Unveiling commodities-financial markets intersections from a bibliometric perspective

The prominence of commodity markets within the domains of empirical finance and energy economics is well established, largely due to oil's importance and its relationship with other commodities and financial markets. In this study, we present a bibliometric examination of 437 journal articles addressing the phenomenon of commodity connectedness, spanning the period from 1994 to 2022. The research methods include a blend of qualitative and quantitative approaches, incorporating bibliometrics and content analysis. Based on the findings of the analysis, four primary research streams have been identified within the literature concerning commodity connectedness, namely (1) commodity interconnectivity, (2) the relationship between traditional commodities, renewable energy, and cryptocurrencies, (3) the relationship between oil and stock markets, and (4) studies utilizing copula methods to examine the interconnectivity between oil and financial markets. We proposed 15 future research questions for further investigation in the domain of commodity connectedness, including topics such as the impact of the post-COVID era and global uncertainties on commodity markets, how commodities can address the issue of climate change, the exponential growth of cryptocurrencies as a new financial asset, and the impact of the ongoing Russia-Ukraine conflict on commodity and financial markets.

From forests to faucets to fuel: Investigating the domino effect of extreme risk in timber, water, and energy markets

This study explores the interdependence between timber, water, and energy markets and investigates the potential domino effect of extreme risk across these markets. Specifically, using CAViaR-TVP-VAR, we examine the role of water and timber investments as safe-havens and hedges for traditional energy markets, before and after the COVID-19 pandemic. Our results indicate that water and timber markets can serve as reliable safe-haven options for energy investors. Moreover, our findings suggest a weak link between natural gas and its counterparts, underscoring the need for energy portfolios to diversify. This study provides valuable insights for investors seeking to navigate extreme risk.

COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs.

Did Covid19 induce market turmoil impact the intraday volatility spillovers between energy and other ETFs?. To examine this, we first estimate the realized volatility of ETFs using the 5-min high-frequency data. Next, we employ time-varying parameter vector autoregressions (TVP-VAR). Finally, we utilize the wavelet coherence measure to test the time-frequency impact of COVID-induced sentiment on the spillovers by employing investors' psychological and behavioural factors. We find that oil and stock markets are net transmitters while currency, bonds, and silver markets are net receivers. The wavelet analysis embarked significant impact of media coverage and fake news index towards shaping investors' pessimism for their investments. We proposed useful implications for policymakers, governments, investors, and portfolio managers.

Systemic risk contagion of green and Islamic markets with conventional markets.

Financial markets are exposed to extreme uncertain circumstances escalating their tail risk. Sustainable, religious, and conventional markets represent three different markets with various characteristics. Motivated with this, the current study measures the tail connectedness between sustainable, religious, and conventional investments by employing a neural network quantile regression approach from December 1, 2008 to May 10, 2021. The neural network recognized religious and conventional investments with maximum exposure to tail risk following the crisis periods reflecting strong diversification benefits of sustainable assets. The Systematic Network Risk Index spots Global Financial Crisis, European Debt Crisis, and COVID-19 pandemic as intensive events yielding high tail risk. The Systematic Fragility Index ranks the stock market in the pre-COVID period and Islamic stocks during the COVID sample as the most susceptible markets. Conversely, the Systematic Hazard Index nominates Islamic stocks as the chief risk contributor in the system. Given these, we portray various implications for policymakers, regulatory bodies, investors, financial market participants, and portfolio managers to diversify their risk using sustainable/green investments.

Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries

The surmounted environmental and energy challenges have motivated this study to explore the connectedness nexus between oil/renewable energy and stock markets for oil-exporting (importing) countries. We utilize the dynamic conditional correlation (DCC-GARCH) connectedness framework to compare the connectedness of oil/renewable energy with stock markets. Our results showcase higher total connectedness between renewable energy and stock markets. We find increased connectedness during three major pandemics (Swine Flu, EBOLA, and COVID-19). We performed a regression analysis that highlighted the impact of economic and financial uncertainties on connectedness as an additional analysis. The addition of dummy variables for three major pandemics indicates that COVID-19 significantly impacted the connectedness between oil/renewable energy and stock markets. For the robustness of our results, we employed time-varying vector autoregressions (TVP-VAR) connectedness framework to showcase that our results remain qualitatively similar and robust to different specifications. We draw useful implications for oil exporting and oil importing countries in particular, and we draft ramifications for investors, portfolio managers, policymakers, and macroprudential bodies in general.

Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain

Oil shocks demonstrate an effective economic event in the face of several unprecedented financial challenges. The current study endeavors to investigate the nexus between oil shocks and agriculture commodities with portfolio implications. Building on the novel techniques of time- and frequency spillovers and portfolio analysis, we unlocked the potential connectedness networks as well as diversification and trading strategies for investors and portfolio managers. Our findings document strong intra and weaker inter-connectedness between oil shocks and agriculture commodities with greater time-varying spillovers in the short- and long-run. We framed valuable intuitions for policymakers, macro-prudential authorities, investors, and portfolio managers.

Is gold a hedge or a safe-haven asset in the COVID–19 crisis?

This study examines the role of gold as a hedge or safe-haven asset in different phases of the COVID-19 pandemic crisis, corresponding to the timing of fiscal and monetary stimuli to support the weakened economy. Using high-frequency data, the results show that gold served as a safe-haven asset for stock markets during Phase I (December 31, 2019−March 16, 2020) of the pandemic. However, gold lost its safe-haven role during Phase II (March 17−April 24, 2020). The optimal weights of gold in S&P 500, Euro Stoxx 50, Nikkei 225, and WTI crude oil portfolios significantly increased during Phase II, suggesting that investors expanded investment in gold as a ‘flight-to-safety asset’ during the crisis. Further, hedging costs increased significantly during Phase II. These findings provide insight for individual and institutional investors and guidance to policymakers, regulators, and media on how gold evolved as a hedge and safe-haven asset in different phases of the pandemic.