In this paper, we test whether oil price uncertainty predicts credit default swap (CDS) returns for eight Asian countries. We use the Westerlund and Narayan (2011, 2012) predictability test that accounts for any persistence in and endogeneity of the predictor variable. The estimator also...

In this paper, we test spillover effects between Asian equity market volatility and the volatility of the two most dominant commodities, namely, crude oil and gold futures. We consider a total of 14 Asian markets. We find that volatility shocks in established and mature equity markets, such as...