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Volatility Transmission across Commodity Futures Markets

Chau, F.; Deesomsak, R.

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Authors



Contributors

H. Kent Baker
Editor

Greg Filbeck
Editor

Jeffrey H. Harris
Editor

Abstract

Sharp movements in crude oil prices and their impact on other commodities have renewed interest in the assessment of dynamic interactions between commodity futures markets. This chapter examines this topic by investigating the intensity and direction of volatility transmission across three major classes of commodities, including agricultural products (corn, coffee, and soybeans), energy (crude oil and gas), and metals (copper, gold, and silver). Overall, the evidence suggests that important volatility episodes and fluctuations exist across major commodity markets; the total cross-market spillovers are limited until the onset of financial crisis of 2007–2008. As the crisis intensified, so too did the commodity volatility spillovers, with substantial stress carrying over from the energy and metal markets to others. These findings are important in understanding the level and transmission mechanism of risk across commodity futures markets and are relevant to regulators in formulating policies to tackle excessive volatility, particularly during turbulent periods.

Citation

Chau, F., & Deesomsak, R. (2018). Volatility Transmission across Commodity Futures Markets. In H. K. Baker, G. Filbeck, & J. H. Harris (Eds.), Commodities : markets, performance, and strategies (331-350). Oxford University Press. https://doi.org/10.1093/oso/9780190656010.003.0018

Acceptance Date Sep 23, 2017
Online Publication Date Apr 26, 2018
Publication Date Apr 26, 2018
Deposit Date Oct 21, 2017
Publicly Available Date Mar 29, 2024
Publisher Oxford University Press
Pages 331-350
Series Title Financial markets and investments
Book Title Commodities : markets, performance, and strategies.
Chapter Number 18
ISBN 9780190656010
DOI https://doi.org/10.1093/oso/9780190656010.003.0018
Public URL https://durham-repository.worktribe.com/output/1666541

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