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Volatility contagion and connectedness between WTI and commodity markets

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  • Boroumand, Raphaël Homayoun
  • Porcher, Thomas

Abstract

This article analyzes the contagion risk between WTI crude oil prices and several major commodities markets. We study the dynamics of commodity connectedness, and we measure volatility contagion under various market conditions and commodity price cycles between 1982 and 2020. Our results show that the intensity, speed, and duration of contagion vary across periods according to macroeconomic factors. Our findings have implications for optimal portfolio strategies and market regulation to insure against potential losses inherent to volatility contagion across international markets. Our findings are relevant for industrial producers, farmers, investors, market regulators, and financial supervisors.

Suggested Citation

  • Boroumand, Raphaël Homayoun & Porcher, Thomas, 2023. "Volatility contagion and connectedness between WTI and commodity markets," Finance Research Letters, Elsevier, vol. 58(PA).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323003318
    DOI: 10.1016/j.frl.2023.103959
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    References listed on IDEAS

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    Cited by:

    1. Bonga-Bonga, Lumengo & Mpoha, Salifya, 2024. "Spillover effects from China and the United States to Key Regional Emerging Markets: A dynamic analysis," International Review of Financial Analysis, Elsevier, vol. 91(C).
    2. Polat, Onur & Ertuğrul, Hasan Murat & Sakarya, Burçhan & Akgül, Ali, 2024. "TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes," Applied Energy, Elsevier, vol. 357(C).

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    More about this item

    Keywords

    Oil; Volatility; Contagion; WTI; Commodity; Price; Wavelet;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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