Volatility and dynamic correlation in emerging markets: a study om stocks and commodities with implications for the electromobility industry

Abstract

This in-depth examination analyzes the complex interrelationships and changing dynamics within equity, commodity, and sustainability sectors across developing economies, with a focus on their relevance for the fledgling electromobility industry. The study first evaluates hedging techniques for the Latibex index utilizing index futures such as Euro Stoxx 50, S&P 500, Bovespa, and IPC. Results indicate that Bovespa futures offered the strongest hedge during the period studied, underscoring the value of risk-mitigating approaches contingent on conditional moments for emerging market portfolios.Additionally, the paper explores price interactions among key electromobility metals—lithium, cobalt, copper, and nickel. By employing two-dimensThis in-depth examination analyzes the complex interrelationships and changing dynamics within equity, commodity, and sustainability sectors across developing economies, with a focus on their relevance for the fledgling electromobility industry. The study first evaluates hedging techniques for the Latibex index utilizing index futures such as Euro Stoxx 50, S&P 500, Bovespa, and IPC. Results indicate that Bovespa futures offered the strongest hedge during the period studied, underscoring the value of risk-mitigating approaches contingent on conditional moments for emerging market portfolios.Additionally, the paper explores price interactions among key electromobility metals—lithium, cobalt, copper, and nickel. By employing two-dimensional copula and VAR(2)-BEKK(1,1)-asymmetric econometric models, the analysis detected meaningful volatility transmissions between the commodities. A notably asymmetric relationship between surging lithium and fluctuating copper emerged. Dynamic correlations unveiled considerable instability reflective of shifting global economic tides, emphasizing the need for ongoing surveillance to refine investment tactics and craft responsive policies...ional copula and VAR(2)-BEKK(1,1)-asymmetric econometric models, the analysis detected meaningful volatility transmissions between the commodities. A notably asymmetric relationship between surging lithium and fluctuating copper emerged. Dynamic correlations unveiled considerable instability reflective of shifting global economic tides, emphasizing the need for ongoing surveillance to refine investment tactics and craft responsive policies...

Este análisis exhaustivo analiza las complejas interrelaciones y la dinámica cambiante de los mercados de stock, materias primas y sostenibilidad en las economías en desarrollo, centrándose en su relevancia para la incipiente industria de la electromovilidad. El estudio evalúa, en primer lugar, las técnicas de cobertura para el índice Latibex utilizando futuros sobre índices como el Euro Stoxx 50, el S&P 500, el Bovespa de Brasil y el IPC de México. Los resultados indican que los futuros del Bovespa ofrecieron la cobertura más sólida durante el período estudiado, lo que subraya el valor de las estrategias de mitigación de riesgos basadas en momentos condicionales para las carteras de mercados emergentes.Además, el estudio explora las interacciones de precios entre los principales metales para la electromovilidad: Litio, Cobalto, Cobre y Níquel. Mediante el empleo de cópulas bidimensionales y modelos econométricos VAR(2)-BEKK(1,1)-asimétricos, el análisis detectó importantes transmisiones de volatilidad entre las materias primas. Se observó una relación notablemente asimétrica entre el aumento del Litio y la fluctuación del Cobre. Las correlaciones dinámicas revelaron una considerable inestabilidad, reflejo de las fluctuaciones de la economía mundial, lo que pone de relieve la necesidad de una vigilancia continua para perfeccionar las tácticas de inversión y elaborar políticas adaptativas...