Jump to ContentJump to Main Navigation
CommoditiesMarkets, Performance, and Strategies$
Users without a subscription are not able to see the full content.

H. Kent Baker, Greg Filbeck, and Jeffrey H. Harris

Print publication date: 2018

Print ISBN-13: 9780190656010

Published to Oxford Scholarship Online: March 2018

DOI: 10.1093/oso/9780190656010.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 16 October 2021

Volatility Transmission across Commodity Futures Markets

Volatility Transmission across Commodity Futures Markets

(p.331) 18 Volatility Transmission across Commodity Futures Markets

Frankie Ho-Chi Chau

Oxford University Press

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.

Keywords:   commodity futures market, volatility spillover, financial crisis of 2007–2008

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .