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Cogent Economics & Finance Volume 5, 2017 - Issue 1
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Research Article

Oil and non-energy commodity markets: An empirical analysis of volatility spillovers and hedging effectiveness

Anupam DuttaDepartment of Accounting & Finance, University of Vaasa, Vaasa, FinlandCorrespondence[email protected]
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&
Md Hasib NoorFaculty of Engineering, American International University Bangladesh, Dhaka, BangladeshView further author information
|
Mohammed M. ElgammalUniversity of Qatar, Qatar
(Reviewing Editor)
Article: 1324555 | Received 01 Oct 2016, Accepted 24 Apr 2017, Published online: 05 May 2017

Citations (13)

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Read on this site (1)

Curtis McKnight, Feng Qiu, Marty Luckert & Grant Hauer. (2023) Price volatility spillovers between Canadian and US, agricultural and fuel markets. Biofuels 14:1, pages 59-67.
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Articles from other publishers (12)

Houjian Li, Xinya Huang & Lili Guo. (2023) Extreme risk dependence and time-varying spillover between crude oil, commodity market and inflation in China. Energy Economics 127, pages 107090.
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Mutaju Isaack Marobhe & Jonathan Mukiza Peter Kansheba. (2023) High frequency volatility spillover between oil and non-energy commodities during crisis and tranquil periods. SN Business & Economics 3:4.
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Efe Caglar Cagli, Pinar Evrim Mandaci & Dilvin Taskin. (2023) The volatility connectedness between agricultural commodity and agri businesses: Evidence from time-varying extended joint approach. Finance Research Letters 52, pages 103555.
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Saqib Farid, Muhammad Abubakr Naeem, Andrea Paltrinieri & Rabindra Nepal. (2022) Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities. Energy Economics 109, pages 105962.
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Muhammad Abubakr Naeem, Mudassar Hasan, Muhammad Arif, Muhammad Tahir Suleman & Sang Hoon Kang. (2022) Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications. Energy Economics 105, pages 105758.
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Aviral Kumar Tiwari, Samia Nasreen, Subhan Ullah & Muhammad Shahbaz. (2020) Analysing spillover between returns and volatility series of oil across major stock markets. International Journal of Finance & Economics 26:2, pages 2458-2490.
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Massimiliano Caporin, Muhammad Abubakr Naeem, Muhammad Arif, Mudassar Hasan, Xuan Vinh Vo & Syed Jawad Hussain Shahzad. (2021) Asymmetric and time-frequency spillovers among commodities using high-frequency data. Resources Policy 70, pages 101958.
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Debasish Maitra, Kousik Guhathakurta & Sang Hoon Kang. (2021) The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications. Energy Economics 94, pages 105061.
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Abdullahi D. Ahmed & Rui Huo. (2021) Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China. Energy Economics 93, pages 104741.
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Aviral Kumar Tiwari, Samia Nasreen, Muhammad Shahbaz & Shawkat Hammoudeh. (2020) Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals. Energy Economics 85, pages 104529.
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Zaghum Umar, Samia Nasreen, Sakiru Adebola Solarin & Aviral Kumar Tiwari. (2019) Exploring the time and frequency domain connectedness of oil prices and metal prices. Resources Policy 64, pages 101516.
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Mobeen Ur Rehman, Elie Bouri, Veysel Eraslan & Satish Kumar. (2019) Energy and non-energy commodities: An asymmetric approach towards portfolio diversification in the commodity market. Resources Policy 63, pages 101456.
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