Spillover Effects and Connectedness between Oil Futures Markets and Commodity Futures Markets

ABSTRACT

In this study, it was found that the spillover effects between oil futures markets and commodity futures markets. I use the volatility spillover index of Diebold and Yilmaz (2012) to analyze the connectedness between oil futures and commodity futures returns. The main analysis results of this study are as follows. First, I show that spillover effects depend on the period, and especially find that spillover effects are active after the Russian-Ukraine War. Second, I find that the WTI and BRENT futures have a high value in both to spillover effects and From spillover effects. Third, the wheat futures market plays an important role after the COVID-19 outbreak. Finally, I find that the non-ferrous metal futures market is dependent on other markets in most periods. As a result, I find that the WTI and BRENT futures are important information senders in the oil and product asset markets. And the empirical results show that the Russia-Ukraine war increases the linkage of the futures market rather than COVID-19 outbreak. © 2023, Success Culture Press. All rights reserved.