Thuraisamy, Kannan; Sharma, Susan S; Ahmed, Huson A - Deakin University, Faculty of Business and Law, School …
In this paper, we test spillover effects between Asian equity market volatility and the volatility of the two most dominant commodities, namely, crude oil and gold futures. We consider a total of 14 Asian markets. We find that volatility shocks in established and mature equity markets, such as...