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Cited by 650Market Dynamics and VolatilityFinancial Risk and Volatility ModelingFinancial Markets and Investment Strategies

Financialization, crisis and commodity correlation dynamics

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Silvennoinen, Annastiina, Thorp, Susan·2013·Journal of International Financial Markets, Institutions and Money
DOI 10.1016/j.intfin.2012.11.007
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  • The findings of volatility spillovers between the S&P 500 (RSP) and the corn future (RM) align with the research of Silvennoinen and Thorp (2013) and Basak and Pavlova (2016).

    “In this sense, the findings of volatility spillovers between the S&P 500 (RSP) and the corn future (RM) align with the research of Silvennoinen and Thorp (2013) and Basak and Pavlova (2016).”

    From Food Financialization: Impact of Derivatives and Index Funds on Agri-Food Market Volatility (2024) · cites this paper as Silvennoinen and Thorp (2013)

    Section 5.3.1 (page unavailable) reports that the correlation between corn futures and S&P 500 returns rose in high-VIX states, supporting a link between these markets. Section 5.2 reports equity-volatility spillovers for several commodities but does not identify corn among them. A volatility-dependent correlation is not itself a finding of volatility spillovers between the S&P 500 and corn futures. (LLM, conf=0.86)

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Research works printed but not linked: 43

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Cited by

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Authors
Silvennoinen, A., & Thorp, S.
Affiliations
  • Queensland University of Technology (AU)
  • University of Technology Sydney (AU)
Corresponding author
Thorp, Susan
ORCID
Venue
Journal of International Financial Markets, Institutions and Money
Publisher
Elsevier BV
Published
2013-04
Volume
24
Pages
42-65
ISSN
1042-4431 (ISSN-L)
DOI
10.1016/j.intfin.2012.11.007
OpenAlex
W1582000793
Cited by
650
References
1
Citations by year
2026: 23 · 2025: 39 · 2024: 38 · 2023: 44 · 2022: 58 · 2021: 64 · 2020: 67 · 2019: 61 · 2018: 46 · 2017: 46 · 2016: 47 · 2015: 46 · 2014: 30 · 2013: 24 · 2012: 11
FWCI
84.97
Type
journal article
Language
en
Open access
Licence
www.elsevier.com/tdm/userlicense/1.0/ (tdm)
Locations
  • Journal of International Financial Markets Institutions and Money (publishedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
  • QUT ePrints (Queensland University of Technology) (submittedVersion)
  • OPUS - Open Publications of UTS Scholars (University of Technology Sydney) (submittedVersion)
  • Adelaide Research & Scholarship (AR&S) (University of Adelaide) (submittedVersion)
  • QUT Business School
Topics
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
Keywords
financialization, commodity futures, 2008 financial crisis, diversification benefits, VIX, open interest, GARCH

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