{"title":"股票市场的冲击是由商品市场驱动的吗?俄罗斯-乌克兰战争的证据","authors":"Priti Biswas , Prachi Jain , Debasish Maitra","doi":"10.1016/j.jcomm.2024.100387","DOIUrl":null,"url":null,"abstract":"<div><p>We study the immediate impact of heightened geopolitical tensions caused by the Russia-Ukraine war, on volatility connectedness networks of 18 global stock markets and 5 major commodities. Our analyses reveal a shift in connectedness spillovers during the war: while crude oil (a net shock transmitter before the war) became a net shock receiver, shocks transmitted by crude oil net importers appear to primarily contribute to crude oil turning a net shock receiver, whereas for platinum and wheat, we observe that both net exporters and importers have received volatility shocks. We further dissect the impact of war on the direction of spillovers using panel censored regressions. Employing insights from the analyses, we design portfolios that weigh higher (lower) on stock indices with lower (higher) pairwise connectedness (PCI) to each commodity. We not only find these PCI-based portfolios to exhibit safe-haven properties under extreme geopolitical risk, but they also outperform an equally-weighted portfolio during a period of war. Finally, low-minus-high factors constructed on pairwise connectedness have significant explanatory power for portfolio returns, indicating connectedness as an additional factor for asset pricing models.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"34 ","pages":"Article 100387"},"PeriodicalIF":3.7000,"publicationDate":"2024-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Are shocks in the stock markets driven by commodity markets? Evidence from Russia-Ukraine war\",\"authors\":\"Priti Biswas , Prachi Jain , Debasish Maitra\",\"doi\":\"10.1016/j.jcomm.2024.100387\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We study the immediate impact of heightened geopolitical tensions caused by the Russia-Ukraine war, on volatility connectedness networks of 18 global stock markets and 5 major commodities. Our analyses reveal a shift in connectedness spillovers during the war: while crude oil (a net shock transmitter before the war) became a net shock receiver, shocks transmitted by crude oil net importers appear to primarily contribute to crude oil turning a net shock receiver, whereas for platinum and wheat, we observe that both net exporters and importers have received volatility shocks. We further dissect the impact of war on the direction of spillovers using panel censored regressions. Employing insights from the analyses, we design portfolios that weigh higher (lower) on stock indices with lower (higher) pairwise connectedness (PCI) to each commodity. We not only find these PCI-based portfolios to exhibit safe-haven properties under extreme geopolitical risk, but they also outperform an equally-weighted portfolio during a period of war. Finally, low-minus-high factors constructed on pairwise connectedness have significant explanatory power for portfolio returns, indicating connectedness as an additional factor for asset pricing models.</p></div>\",\"PeriodicalId\":45111,\"journal\":{\"name\":\"Journal of Commodity Markets\",\"volume\":\"34 \",\"pages\":\"Article 100387\"},\"PeriodicalIF\":3.7000,\"publicationDate\":\"2024-02-05\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Commodity Markets\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2405851324000060\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Commodity Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2405851324000060","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Are shocks in the stock markets driven by commodity markets? Evidence from Russia-Ukraine war
We study the immediate impact of heightened geopolitical tensions caused by the Russia-Ukraine war, on volatility connectedness networks of 18 global stock markets and 5 major commodities. Our analyses reveal a shift in connectedness spillovers during the war: while crude oil (a net shock transmitter before the war) became a net shock receiver, shocks transmitted by crude oil net importers appear to primarily contribute to crude oil turning a net shock receiver, whereas for platinum and wheat, we observe that both net exporters and importers have received volatility shocks. We further dissect the impact of war on the direction of spillovers using panel censored regressions. Employing insights from the analyses, we design portfolios that weigh higher (lower) on stock indices with lower (higher) pairwise connectedness (PCI) to each commodity. We not only find these PCI-based portfolios to exhibit safe-haven properties under extreme geopolitical risk, but they also outperform an equally-weighted portfolio during a period of war. Finally, low-minus-high factors constructed on pairwise connectedness have significant explanatory power for portfolio returns, indicating connectedness as an additional factor for asset pricing models.
期刊介绍:
The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.