Financialization, crisis and commodity correlation dynamics

Silvennoinen, Annastiina & Thorp, Susan (2013) Financialization, crisis and commodity correlation dynamics. Journal of International Financial Markets, Institutions and Money, 24, pp. 42-65.

View at publisher


Stronger investor interest in commodities may create closer integration with conventional asset markets. We estimate sudden and gradual changes in correlation between stocks, bonds and commodity futures returns driven by observable financial variables and time, using double smooth transition conditional correlation (DSTCC–GARCH) models. Most correlations begin the 1990s near zero but closer integration emerges around the early 2000s and reaches peaks during the recent crisis. Diversification benefits to investors across equity, bond and stock markets were significantly reduced. Increases in VIX and financial traders’ short open interest raise futures returns volatility for many commodities. Higher VIX also increases commodity returns correlation with equity returns for about half the pairs, indicating closer integration.

Impact and interest:

51 citations in Scopus
Search Google Scholar™
44 citations in Web of Science®

Citation counts are sourced monthly from Scopus and Web of Science® citation databases.

These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.

Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.

ID Code: 56371
Item Type: Journal Article
Refereed: Yes
Keywords: Smooth transition, Financial integration, Global financial crisis
DOI: 10.1016/j.intfin.2012.11.007
ISSN: 1042-4431
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 11 Jan 2013 04:55
Last Modified: 12 Jun 2013 15:26

Export: EndNote | Dublin Core | BibTeX

Repository Staff Only: item control page