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Multiscale spillovers, connectedness, and portfolio management among precious and industrial metals, energy, agriculture, and livestock futures

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  • Mensi, Walid
  • Vo, Xuan Vinh
  • Kang, Sang Hoon

Abstract

This study examines the connectedness among 28 commodity futures markets comprising precious metals, industrial metals, energy, agriculture, and livestock. We use the frequency-domain spillover method of Baruník and Křehlík (2018) and wavelet approach to account for investment horizons. The results show evidence of time-varying spillovers, which is intensified by economic and political events. The total spillover is higher in the short term than in the long term. Livestock market is the least contributor/receiver of risk to/from other markets. A portfolio risk analysis reveals that a combined portfolio composed of WTI crude oil and other commodity assets offers better downside risk reduction. The latter is more important in the short term than in the long term. These results are important for investors and policymakers.

Suggested Citation

  • Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Multiscale spillovers, connectedness, and portfolio management among precious and industrial metals, energy, agriculture, and livestock futures," Resources Policy, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003846
    DOI: 10.1016/j.resourpol.2021.102375
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    4. Chaofeng Tang & Kentaka Aruga & Yi Hu, 2023. "The Dynamic Correlation and Volatility Spillover among Green Bonds, Clean Energy Stock, and Fossil Fuel Market," Sustainability, MDPI, vol. 15(8), pages 1-23, April.
    5. Zhou, Yuqin & Wu, Shan & Zhang, Zeyi, 2022. "Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network," Energy Economics, Elsevier, vol. 114(C).
    6. Lee, Hsiang-Tai & Lee, Chien-Chiang, 2022. "A regime-switching real-time copula GARCH model for optimal futures hedging," International Review of Financial Analysis, Elsevier, vol. 84(C).
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    8. Dejan Živkov & Suzana Balaban & Marijana Joksimović, 2022. "Making a Markowitz portfolio with agricultural commodity futures," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 68(6), pages 219-229.

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    More about this item

    Keywords

    Commodity futures prices; Connectedness; Frequency; Spillover index;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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