Risk spillovers and diversification benefits between crude oil and agricultural commodity futures markets
Yükleniyor...
Tarih
2025
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Ltd.
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This study examines the dependence structure and risk spillovers between crude oil and eight major agricultural futures (wheat, corn, soybean coffee, cotton, lumber, cocoa, and live cattle) markets. It also analyzes the potential conditional diversification benefits using a variety of copula functions and Conditional Value at Risk (CoVaR) measure. The results show significant crisis-sensitive and temporal dependence between oil and agricultural markets. Moreover, crude oil shows a symmetric tail dependence with both wheat, corn, soybeans, and cotton futures, whereas oil exhibits an average dependence with coffee. A strong dependence is observed between oil and cocoa (lumber) during bearish (bullish) market conditions. Oil and Live cattle have a symmetric dependence during bearish and bullish market conditions. On the other hand, we find asymmetric and bidirectional risk spillovers from oil to agricultural markets. Furthermore, the wheat futures contract appears to be the most dominating and vulnerable asset to oil price shocks, followed by lumber and corn futures, respectively, while the live cattle contracts are the least. Finally, an equally weighted portfolio offers the highest diversification benefits at a 5 % expected shortfall.
Açıklama
Anahtar Kelimeler
Commodity prices, Copula, Diversification benefits, Spillovers
Kaynak
Research in International Business and Finance
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
73
Sayı
Künye
Mensi, W., Rehman, M. U., Gök, R., Gemici, E. ve Vo, X. V. (2025). Risk spillovers and diversification benefits between crude oil and agricultural commodity futures markets. Research in International Business and Finance, 73, 1-22.
