Volatility contagion and connectedness between WTI and commodity markets

Raphaël Homayoun Boroumand and Thomas Porcher

Finance Research Letters, 2023, vol. 58, issue PA

Abstract: This article analyzes the contagion risk between WTI crude oil prices and several major commodities markets. We study the dynamics of commodity connectedness, and we measure volatility contagion under various market conditions and commodity price cycles between 1982 and 2020. Our results show that the intensity, speed, and duration of contagion vary across periods according to macroeconomic factors. Our findings have implications for optimal portfolio strategies and market regulation to insure against potential losses inherent to volatility contagion across international markets. Our findings are relevant for industrial producers, farmers, investors, market regulators, and financial supervisors.

Keywords: Oil; Volatility; Contagion; WTI; Commodity; Price; Wavelet (search for similar items in EconPapers)
JEL-codes: G11 G15 Q02 Q40 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323003318

DOI: 10.1016/j.frl.2023.103959

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