Intraday spillover between commodity markets

被引：11

作者：

Ben Ameur, Hachmi ^{[1
]}

Ftiti, Zied ^{[2
]}

Louhichi, Wael ^{[3
]}

机构：

[1] INSEEC U, INSEEC Grande Ecole, Paris, France

[2] EDC Paris Business Sch, Paris, France

[3] ESSCA Sch Management, Paris, France

来源：

RESOURCES POLICY | 2021年 / 74卷

关键词：

Intraday dynamics; Spillover; Commodity markets; VOLATILITY SPILLOVERS; OIL PRICES; STOCK-MARKET; TRANSMISSION; CONTAGION; FUTURES; RETURN;

D O I：

10.1016/j.resourpol.2021.102278

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

The aim of this study is to investigate intraday interactions between commodity markets. Accordingly, we use Diebold and Yilmaz's 2009, 2012 framework to estimate the returns and volatility spillovers across commodity subsectors (i.e., agriculture, energy, industrial metals, precious metals, and livestock). Our intraday analysis shows that the energy sector plays an important role in spillover transmission to the other subsectors through volatility. However, livestock does not seem to interact with the other subsectors, because the variation in its net spillover index is very weak.

引用

页数：9

共 22 条

[1] Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model [J].