Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?

Amine Ben Amar, Stéphane Goutte, Mohammad Isleimeyyeh and Ramzi Benkraiem

International Review of Financial Analysis, 2022, vol. 82, issue C

Abstract: In this paper we investigate cross-commodity futures markets connectedness over different nearest-to-maturities. We thus implement time and time-frequency estimations for two constructed baskets of commodities, classified based on common delivery months. Using daily data spanning the period 1995–2020, we provide a set of stylized facts on the extent to which commodity markets are integrated or segmented. More specifically, our results show that the total connectedness is broadly insensitive to maturity. However, after 2008 financial crisis, the connectedness among commodity futures prices increases when the maturity increases. Furthermore, the overall connectedness amplifies during crises periods compared to tranquil periods. Moreover, certain pairwise markets are comparatively highly linked such as crude oil and heating oil, wheat and corn, corn and soybean, and soybean and soybean oil. The results also demonstrate that crude oil and heating oil are net transmitters all the time and across maturities, while natural gas, gold, and wheat are net receivers all the time and across maturities. More interestingly, the frequency decomposition reveals that most of periods of high total connectedness are driven mostly by high frequency components, which may indicate that commodity markets process information rapidly, except for the COVID-19 crisis period where total connectedness has been driven by lower frequency components.

Keywords: Cross-commodity integration; Financialization; Energy; Agricultural; Precious metals; Futures; Nearest-to-maturities; Connectedness; COVID-19 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us? (2022)
Working Paper: Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us? (2022)
Working Paper: Commodity markets dynamics: What do crosscommodities over different nearest-to-maturities tell us? (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:82:y:2022:i:c:s105752192200151x

DOI: 10.1016/j.irfa.2022.102190

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