High frequency volatility spillover between oil and non-energy commodities during crisis and tranquil periods

Mutaju Isaack Marobhe () and Jonathan Mukiza Peter Kansheba ()
Additional contact information
Mutaju Isaack Marobhe: Tanzania Institute of Accountancy
Jonathan Mukiza Peter Kansheba: Universitetet i Agder, Kristiansand

SN Business & Economics, 2023, vol. 3, issue 4, 1-27

Abstract: Abstract In this article, we scrutinize volatility spillover between oil and individual non-energy commodities during crisis and non-crisis periods. We use high-frequency data to capture the effects of both the global financial crisis (2008) and the COVID-19 pandemic between 2008 and 2022. To this end, we utilize wavelet coherence analysis to diagnose the magnitudes of dynamic co-movements and lead-lag effects between commodities. Our results provide evidence of strong coherence between oil and the majority of individual non-energy commodities during both crises. Precious metals were generally found to exhibit heightened levels of co-movement with oil as opposed to other non-energy commodities. On the other hand, weak co-movements were found between oil and a few commodities, namely soy, wheat, zinc, and tin. The lead-lag effects of oil on agricultural commodities, base metals, and precious metals were evident, especially during crisis periods. However, aluminium and precious metals, especially gold, silver, and palladium, also had a lead-lag effect on oil at different points in time, including during the pandemic. We further utilize dynamic frequency-domain connectedness for capturing pairwise volatility spillover indices, with the results providing evidence of heightened volatility spillovers during turbulent times. Our findings have significant implications for retail investors, portfolio managers, and policymakers.

Keywords: Oil; Precious metals; Base metals; Agricultural commodities; COVID-19; The global financial crisis (search for similar items in EconPapers)
JEL-codes: G11 G40 Q02 (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)

Downloads: (external link)
http://link.springer.com/10.1007/s43546-023-00463-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:snbeco:v:3:y:2023:i:4:d:10.1007_s43546-023-00463-y

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/43546

DOI: 10.1007/s43546-023-00463-y

Access Statistics for this article

SN Business & Economics is currently edited by Gino D'Oca

More articles in SN Business & Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().