Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment

Kyongwook Choi, Shawkat Hammoudeh

Research output: Contribution to journalArticlepeer-review

268 Scopus citations

Abstract

This study supplements previous regime-switching studies on WTI crude oil and finds two possible volatility regimes for the strategic commodity prices of Brent oil, WTI oil, copper, gold and silver, and the S&P 500 index, but with varying high-to-low volatility ratios. The dynamic conditional correlations (DCCs) indicate increasing correlations among all the commodities since the 2003 Iraq war but decreasing correlations with the S&P 500 index. The commodities also show different volatility persistence responses to financial and geopolitical crises, while the S&P 500 index responds to both financial and geopolitical crises. Implications are discussed.

Original languageEnglish
Pages (from-to)4388-4399
Number of pages12
JournalEnergy Policy
Volume38
Issue number8
DOIs
StatePublished - Aug 2010

Keywords

  • Commodities
  • Regime switching
  • Volatility

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