IDEAS home Printed from https://ideas.repec.org/a/ris/ambsrv/0075.html
   My bibliography  Save this article

Dynamic Linkages of Energy Commodities with Bullion and Metal Market: Evidence of Portfolio Hedging

Author

Listed:
  • Rajwani, Shegorika

    (Indian Institute of Foreign Trade)

  • Kumar Tiwar, Aviral

    (Indian Institute of Management Bodh Gaya)

  • Prasad Yadav, Miklesh

    (Indian Institute of Foreign Trade, Kakinada Campus)

  • Sharma, Sakshi

    (Jawaharlal Nehru University)

Abstract

This paper examines the dynamic linkages of volatility of energy commodities with bullion and the metal market. The proxies of energy commodities are crude oil and natural gas; bullion markets are Gold, silver and platinum and metal markets are copper and zinc. We collect daily data extending from March 18, 2010, to January 15, 2021, a period for about 12 years and employ Granger causality, Dynamic Conditional Correlation (DCC), Diebold Yilmaz (2012), Baruník & Křehlík (2018), and Network analysis for the purpose of examining spillover effect in the data considered. It is observed that there are short-run dynamic spillovers from energy (crude oil) to metal (copper) while long-run linkage is witnessed among all the constituent series. Further, Baruník & Křehlík (2018) test reveals that the total connectedness of the seven data series under study are found to be higher in frequency 2 (6 days to 15 days) than in the short run and long run. Referring to the network analysis, negative correlations are found between each pair of indices considered, i.e., Gold, silver, platinum, zinc, copper with crude oil while positive correlation is witnessed between Gold and silver. In addition, we determine portfolio hedge ratios and portfolio weights for the investors and portfolio managers. It is found that the Crude /Zinc pair had the most expensive optimal hedge ratio, while Crude/Gold had the least expensive hedging.

Suggested Citation

  • Rajwani, Shegorika & Kumar Tiwar, Aviral & Prasad Yadav, Miklesh & Sharma, Sakshi, 2023. "Dynamic Linkages of Energy Commodities with Bullion and Metal Market: Evidence of Portfolio Hedging," American Business Review, Pompea College of Business, University of New Haven, vol. 26(1), pages 148-179, May.
    • Handle: RePEc:ris:ambsrv:0075
    as

    Download full text from publisher

    File URL: https://digitalcommons.newhaven.edu/americanbusinessreview/vol26/iss1/8/
    File Function: Full text
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Dynamic Linkages; Energy Commodity; Bullion Market; Metal Market; Portfolio Hedging;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:ambsrv:0075. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Amber Montano (email available below). General contact details of provider: https://edirc.repec.org/data/cbnhaus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.