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

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  • Nasreen, Samia
  • Tiwari, Aviral Kumar
  • Goodell, John W.
  • Tedeschi, Marco

Abstract

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 Baruník and Krehlík (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.

Suggested Citation

  • Nasreen, Samia & Tiwari, Aviral Kumar & Goodell, John W. & Tedeschi, Marco, 2024. "Asymmetric and frequency-domain spillover effects among industrial metals, precious metals, and energy futures markets," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1556-1592.
    • Handle: RePEc:eee:reveco:v:93:y:2024:i:pa:p:1556-1592
    DOI: 10.1016/j.iref.2024.04.010
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    More about this item

    Keywords

    Asymmetric spillovers; Time and frequency connectedness; High frequency analysis;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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