Higher-Order Risk Premium and Return Spillovers between Commodity and Stock Markets

46 Pages Posted: 27 Jan 2023

Date Written: March 2022

Abstract

This study examines the spillovers between risk premia and returns of commodity (grain, metal, and energy sectors) and equity markets (the U.S., U.K., Germany, and Japan). Risk premia are defined as the difference between implied volatility, skewness, and kurtosis and their realized moments. Our results show that cross-market and cross-moment spillovers vary over time, and various announcements explain this variation. We uncover the substantial effects of equity markets for commodity markets and those of returns for the risk premia. Moreover, we highlight the prominent influence of the metal sector on the other commodity sectors and equity market and that of skewness risk premia for the returns.

Keywords: Return; Volatility; Skewness; Kurtosis; Risk-Neutral; Risk Premium

JEL Classification: C58; G01; G15

Suggested Citation

Finta, Marinela Adriana, Higher-Order Risk Premium and Return Spillovers between Commodity and Stock Markets (March 2022). Available at SSRN: https://ssrn.com/abstract=4339119 or http://dx.doi.org/10.2139/ssrn.4339119

Marinela Adriana Finta (Contact Author)

Singapore Management University ( email )

50 Stamford Road
Singapore, 178899
Singapore

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
106
Abstract Views
415
Rank
470,356
PlumX Metrics