Asymmetric cyclical connectedness on the commodity markets: Further insights from bull and bear markets

被引:6
作者
Ben Amar, Amine [1 ]
Goutte, Stephane [2 ,3 ]
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
关键词
Asymmetric connectedness; Bearish market; Bullish market; Commodity markets; IMPULSE-RESPONSE ANALYSIS; EXCESS CO-MOVEMENT; VOLATILITY SPILLOVERS; OIL PRICE; DYNAMIC SPILLOVERS; INDEX INVESTMENT; BUSINESS CYCLES; CRUDE-OIL; FINANCIALIZATION; TRANSMISSION;
D O I
10.1016/j.qref.2022.04.009
中图分类号
F [经济];
学科分类号
02 ;
摘要
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.
引用
收藏
页码:386 / 400
页数:15
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