{"id":"https://openalex.org/W3081334325","doi":"https://doi.org/10.1142/s0217595920400205","title":"Return and Volatility Transmissions between Metals and Stocks: A Study of the Emerging Asian Markets by Using the VAR-AGARCH Approach","display_name":"Return and Volatility Transmissions between Metals and Stocks: A Study of the Emerging Asian Markets by Using the VAR-AGARCH Approach","publication_year":2020,"publication_date":"2020-08-20","ids":{"openalex":"https://openalex.org/W3081334325","doi":"https://doi.org/10.1142/s0217595920400205","mag":"3081334325"},"language":"en","primary_location":{"id":"doi:10.1142/s0217595920400205","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0217595920400205","pdf_url":null,"source":{"id":"https://openalex.org/S1254427","display_name":"Asia Pacific Journal of Operational Research","issn_l":"0217-5959","issn":["0217-5959","1793-7019"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Asia-Pacific Journal of Operational Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5087544432","display_name":"Imran Yousaf","orcid":"https://orcid.org/0000-0003-1968-293X"},"institutions":[{"id":"https://openalex.org/I899713450","display_name":"Air University","ror":"https://ror.org/03yfe9v83","country_code":"PK","type":"education","lineage":["https://openalex.org/I899713450"]}],"countries":["PK"],"is_corresponding":true,"raw_author_name":"Imran Yousaf","raw_affiliation_strings":["Air University School of Management, Air University, Islamabad, Pakistan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Air University School of Management, Air University, Islamabad, Pakistan","institution_ids":["https://openalex.org/I899713450"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5082673944","display_name":"Shoaib Ali","orcid":"https://orcid.org/0000-0001-5954-9987"},"institutions":[{"id":"https://openalex.org/I899713450","display_name":"Air University","ror":"https://ror.org/03yfe9v83","country_code":"PK","type":"education","lineage":["https://openalex.org/I899713450"]}],"countries":["PK"],"is_corresponding":false,"raw_author_name":"Shoaib Ali","raw_affiliation_strings":["Air University School of Management, Air University, Islamabad, Pakistan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Air University School of Management, Air University, Islamabad, Pakistan","institution_ids":["https://openalex.org/I899713450"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5045661677","display_name":"Wing\u2010Keung Wong","orcid":"https://orcid.org/0000-0001-6755-572X"},"institutions":[{"id":"https://openalex.org/I143578492","display_name":"Asia University","ror":"https://ror.org/038a1tp19","country_code":"TW","type":"education","lineage":["https://openalex.org/I143578492"]},{"id":"https://openalex.org/I184693016","display_name":"China Medical University","ror":"https://ror.org/00v408z34","country_code":"TW","type":"education","lineage":["https://openalex.org/I184693016"]},{"id":"https://openalex.org/I4210126829","display_name":"China Medical University Hospital","ror":"https://ror.org/0368s4g32","country_code":"TW","type":"healthcare","lineage":["https://openalex.org/I4210126829"]},{"id":"https://openalex.org/I47605537","display_name":"Hang Seng University of Hong Kong","ror":"https://ror.org/04fa64g55","country_code":"HK","type":"education","lineage":["https://openalex.org/I47605537"]},{"id":"https://openalex.org/I889458895","display_name":"University of Hong Kong","ror":"https://ror.org/02zhqgq86","country_code":"HK","type":"education","lineage":["https://openalex.org/I889458895"]}],"countries":["HK","TW"],"is_corresponding":false,"raw_author_name":"Wing-Keung Wong","raw_affiliation_strings":["Department of Economics and Finance, The Hang Seng University of Hong Kong, Hong Kong","Department of Finance, Fintech Center, and Big Data Research Center, Asia University, Taiwan, ROC","Department of Medical Research, China Medical University Hospital, Taiwan, ROC"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics and Finance, The Hang Seng University of Hong Kong, Hong Kong","institution_ids":["https://openalex.org/I47605537","https://openalex.org/I889458895"]},{"raw_affiliation_string":"Department of Finance, Fintech Center, and Big Data Research Center, Asia University, Taiwan, ROC","institution_ids":["https://openalex.org/I143578492"]},{"raw_affiliation_string":"Department of Medical Research, China Medical University Hospital, Taiwan, ROC","institution_ids":["https://openalex.org/I4210126829","https://openalex.org/I184693016"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5087544432"],"corresponding_institution_ids":["https://openalex.org/I899713450"],"apc_list":null,"apc_paid":null,"fwci":4.9695,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.96075226,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":95,"max":98},"biblio":{"volume":"39","issue":"04","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9883000254631042,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9559999704360962,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/spillover-effect","display_name":"Spillover effect","score":0.7021478414535522},{"id":"https://openalex.org/keywords/financial-crisis","display_name":"Financial crisis","score":0.63917076587677},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.6260815262794495},{"id":"https://openalex.org/keywords/emerging-markets","display_name":"Emerging markets","score":0.5940127372741699},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5870075225830078},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5546961426734924},{"id":"https://openalex.org/keywords/stock-market-crash","display_name":"Stock market crash","score":0.5532061457633972},{"id":"https://openalex.org/keywords/hedge","display_name":"Hedge","score":0.5176039934158325},{"id":"https://openalex.org/keywords/monetary-economics","display_name":"Monetary economics","score":0.49599823355674744},{"id":"https://openalex.org/keywords/diversification","display_name":"Diversification (marketing strategy)","score":0.49495643377304077},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.49112746119499207},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.4486435353755951},{"id":"https://openalex.org/keywords/equity","display_name":"Equity (law)","score":0.44561153650283813},{"id":"https://openalex.org/keywords/risk\u2013return-spectrum","display_name":"Risk\u2013return spectrum","score":0.44288331270217896},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.43784743547439575},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.422787606716156},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.15840280055999756},{"id":"https://openalex.org/keywords/geography","display_name":"Geography","score":0.09328269958496094},{"id":"https://openalex.org/keywords/macroeconomics","display_name":"Macroeconomics","score":0.07447698712348938}],"concepts":[{"id":"https://openalex.org/C55527203","wikidata":"https://www.wikidata.org/wiki/Q334194","display_name":"Spillover effect","level":2,"score":0.7021478414535522},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.63917076587677},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.6260815262794495},{"id":"https://openalex.org/C121087249","wikidata":"https://www.wikidata.org/wiki/Q546395","display_name":"Emerging markets","level":2,"score":0.5940127372741699},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5870075225830078},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5546961426734924},{"id":"https://openalex.org/C2777209242","wikidata":"https://www.wikidata.org/wiki/Q1020018","display_name":"Stock market crash","level":4,"score":0.5532061457633972},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.5176039934158325},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.49599823355674744},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.49495643377304077},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.49112746119499207},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4486435353755951},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.44561153650283813},{"id":"https://openalex.org/C30755413","wikidata":"https://www.wikidata.org/wiki/Q1245402","display_name":"Risk\u2013return spectrum","level":3,"score":0.44288331270217896},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.43784743547439575},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.422787606716156},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15840280055999756},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.09328269958496094},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.07447698712348938},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1142/s0217595920400205","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0217595920400205","pdf_url":null,"source":{"id":"https://openalex.org/S1254427","display_name":"Asia Pacific Journal of Operational Research","issn_l":"0217-5959","issn":["0217-5959","1793-7019"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Asia-Pacific Journal of Operational Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:wsi:apjorx:v:39:y:2022:i:04:n:s0217595920400205","is_oa":false,"landing_page_url":"http://www.worldscientific.com/doi/abs/10.1142/S0217595920400205","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Partnerships for the goals","score":0.4300000071525574,"id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":56,"referenced_works":["https://openalex.org/W762566604","https://openalex.org/W1585944376","https://openalex.org/W1885612876","https://openalex.org/W1994616534","https://openalex.org/W2007200550","https://openalex.org/W2015046361","https://openalex.org/W2015856032","https://openalex.org/W2028726096","https://openalex.org/W2034967606","https://openalex.org/W2036587662","https://openalex.org/W2037170228","https://openalex.org/W2063593194","https://openalex.org/W2090373608","https://openalex.org/W2090721684","https://openalex.org/W2098027073","https://openalex.org/W2114407659","https://openalex.org/W2143053136","https://openalex.org/W2176566256","https://openalex.org/W2286708817","https://openalex.org/W2466533628","https://openalex.org/W2467697427","https://openalex.org/W2541656001","https://openalex.org/W2556702504","https://openalex.org/W2567167662","https://openalex.org/W2595171650","https://openalex.org/W2625307600","https://openalex.org/W2737314587","https://openalex.org/W2744234256","https://openalex.org/W2765961174","https://openalex.org/W2766964816","https://openalex.org/W2782586045","https://openalex.org/W2791616666","https://openalex.org/W2890828322","https://openalex.org/W2890880830","https://openalex.org/W2895035495","https://openalex.org/W2929033003","https://openalex.org/W2930621949","https://openalex.org/W2941853946","https://openalex.org/W2946737604","https://openalex.org/W2950335218","https://openalex.org/W2969972517","https://openalex.org/W2972370118","https://openalex.org/W2988837827","https://openalex.org/W2990632930","https://openalex.org/W2999020053","https://openalex.org/W3004231151","https://openalex.org/W3004518895","https://openalex.org/W3005434226","https://openalex.org/W3041950432","https://openalex.org/W3121493741","https://openalex.org/W3121940608","https://openalex.org/W3123048619","https://openalex.org/W3124458937","https://openalex.org/W3125177010","https://openalex.org/W3208831396","https://openalex.org/W4236063384"],"related_works":["https://openalex.org/W3174705069","https://openalex.org/W2364548092","https://openalex.org/W2014368031","https://openalex.org/W2144168794","https://openalex.org/W2361421218","https://openalex.org/W2349149235","https://openalex.org/W3124536071","https://openalex.org/W2351205649","https://openalex.org/W2090798566","https://openalex.org/W3121585524"],"abstract_inverted_index":{"This":[0],"study":[1],"examines":[2],"the":[3,16,21,26,30,36,43,56,68,74,77,90,95,102,109,112,131,135,140,145,149,158,166,171,174],"return":[4,79,202],"and":[5,10,13,25,35,42,59,65,84,104,134,143,161,169,183,203,215,229],"volatility":[6,126,150],"transmission/spillover":[7],"between":[8,128,155],"(Precious":[9],"Industrial)":[11],"metals":[12,64,86,133,160],"stocks":[14,198],"in":[15,20,94,101],"emerging":[17,196],"Asian":[18,91,136,162,197],"markets":[19,93,138,164],"entire":[22,96,141,167],"studying":[23],"period":[24,97,142,168],"two":[27],"crisis":[28,33,214],"sub-periods:":[29],"global":[31],"financial":[32],"(GFC)":[34],"Chinese":[37,113],"Stock":[38],"market":[39,115],"crash":[40],"sub-periods,":[41],"normal":[44,105],"sub-period":[45,110],"that":[46,120,187],"does":[47],"not":[48,108,153],"have":[49],"any":[50,190],"crisis.":[51],"In":[52,147],"addition,":[53],"we":[54,118],"estimate":[55,72],"optimal":[57,181],"weights":[58],"hedge":[60,184,207],"ratios":[61,185],"for":[62,224],"both":[63,82,180,213],"stocks.":[66],"Employing":[67],"VAR-AGARCH":[69],"model":[70],"to":[71,87,192,205],"spillover,":[73],"results":[75],"reveal":[76,119],"unidirectional":[78,123],"spillover":[80,151],"from":[81],"precious":[83,132],"industrial":[85,159],"most":[88,129,156],"of":[89,111,130,157,195],"equity":[92],"as":[98,100],"well":[99],"GFC":[103],"sub-periods":[106],"but":[107],"stock":[114,137,163,209],"crash.":[116],"Besides,":[117],"there":[121],"are":[122],"or":[124],"bidirectional":[125],"transmissions":[127],"during":[139,165],"all":[144,170],"sub-periods.":[146,172,217],"contrast,":[148],"is":[152],"significant":[154],"On":[173],"other":[175],"hand,":[176],"our":[177],"analysis":[178],"on":[179],"weight":[182],"suggests":[186],"adding":[188],"nearly":[189],"metal":[191],"a":[193],"portfolio":[194,225],"improves":[199],"its":[200],"risk-adjusted":[201],"helps":[204],"effectively":[206],"against":[208],"risk":[210,230],"exposure":[211],"over":[212],"non-crisis":[216],"Overall,":[218],"these":[219],"findings":[220],"provide":[221],"useful":[222],"insights":[223],"diversification,":[226],"asset":[227],"pricing,":[228],"management.":[231]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":6}],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}