Return and volatility connectedness among commodity markets during major crises periods: Static and dynamic analyses with asymmetries

Musefiu A. Adeleke, Olabanji Awodumi and Adeolu O. Adewuyi

Resources Policy, 2022, vol. 79, issue C

Abstract: •The study investigated returns and volatility connectedness among oil, precious metal and agricultural markets.•The Diebold & Yilmaz (DY-2012) and Baruník & Křehlík (BK-2018) methods are employed using global daily data spanning March 17, 2000 to March 17, 2022.•Agricultural commodities exhibited the least own market contribution to total volatility and return spillover within the system.•Agricultural markets are major contributor to risk spillover in the oil and precious metal markets during crisis.•Positive and negative changes in oil, precious metal and agricultural prices and returns do not significantly contribute to shock spillover.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004068

DOI: 10.1016/j.resourpol.2022.102963

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