Comovement and contagion in commodity markets

Autor:	Dony Abdul Chalid, Rangga Handika
Jazyk:	angličtina
Rok vydání:	2022
Předmět:	Commodity markets Correlation Comovement Contagion Multinomial logit Finance HG1-9999 Economic theory. Demography HB1-3840
Zdroj:	Cogent Economics & Finance, Vol 10, Iss 1 (2022)
Druh dokumentu:	article
ISSN:	23322039 2332-2039
DOI:	10.1080/23322039.2022.2064079
Popis:	This article investigates comovement and contagions in the commodities markets. We examine the comovement by analyzing the unconditional correlation coefficients. We document that commodities tend to partially integrate. We perform contagion tests by identifying coexceedances and estimating multinomial logit to explain the joint occurrence of those coexceedances. We document that commodities price changes tend to affect the probability of both positive and negative coexceedances. Overall, we conclude that there are comovement and contagions among commodities. However, the degrees of comovement and contagion are different among commodities and between positive and negative extreme returns. The contagion among commodities is asymmetric.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/913bcb44136d4c5a8fd728f1db719bca Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
Nepřihlášeným uživatelům se plný text nezobrazuje	K zobrazení výsledku je třeba se přihlásit.