Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective

Cui, Jinxin; Maghyereh, Aktham

doi:10.1016/j.jcomm.2023.100323

Cited by 16 publications

(3 citation statements)

References 102 publications

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“…Moreover, with the gradual financialization of commodities, the connectedness among commodity markets has increased (Ren, Tan, et al, 2022; Xiao et al, 2020). Some of the findings are similar to recent literature (Cui & Maghyereh, 2023; Cunado et al, 2023; Zhang et al, 2023), who find that the US–China trade conflict, the European debt crisis and the global financial crisis have important impacts on the risk diffusion among different commodities.…”

Section: Empirical Findingssupporting

confidence: 90%

“…The existing studies found that commodities exhibit different characteristics and attributes across network layers (Cui & Maghyereh, 2023;Cunado et al, 2023). Hence, we examine the position and role of all commodities markets and 7 However, it is important to note that the spillover intensity is not the same on each volatility network layer.…”

Section: Market Level Analysesmentioning

confidence: 99%

“…The existing studies found that commodities exhibit different characteristics and attributes across network layers (Cui & Maghyereh, 2023; Cunado et al, 2023). Hence, we examine the position and role of all commodities markets and EPU from different perspectives, including closeness centrality and betweenness centrality (Qiao & Han, 2023).…”

Section: Empirical Findingsmentioning

confidence: 99%

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High–low volatility spillover network between economic policy uncertainty and commodity futures markets

Xiang,

Borjigin

2024

Journal of Futures Markets

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Based on the formation and evolution of systemic risk, we study the high‐low volatility spillovers between economic policy uncertainty (EPU) and commodity futures and identify the source of risk accumulation and risk outbreak, as well as the corresponding contagion mechanisms. Upon comparing topological characteristics on each volatility layer, our results demonstrate that high and low volatility spillover networks have different network characteristics and evolution behaviors. At the system level, high volatility spillovers are relatively stronger than spillovers in in low volatility network, while the risk propagation efficiency in the low volatility network is higher. At the market level, EPU is not only an important risk‐emitter but also a risk‐recipient most of the time. Additionally, compared with high volatility network, low volatility network characteristics have greater predictive ability for risk spillover among commodity futures, which means that it contains additional information and provides early warning signals for financial stress.

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Section: Empirical Findingssupporting

confidence: 90%

Section: Market Level Analysesmentioning

confidence: 99%

“…The existing studies found that commodities exhibit different characteristics and attributes across network layers (Cui & Maghyereh, 2023; Cunado et al, 2023). Hence, we examine the position and role of all commodities markets and EPU from different perspectives, including closeness centrality and betweenness centrality (Qiao & Han, 2023).…”

Section: Empirical Findingsmentioning

confidence: 99%

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