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Global financial crisis and rising connectedness in the international commodity markets

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Cited by:

  1. Bouri, Elie & Cepni, Oguzhan & Gabauer, David & Gupta, Rangan, 2021. "Return connectedness across asset classes around the COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 73(C).
  2. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  3. Okorie, David Iheke & Lin, Boqiang, 2022. "Givers never lack: Nigerian oil & gas asymmetric network analyses," Energy Economics, Elsevier, vol. 108(C).
  4. Liu, Chang & Sun, Xiaolei & Wang, Jun & Li, Jianping & Chen, Jianming, 2021. "Multiscale information transmission between commodity markets: An EMD-Based transfer entropy network," Research in International Business and Finance, Elsevier, vol. 55(C).
  5. Juncal Cunado & David Gabauer & Rangan Gupta, 2024. "Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-17, December.
  6. Alqaralleh, Huthaifa & Canepa, Alessandra, 2022. "The role of precious metals in portfolio diversification during the Covid19 pandemic: A wavelet-based quantile approach," Resources Policy, Elsevier, vol. 75(C).
  7. Yoon, Seong-Min, 2022. "On the interdependence between biofuel, fossil fuel and agricultural food prices: Evidence from quantile tests," Renewable Energy, Elsevier, vol. 199(C), pages 536-545.
  8. Khalfaoui, Rabeh & Baumöhl, Eduard & Sarwar, Suleman & Výrost, Tomáš, 2021. "Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks," Resources Policy, Elsevier, vol. 74(C).
  9. Reinhold Heinlein & Scott M. R. Mahadeo, 2023. "Oil and US stock market shocks: Implications for Canadian equities," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(1), pages 247-287, February.
  10. Long, Shaobo & Guo, Jiaqi, 2022. "Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks," Research in International Business and Finance, Elsevier, vol. 62(C).
  11. Ha, Le Thanh & Nham, Nguyen Thi Hong, 2022. "An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis," Technological Forecasting and Social Change, Elsevier, vol. 183(C).
  12. Chen, Jinyu & Liang, Zhipeng & Ding, Qian & Liu, Zhenhua, 2022. "Quantile connectedness between energy, metal, and carbon markets," International Review of Financial Analysis, Elsevier, vol. 83(C).
  13. Cesario Mateus & Miramir Bagirov & Irina Mateus, 2024. "Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets," International Review of Finance, International Review of Finance Ltd., vol. 24(1), pages 83-103, March.
  14. Okhrin, Yarema & Uddin, Gazi Salah & Yahya, Muhammad, 2023. "Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets," Energy Economics, Elsevier, vol. 125(C).
  15. Wang, Yihan & Bouri, Elie & Fareed, Zeeshan & Dai, Yuhui, 2022. "Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine," Finance Research Letters, Elsevier, vol. 49(C).
  16. Kumar, Satish & Khalfaoui, Rabeh & Tiwari, Aviral Kumar, 2021. "Does geopolitical risk improve the directional predictability from oil to stock returns? Evidence from oil-exporting and oil-importing countries," Resources Policy, Elsevier, vol. 74(C).
  17. Chen, Ying & Zhu, Xuehong & Li, Hailing, 2022. "The asymmetric effects of oil price shocks and uncertainty on non-ferrous metal market: Based on quantile regression," Energy, Elsevier, vol. 246(C).
  18. Zhuo Chen & Bo Yan & Hanwen Kang, 2022. "Dynamic correlation between crude oil and agricultural futures markets," Review of Development Economics, Wiley Blackwell, vol. 26(3), pages 1798-1849, August.
  19. Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Dependence dynamics of US REITs," International Review of Financial Analysis, Elsevier, vol. 81(C).
  20. Heinlein, Reinhold & Legrenzi, Gabriella D. & Mahadeo, Scott M.R., 2021. "Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 223-229.
  21. Ha, Le Thanh, 2022. "Storm after the Gloomy days: Influences of COVID-19 pandemic on volatility of the energy market," Resources Policy, Elsevier, vol. 79(C).
  22. Onur Polat, 2021. "Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 7(2), pages 47-59, December.
  23. Lin, Boqiang & Wang, Siquan, 2023. "The performance of specialized and oriented diversified firms: A comparative analysis from the targeted expansion of renewable energy business of listed companies," International Review of Financial Analysis, Elsevier, vol. 89(C).
  24. Aloui, Riadh & Ben Jabeur, Sami & Rezgui, Hichem & Ben Arfi, Wissal, 2023. "Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach," Resources Policy, Elsevier, vol. 85(PB).
  25. Bissoondoyal-Bheenick, Emawtee & Do, Hung & Hu, Xiaolu & Zhong, Angel, 2022. "Sentiment and stock market connectedness: Evidence from the U.S. – China trade war," International Review of Financial Analysis, Elsevier, vol. 80(C).
  26. Cui, Jinxin & Maghyereh, Aktham & Goh, Mark & Zou, Huiwen, 2022. "Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments," Energy, Elsevier, vol. 238(PB).
  27. Chan, Ying Tung & Qiao, Hui, 2023. "Volatility spillover between oil and stock prices: Structural connectedness based on a multi-sector DSGE model approach with Bayesian estimation," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 265-286.
  28. Bhanja, Niyati & Shah, Adil Ahmad & Dar, Arif Billah, 2023. "Aggregate, asymmetric and frequency-based spillover among equity, precious metals, and cryptocurrency," Resources Policy, Elsevier, vol. 80(C).
  29. Choi, Sun-Yong, 2022. "Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 179-193.
  30. Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2019. "Energy contagion analysis: A new perspective with application to a small petroleum economy," Energy Economics, Elsevier, vol. 80(C), pages 890-903.
  31. Akhtaruzzaman, Md & Boubaker, Sabri & Lucey, Brian M. & Sensoy, Ahmet, 2021. "Is gold a hedge or a safe-haven asset in the COVID–19 crisis?," Economic Modelling, Elsevier, vol. 102(C).
  32. An, Sufang & An, Feng & Gao, Xiangyun & Wang, Anjian, 2023. "Early warning of critical transitions in crude oil price," Energy, Elsevier, vol. 280(C).
  33. Alshater, Muneer M. & Alqaralleh, Huthaifa & El Khoury, Rim, 2023. "Dynamic asymmetric connectedness in technological sectors," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
  34. Tongshuai Qiao & Liyan Han, 2023. "COVID‐19 and tail risk contagion across commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 242-272, February.
  35. Liew, Ping-Xin & Lim, Kian-Ping & Goh, Kim-Leng, 2022. "The dynamics and determinants of liquidity connectedness across financial asset markets," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 341-358.
  36. Muhammad Abubakr Naeem & Saqib Farid & Safwan Mohd Nor & Syed Jawad Hussain Shahzad, 2021. "Spillover and Drivers of Uncertainty among Oil and Commodity Markets," Mathematics, MDPI, vol. 9(4), pages 1-26, February.
  37. David Gabauer, 2020. "Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 788-796, August.
  38. Zhu, Xuehong & Chen, Ying & Chen, Jinyu, 2021. "Effects of non-ferrous metal prices and uncertainty on industry stock market under different market conditions," Resources Policy, Elsevier, vol. 73(C).
  39. Le, Thanh Ha, 2023. "Quantile time-frequency connectedness between cryptocurrency volatility and renewable energy volatility during the COVID-19 pandemic and Ukraine-Russia conflicts," Renewable Energy, Elsevier, vol. 202(C), pages 613-625.
  40. Pavel Kotyza & Katarzyna Czech & Michał Wielechowski & Luboš Smutka & Petr Procházka, 2021. "Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?," Agriculture, MDPI, vol. 11(2), pages 1-16, January.
  41. Chiang, Shu-hen & Chen, Chien-Fu, 2022. "From systematic to systemic risk among G7 members: Do the stock or real estate markets matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  42. Siddique, Md Abubakar & Nobanee, Haitham & Karim, Sitara & Naz, Farah, 2023. "Do green financial markets offset the risk of cryptocurrencies and carbon markets?," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 822-833.
  43. Ben Amar, Amine & Bouattour, Mondher & Bellalah, Makram & Goutte, Stéphane, 2023. "Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
  44. Cao, Yan & Cheng, Sheng, 2021. "Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices," Resources Policy, Elsevier, vol. 74(C).
  45. Asadi, Mehrad & Roubaud, David & Tiwari, Aviral Kumar, 2022. "Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness," Energy Economics, Elsevier, vol. 109(C).
  46. Rafael Baptista Palazzi & Ata Assaf & Marcelo Cabus Klotzle, 2024. "Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(1), pages 27-56, January.
  47. Filiz Mızrak & Serhat Yüksel, 2019. "Significant Determiners of Greek Debt Crisis: A Comparative Analysis with Probit and MARS Approaches," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 8(3), pages 33-50, July.
  48. Jiang, Wei & Chen, Yunfei, 2022. "The time-frequency connectedness among metal, energy and carbon markets pre and during COVID-19 outbreak," Resources Policy, Elsevier, vol. 77(C).
  49. Boqiang Lin & Tianxu Lan, 2024. "The time‐varying volatility spillover effects between China's coal and metal market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 699-719, May.
  50. Mishra, Aswini Kumar & Arunachalam, Vairam & Olson, Dennis & Patnaik, Debasis, 2023. "Dynamic connectedness in commodity futures markets during Covid-19 in India: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 82(C).
  51. Hachicha, Néjib & Ben Amar, Amine & Ben Slimane, Ikrame & Bellalah, Makram & Prigent, Jean-Luc, 2022. "Dynamic connectedness and optimal hedging strategy among commodities and financial indices," International Review of Financial Analysis, Elsevier, vol. 83(C).
  52. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022. "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, vol. 79(C).
  53. Alqaralleh, Huthaifa & Canepa, Alessandra & Chini, Zanetti, 2021. "Financial Contagion During the Covid-19 Pandemic: A Wavelet-Copula-GARCH Approach," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202110, University of Turin.
  54. Shah, Adil Ahmad & Dar, Arif Billah, 2022. "Asymmetric, time and frequency-based spillover transmission in financial and commodity markets," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
  55. Jian, Zhihong & Lu, Haisong & Zhu, Zhican & Xu, Huiling, 2023. "Frequency heterogeneity of tail connectedness: Evidence from global stock markets," Economic Modelling, Elsevier, vol. 125(C).
  56. A. M. M. Shahiduzzaman Quoreshi & Trudy-Ann Stone, 2019. "Do Global Value Chains Make Firms More Vulnerable to Trade Shocks?—Evidence from Manufacturing Firms in Sweden," JRFM, MDPI, vol. 12(3), pages 1-16, September.
  57. Memon, Bilal Ahmed & Yao, Hongxing & Naveed, Hafiz Muhammad, 2022. "Examining the efficiency and herding behavior of commodity markets using multifractal detrended fluctuation analysis. Empirical evidence from energy, agriculture, and metal markets," Resources Policy, Elsevier, vol. 77(C).
  58. Lee, Chien-Chiang & Zhou, Hegang & Xu, Chao & Zhang, Xiaoming, 2023. "Dynamic spillover effects among international crude oil markets from the time-frequency perspective," Resources Policy, Elsevier, vol. 80(C).
  59. Shahzad, Syed Jawad Hussain & Naifar, Nader, 2022. "Dependence dynamics of Islamic and conventional equity sectors: What do we learn from the decoupling hypothesis and COVID-19 pandemic?," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  60. Song, Ying & Bouri, Elie & Ghosh, Sajal & Kanjilal, Kakali, 2021. "Rare earth and financial markets: Dynamics of return and volatility connectedness around the COVID-19 outbreak," Resources Policy, Elsevier, vol. 74(C).
  61. Benlagha, Noureddine & Karim, Sitara & Naeem, Muhammad Abubakr & Lucey, Brian M. & Vigne, Samuel A., 2022. "Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries," Energy Economics, Elsevier, vol. 115(C).
  62. Sharma, Aarzoo, 2022. "A comparative analysis of the financialization of commodities during COVID-19 and the global financial crisis using a quantile regression approach," Resources Policy, Elsevier, vol. 78(C).
  63. Bouri, Elie & Nekhili, Ramzi & Todorova, Neda, 2023. "Dynamic co-movement in major commodity markets during crisis periods: A wavelet local multiple correlation analysis," Finance Research Letters, Elsevier, vol. 55(PB).
  64. Mishra, Aswini Kumar & Ghate, Kshitish, 2022. "Dynamic connectedness in non-ferrous commodity markets: Evidence from India using TVP-VAR and DCC-GARCH approaches," Resources Policy, Elsevier, vol. 76(C).
  65. Cagli, Efe Caglar & Mandaci, Pinar Evrim & Taskin, Dilvin, 2023. "The volatility connectedness between agricultural commodity and agri businesses: Evidence from time-varying extended joint approach," Finance Research Letters, Elsevier, vol. 52(C).
  66. Xu Zhang & Xian Yang & Jianping Li & Jun Hao, 2023. "Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 705-733, June.
  67. Baker, H. Kent & Kumar, Satish & Goyal, Kirti & Sharma, Anuj, 2021. "International review of financial analysis: A retrospective evaluation between 1992 and 2020," International Review of Financial Analysis, Elsevier, vol. 78(C).
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