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- Title
Volatility transmissions and connectivity among metal and energy commodities: a network-econometric analysis.
- Authors
Tessmann, Mathias Schneid; Carrasco-Gutierrez, Carlos Enrique; de Oliveira Passos, Marcelo; Magalhães, Luiz Augusto; Ely, Régis Augusto
- Abstract
We assessed volatility transmissions that occurred (inter and intra) commodities of metals and energy from October 16, 1998 to October 17, 2018. With a total of 5220 price observations for each commodity, we estimate spillover indexes. We measure such transmissions among twelve commodities and computed the parcels of shock's effects in each pairwise of assets. We also compute how much of these volatilities transmissions was absorbed by each asset in these markets. And using complex network statistics metrics, we describe statistically and graphically these transmissions. Our results pointed that total connectivity is 53% and, through the network analysis, we realize that the greatest interactions occur involving oil and nickel and gold and silver. We confirm the findings of Arouri, et al. (2013) that most precious metals can be a good hedge option in stock portfolios and other assets, especially when there are crises or increased uncertainties in international financial markets. Indeed, we also attested to the conclusion of Papenfuß et al. (2021) that the value of metals was what, among the factors analyzed by them, had a relevant negative effect on the pricing and forecasting. We believe that these evidence are useful for the literatures of financial networks and metallic/energetic commodity markets; as well for investors, risk managers, fund managers, policy makers and metals and energy's producers and buyers.
- Subjects
PRECIOUS metals; COMMODITY exchanges; RISK managers; INVESTORS; METALS; NICKEL (Coin); PORTFOLIO diversification
- Publication
Journal of Economics & Finance, 2024, Vol 48, Issue 1, p51
- ISSN
1055-0925
- Publication type
Article
- DOI
10.1007/s12197-023-09644-9