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

Mohammad Isleimeyyeh, Amine Ben Amar and Stéphane Goutte

Working Papers from HAL

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: 2021-04-29
New Economics Papers: this item is included in nep-cwa, nep-ene and nep-sea
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-03211699
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: 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 cross-commodities over different nearest-to-maturities tell us? (2022)
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