An examination of dynamic conditional correlations across commodity and stock markets

The objective of this study is to examine dynamic conditional correlations between selected emerging and frontier equity markets and commodities (precious metals such as gold, silver, palladium, platinium, crude oil and a general commodity index) for the period of 2000-2017. DCC GARCH model introduced by Engle (2002) is employed to estimate conditional correlations. The empirical findings suggest that some emerging country equity index - commodity pairs indicate the existance of the dynamic conditional volatility. Correlation between those stock indices and commodity pairings found to be positive. Furthermore, it is observed that correlations and the volatility of correlations were noticeably increased after during the 2008 financial crisis.