Exploring the dynamics of the equity–commodity nexus: A study of base metal futures
Ipsita Saishree and
Journal of Futures Markets, 2022, vol. 42, issue 8, 1573-1596
This empirical exercise explores different aspects of the time‐varying linkage between the commodity and equity markets in India, focusing on base metal futures. The Dynamic Conditional Correlation model (2002) and Diebold–Yilmaz spillover index (2012) are employed to ascertain the presence, pattern, direction, and magnitude of the connectedness between the returns of base metal futures and related equity indices over the period of 2006–2019. The study builds on a less‐studied “input” channel of linkage between the two, reckoning with the economic fundamentals of demand–supply interaction. Our results show that 36% of the return forecast error variance originates from spillovers, to which the contribution of equity indices is minimal. It indicates segmentation between the two markets which offer the scope for potential diversification. Further, base metal futures are the net transmitters and equity indices are the net recipients of spillovers. Positive correlations outweigh the negative correlations, in both frequency and magnitude.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1573-1596
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314
Access Statistics for this article
Journal of Futures Markets is currently edited by Robert I. Webb
More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().