An Investigation on the Effect of Covid-19 and Russo-Ukraine War on the Connectedness Between Commodity Price and Industrial Stock Return Using the Spillover Index
Abstract:This paper analyzes the effect of commodity prices on the industrial stock market. The commodities selected to represent raw materials are crude oil, copper, and corn. Kospi and six industrial stock price indices including foods, chemical, steel, machinery, electronic, and transport are analyzed. The exchange rate is also included in the model. Test period is 1,257 trading days from September 5, 2017 to December 23, 2022. Spillover effect is measured with Diebold and Yilmaz (2009, 2012)’s index. Major findings… Show more
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