Do Commodity Return Shocks Affect Financial Sector Index Returns Asymmetrically? The Case of Euro Area

This paper analyzes the effects of commodity return shocks on financial sector index retums. In the last decades, because of their survival importance in economic system, commodity prices and their effects have been investigated thoroughly by policy makers and academicians. Many of these studies try...

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Bibliographic Details
Published inInternational research journal of applied finance Vol. 7; no. 11; pp. 334 - 349
Main Authors Kamışlı, Melik, Kamışlı, Serap, Temizel, Fatih, Esen, Ethem
Format Journal Article
LanguageEnglish
Published Hyderabad International Research Journal of Applied Finance 01.11.2016
Subjects
Commodity prices
Economic development
Financial services
Gold markets
Portfolio management
Securities markets
Stock exchanges
Stock market indexes
Studies
Volatility
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Summary:This paper analyzes the effects of commodity return shocks on financial sector index retums. In the last decades, because of their survival importance in economic system, commodity prices and their effects have been investigated thoroughly by policy makers and academicians. Many of these studies try to explore the effects of commodity shocks on stock markets. But in recent years, it is seen that, commodity price changes can affect the financial markets and in private, sectors differently. Therefore, we aim to determine if commodity return shocks cause asymmetric effects on financial sector index returns or not. For this purpose, in the study, the effects of shocks that occur in gold, oil and silver returns on financial sector returns of European countries will be analyzed via asymmetric causality test developed by Hatemi-J (2012). Empirical results show that commodity return shocks have asymmetric effects on European financial sector index returns in most cases.
ISSN:2229-6891
DOI:10.0711/article-5