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Financial contagion in the futures markets amidst global geo-economic events

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  • Zainudin, Ahmad Danial
  • Mohamad, Azhar

Abstract

This paper examines the occurrence of financial contagion in the futures markets, amidst global geo-economic events, for the period of 2010–2020. Our dataset consists of 40 pairs of futures contracts and underlying spots covering agricultural, energy, stock index, and metal futures. We apply the Wavelet Correlation Breakdown test to observe any abrupt changes in spot-futures correlation before and after 2010. We then use the spectrogram by Wavelet Power and Energy Spectrum to approximate the duration of spot and futures volatility caused by the financial contagion. The Wavelet Correlation Breakdown tests’ results confirm the existence of financial contagion in the futures markets. Based on Wavelet Power and Energy analysis’s spectrogram, we also find that the contagion in the futures markets during global geo-economic events typically lasts about two months.

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  • Zainudin, Ahmad Danial & Mohamad, Azhar, 2021. "Financial contagion in the futures markets amidst global geo-economic events," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 288-308.
    • Handle: RePEc:eee:quaeco:v:81:y:2021:i:c:p:288-308
    DOI: 10.1016/j.qref.2021.06.021
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    More about this item

    Keywords

    Financial contagion; Futures; Correlation breakdown test; Volatility; Wavelet;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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