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Market Dynamics and Risk Management: A Holistic Examination of Global Financial and Commodity Markets Amid the 2007-2009 Financial Crisis
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Author(s): Hayfa Kazouz (Faculty of Economic Sciences and Management of Sousse, Tunisia)and Saloua Benammou (Faculty of Economic Sciences and Management of Sousse, Tunisia)
Copyright: 2026
Pages: 52
Source title:
Measuring and Reporting on Sustainability Performance
Source Author(s)/Editor(s): Muhammad Asif Qureshi (Bahria University, Pakistan), Munwar Hussain Pahi (Iqra University, Pakistan), Farhan Mahboob (Bahria University, Pakistan)and Danial Hussain Shaikh (Iqra University, Pakistan)
DOI: 10.4018/979-8-3693-9714-5.ch008
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Abstract
This chapter investigates the dynamic interactions between seven global stock markets and commodity markets during the Global Financial Crisis (GFC) of 2007-2009. The research focuses on transmission mechanisms and volatility spillovers, applying the Vector Autoregressive Dynamic Conditional Correlation Multivariate Exponential Generalized Autoregressive Conditional Heteroscedasticity (VAR-DCC-MEGARCH) model. The analysis examines indices such as S&P 500, GSPTSE, DAX 30, CAC 40, Nikkei 225, SSE Composite, and HSI, alongside commodities including Brent Crude Oil, West Texas Intermediate (WTI), and Gold. The study emphasizes the safe haven properties of Gold and Brent oil, offering guidance on optimal portfolio construction during crises. Additionally, the chapter assesses hedging ratios and volatility to provide insights for risk management and portfolio diversification in times of financial instability. The findings enhance the understanding of market dynamics, offering valuable guidance for policymakers and investors navigating economic turbulence.
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