Dynamic return connectedness across global commodity futures markets: Evidence from time and frequency domains

This paper examines return connectedness (spillovers) among four global commodity futures markets - gold, wheat, WTI crude oil and copper on both time and frequency domains. Specifically, we first investigate the dynamics of the return spillovers to reveal the intensity and direction of transmission through 2000 to 2019. In addition, the empirical analysis shows that copper is information transmitter to other commodity futures, while the remaining three commodities are receivers of return spillovers under financial stress. Furthermore, connectedness (spillovers) between commodity returns increase sharply during the crises, diminishing the benefits of international portfolio diversification for investors. Finally, the connectedness on short-term frequency band (one to five days) contribute most to total ones, signifying that shocks get transmitted very quickly across commodity markets. Overall, our findings provide new insights into channels of information transmission with different time horizons. (C) 2019 Elsevier B.V. All rights reserved.