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Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

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Chapter 32

Asset Return and Volatility Spillovers Between Big Commodity Producing Countries

Perry Sadorsky,    Schulich School of Business, York University, Toronto, Ontario, Canada,    E-mail: psadorsk@schulich.yorku.ca

Abstract

The purpose of this chapter is to investigate asset return and volatility spillovers between an important group of commodity producing countries (Canada, Australia, Brazil, and South Africa), commodity prices and the developed stock markets of Japan, the United Kingdom, and the United States. The empirical approach uses recently developed VAR techniques to calculate spillover tables and spillover plots. The spillover indices for returns and volatility show similar patterns in that their spillovers increased considerably ...

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