Asymmetric and frequency-domain spillover effects among industrial metals, precious metals, and energy futures markets

被引：0
|
作者：
Nasreen, Samia [1 ]
Tiwari, Aviral Kumar [2 ]
Goodell, John W. [3 ]
Tedeschi, Marco [4 ]
机构：
[1] Lahore Coll Women Univ, Lahore, Pakistan
[2] Indian Inst Management Bodh Gaya IIM Bodh Gaya, Bodh Gaya, India
[3] Univ Akron, Coll Business, Akron, OH 44325 USA
[4] Univ Politecn Marche, Dept Econ & Social Sci DISES, Ancona, Italy
来源：
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2024年 / 93卷
关键词：
Asymmetric spillovers; Time and frequency connectedness; High frequency analysis; CRUDE-OIL PRICES; VOLATILITY CONNECTEDNESS; COMMODITY PRICES; RISK SPILLOVERS; STOCK MARKETS; CHINA; BAD; CAUSALITY; DYNAMICS; INDEX;
D O I：
10.1016/j.iref.2024.04.010
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We analyze asymmetric return spillovers in time and frequency domains across industrial and precious metals and energy futures markets using daily data for 18/05/2011-23/09/2020. Using the frameworks of Diebold and Yilmaz (2012) and Barun & iacute;k and Krehl & iacute;k (2018), we find that positive and negative spillover returns are symmetrical across analyzed markets, while being more pronounced during periods of economic turmoil or geopolitical unrest. Notable contributors of positive net spillovers are natural gas, diesel, zinc, and lead, while the most prominent negative net spillover receiver is gold. Findings will be of interest to investors, and portfolio managers.
引用
收藏
页码：1556 / 1592
页数：37
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