Comovement and contagion in commodity markets
This article investigates comovement and contagions in the commodities markets. We examine the comovement by analyzing the unconditional correlation coefficients. We document that commodities tend to partially integrate. We perform contagion tests by identifying coexceedances and estimating multinom...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2022-12-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2064079 |
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| _version_ | 1850238698963075072 |
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| author | Dony Abdul Chalid Rangga Handika |
| author_facet | Dony Abdul Chalid Rangga Handika |
| author_sort | Dony Abdul Chalid |
| collection | DOAJ |
| description | This article investigates comovement and contagions in the commodities markets. We examine the comovement by analyzing the unconditional correlation coefficients. We document that commodities tend to partially integrate. We perform contagion tests by identifying coexceedances and estimating multinomial logit to explain the joint occurrence of those coexceedances. We document that commodities price changes tend to affect the probability of both positive and negative coexceedances. Overall, we conclude that there are comovement and contagions among commodities. However, the degrees of comovement and contagion are different among commodities and between positive and negative extreme returns. The contagion among commodities is asymmetric. |
| format | Article |
| id | doaj-art-913bcb44136d4c5a8fd728f1db719bca |
| institution | OA Journals |
| issn | 2332-2039 |
| language | English |
| publishDate | 2022-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj-art-913bcb44136d4c5a8fd728f1db719bca2025-08-20T02:01:24ZengTaylor & Francis GroupCogent Economics & Finance2332-20392022-12-0110110.1080/23322039.2022.2064079Comovement and contagion in commodity marketsDony Abdul Chalid0Rangga Handika1Department of Management, Lecturer at the Faculty of Economics and Business, Universitas Indonesia, Depok, IndonesiaLecturer at the Institute for International Strategy (IIS) in Tokyo International University (TIU), Tokyo, JapanThis article investigates comovement and contagions in the commodities markets. We examine the comovement by analyzing the unconditional correlation coefficients. We document that commodities tend to partially integrate. We perform contagion tests by identifying coexceedances and estimating multinomial logit to explain the joint occurrence of those coexceedances. We document that commodities price changes tend to affect the probability of both positive and negative coexceedances. Overall, we conclude that there are comovement and contagions among commodities. However, the degrees of comovement and contagion are different among commodities and between positive and negative extreme returns. The contagion among commodities is asymmetric.https://www.tandfonline.com/doi/10.1080/23322039.2022.2064079Commodity marketsCorrelationComovementContagionMultinomial logit |
| spellingShingle | Dony Abdul Chalid Rangga Handika Comovement and contagion in commodity markets Cogent Economics & Finance Commodity markets Correlation Comovement Contagion Multinomial logit |
| title | Comovement and contagion in commodity markets |
| title_full | Comovement and contagion in commodity markets |
| title_fullStr | Comovement and contagion in commodity markets |
| title_full_unstemmed | Comovement and contagion in commodity markets |
| title_short | Comovement and contagion in commodity markets |
| title_sort | comovement and contagion in commodity markets |
| topic | Commodity markets Correlation Comovement Contagion Multinomial logit |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2022.2064079 |
| work_keys_str_mv | AT donyabdulchalid comovementandcontagionincommoditymarkets AT ranggahandika comovementandcontagionincommoditymarkets |