Extreme time-frequency connectedness across US sector stock and commodity futures markets

被引：7

作者：

Bhattacherjee, Purba ^{[1
]}

Mishra, Sibanjan ^{[2
]}

Kang, Sang Hoon ^{[3
]}

机构：

[1] XIM Univ, Kakudia, India

[2] Manipal Acad Higher Educ, T A Pai Management Inst, Accounting Econ & Finance Area, Manipal, India

[3] Pusan Natl Univ, Sch Business, Jangjeon 2-Dong, Pusan 609735, South Korea

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2024年 / 93卷

基金：

新加坡国家研究基金会;

关键词：

US sectoral indices; Commodity markets; Quantile spillover; Time-frequency analysis; Portfolio management; COVID-19; Geopolitical crisis; IMPULSE-RESPONSE ANALYSIS; CRUDE-OIL PRICES; VOLATILITY SPILLOVERS; FINANCIAL CRISIS; GREEN BOND; SERIES; BRICS;

D O I：

10.1016/j.iref.2024.05.021

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study investigates the extreme time-frequency return connectedness between ten U.S. sectors and commodities from January 2014 to May 2023. Using quantile time-frequency measures, we find the following: Firstly, the total connectedness estimates are more sensitive at shorter frequencies than at longer ones. Secondly, the study reveals varied degrees of contagion during crisis periods. Notably, during COVID-19 (Russia -Ukraine conflict), the contagion is driven by shortterm (long-term) shocks, specifically during the bearish (bullish) phase. Thirdly, quantile connectedness measures depict intense correlations around market extremes, underlining dynamic net return-contagion with tailored risk strategies. The shifts in shock transmission roles during bearish and bullish scenarios, along with evolving dynamics across time-frequency horizons, emphasize substantial interconnectedness within the network. Our findings suggest limited diversification scope under extreme market conditions, informing investment decisions, risk management, and portfolio optimization.

引用

页码：1176 / 1197

页数：22

共 91 条

[1] Is the Korean housing market following Gangnam style? [J].