating the comovement between the stock markets and commodity market of developed and emerging countries. Developed countries are represented by G7 countries while the emerging countries are represented by BRICS countries. Further, for the commodity market, the Global S&P GSCI commodity index is used that comprised of all major global commodities. The daily log returns of all the markets are used for analysis. Further, the wavelet coherence model is used to investigate the comovement between the stock markets and commodity market. The results show that the comovement between the stock markets of all the countries is increases over time particularly at the larger frequency scales. The comovement is higher during the crisis periods like the global financial crisis and COVID-19. Generally, the comovement in the context of developed countries is higher compared to the comovement in the context of emerging countries.
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