Asymmetric and frequency-domain spillover effects among industrial metals, precious metals, and energy futures markets

Samia Nasreen, Aviral Tiwari, John W. Goodell and Marco Tedeschi ()

International Review of Economics & Finance, 2024, vol. 93, issue PA, 1556-1592

Abstract: We analyze asymmetric return spillovers in time and frequency domains across industrial and precious metals and energy futures markets using daily data for 18/05/2011–23/09/2020. Using the frameworks of Diebold and Yilmaz (2012) and Baruník and Krehlík (2018), we find that positive and negative spillover returns are symmetrical across analyzed markets, while being more pronounced during periods of economic turmoil or geopolitical unrest. Notable contributors of positive net spillovers are natural gas, diesel, zinc, and lead, while the most prominent negative net spillover receiver is gold. Findings will be of interest to investors, and portfolio managers.

Keywords: Asymmetric spillovers; Time and frequency connectedness; High frequency analysis (search for similar items in EconPapers)
JEL-codes: C58 G11 G17 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:93:y:2024:i:pa:p:1556-1592

DOI: 10.1016/j.iref.2024.04.010

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