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Intraday spillover between commodity markets

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  • Ben Ameur, Hachmi
  • Ftiti, Zied
  • Louhichi, Waël

Abstract

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.

Suggested Citation

  • Ben Ameur, Hachmi & Ftiti, Zied & Louhichi, Waël, 2021. "Intraday spillover between commodity markets," Resources Policy, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002890
    DOI: 10.1016/j.resourpol.2021.102278
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