Asymmetric cyclical connectedness on the commodity markets: Further insights from bull and bear markets
被引:6
作者:
Ben Amar, Amine
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机构:
Excelia Business Sch, Dept Finance, CERIIM, Excelia Grp, La Rochelle, FranceExcelia Business Sch, Dept Finance, CERIIM, Excelia Grp, La Rochelle, France
Ben Amar, Amine
[1
]
Goutte, Stephane
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机构:
Univ Paris Saclay, UMI SOURCE, UVSQ, IRD, Paris, France
Vietnam Natl Univ, Int Sch, Hanoi, VietnamExcelia Business Sch, Dept Finance, CERIIM, Excelia Grp, La Rochelle, France
Goutte, Stephane
[2
,3
]
Isleimeyyeh, Mohammad
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机构:
Int Univ Rabat, Rabat Business Sch, Dept Finance Econ & Quantitat Methods, Rabat, MoroccoExcelia Business Sch, Dept Finance, CERIIM, Excelia Grp, La Rochelle, France
Isleimeyyeh, Mohammad
[4
]
机构:
[1] Excelia Business Sch, Dept Finance, CERIIM, Excelia Grp, La Rochelle, France
[2] Univ Paris Saclay, UMI SOURCE, UVSQ, IRD, Paris, France
[3] Vietnam Natl Univ, Int Sch, Hanoi, Vietnam
[4] Int Univ Rabat, Rabat Business Sch, Dept Finance Econ & Quantitat Methods, Rabat, Morocco
In this article, we introduce a new approach to investigate the asymmetric connectedness between different commodity markets. Indeed, we build on Barunik et al. (2016) and extend the connectedness framework of Diebold and Yilmaz (2012) by incorporating the cyclical components of the underlying variables. This new approach allows us to capture possible asymmetries in cyclical behavior in commodity market. Using this new method, we compute the connectedness between five commodity sectors: energy, agriculture, metals, precious metals, and fertilizers for a 60-year period (from January 1960 to March 2021). First, we find that the spillover between commodity market sectors selected become intense in political and financial crisis periods. Second, the connectedness between commodity markets is asymmetric, inequal, and clustering across the sample selected. Third, in tension periods, the magnitude of connectedness implied by bullish cycles is greater than that implied by bearish cycles. (C) 2022 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.
机构:
Jawaharlal Nehru Univ, New Delhi, India
Minist Finance, Financial Markets Div, Dept Econ Affairs, New Delhi, IndiaJawaharlal Nehru Univ, New Delhi, India
机构:
Cent South Univ, Sch Business, Changsha 410083, Peoples R China
Cent South Univ, Inst Met Resources Strategy, Changsha, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Peoples R China
Shao, Liuguo
Zhang, Hua
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Cent South Univ, Sch Business, Changsha 410083, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Peoples R China
Zhang, Hua
Chang, Senfeng
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机构:
Xiamen Univ, Sch Econ, Xiamen, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Peoples R China
Chang, Senfeng
Wang, Ziyang
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机构:
Cent South Univ, Sch Business, Changsha 410083, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Peoples R China
机构:
Jawaharlal Nehru Univ, New Delhi, India
Minist Finance, Financial Markets Div, Dept Econ Affairs, New Delhi, IndiaJawaharlal Nehru Univ, New Delhi, India
机构:
Cent South Univ, Sch Business, Changsha 410083, Peoples R China
Cent South Univ, Inst Met Resources Strategy, Changsha, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Peoples R China
Shao, Liuguo
Zhang, Hua
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机构:
Cent South Univ, Sch Business, Changsha 410083, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Peoples R China
Zhang, Hua
Chang, Senfeng
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机构:
Xiamen Univ, Sch Econ, Xiamen, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Peoples R China
Chang, Senfeng
Wang, Ziyang
论文数: 0引用数: 0
h-index: 0
机构:
Cent South Univ, Sch Business, Changsha 410083, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Peoples R China