Multiscale spillovers, connectedness, and portfolio management among precious and industrial metals, energy, agriculture, and livestock futures

Walid Mensi, Xuan Vinh Vo and Sang Hoon Kang

Resources Policy, 2021, vol. 74, issue C

Abstract: This study examines the connectedness among 28 commodity futures markets comprising precious metals, industrial metals, energy, agriculture, and livestock. We use the frequency-domain spillover method of Baruník and Křehlík (2018) and wavelet approach to account for investment horizons. The results show evidence of time-varying spillovers, which is intensified by economic and political events. The total spillover is higher in the short term than in the long term. Livestock market is the least contributor/receiver of risk to/from other markets. A portfolio risk analysis reveals that a combined portfolio composed of WTI crude oil and other commodity assets offers better downside risk reduction. The latter is more important in the short term than in the long term. These results are important for investors and policymakers.

Keywords: Commodity futures prices; Connectedness; Frequency; Spillover index (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003846

DOI: 10.1016/j.resourpol.2021.102375

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