Dynamic co-movement in major commodity markets during crisis periods: A wavelet local multiple correlation analysis
Finance Research Letters
; : 103996, 2023.
Article
Dans Anglais
| ScienceDirect | ID: covidwho-2313183
ABSTRACT
We study time-scale co-movement of returns and implied volatilities of oil, gold, wheat, and copper in a multivariate setting using the wavelet local multiple correlation (WLMC) approach. Daily data cover January 03, 2007 – August 08, 2022, including the global financial crisis, COVID-19 pandemic, and Russia-Ukraine war. The results show that the correlations across the commodities are heterogeneous, less stable in the short-term, and more pronounced in the long-term, and vary in sign and magnitude. Despite market instability, contagion is not clearly seen in either return or volatility, reflecting noise trading and the importance of the individual characteristics of commodities.
Texte intégral:
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Bases de données des oragnisations internationales
Base de données:
ScienceDirect
langue:
Anglais
Revue:
Finance Research Letters
Année:
2023
Type de document:
Article
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