On the links between stock and commodity markets volatility

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On the links between stock and commodity markets' volatility. Subject Commodities; Stock market; Financial crisis; Volatility; Correlations; DCC-GARCH.

Code JEL C22; G01; G10; Q4. Nom de la revue Energy Economics. Date de publication Relying on the dynamic conditional correlation DCC GARCH methodology, we show that the correlations between commodity and stock markets evolve through time and are highly volatile, particularly since the — financial crisis. The latter has played a key role, emphasizing the links between commodity and stock markets, and underlining the financialization of commodity markets.

At the idiosyncratic level, a speculation phenomenon is highlighted for oil, coffee and cocoa, while the safe-haven role of gold is evidenced.