Risk spillovers and diversification benefits between crude oil and agricultural commodity futures markets

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dc.authorid0000-0002-9216-5210en_US
dc.contributor.authorMensi, Walid
dc.contributor.authorRehman, Mobeen Ur
dc.contributor.authorGök, Remzi
dc.contributor.authorGemi̇ci̇, Eray
dc.contributor.authorVo, Xuan Vinh
dc.date.accessioned2024-11-07T12:40:50Z
dc.date.available2024-11-07T12:40:50Z
dc.date.issued2025en_US
dc.departmentDicle Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.description.abstractThis 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.en_US
dc.identifier.citationMensi, 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.en_US
dc.identifier.endpage22en_US
dc.identifier.issn0275-5319
dc.identifier.scopus2-s2.0-85204549113
dc.identifier.scopusqualityQ1
dc.identifier.startpage1en_US
dc.identifier.urihttps://www.sciencedirect.com/science/article/pii/S0275531924003726?via%3Dihub
dc.identifier.urihttps://hdl.handle.net/11468/28927
dc.identifier.volume73en_US
dc.identifier.wosWOS:001324332600001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorGök, Remzi
dc.language.isoenen_US
dc.publisherElsevier Ltd.en_US
dc.relation.ispartofResearch in International Business and Finance
dc.relation.isversionof10.1016/j.ribaf.2024.102579en_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectCommodity pricesen_US
dc.subjectCopulaen_US
dc.subjectDiversification benefitsen_US
dc.subjectSpilloversen_US
dc.titleRisk spillovers and diversification benefits between crude oil and agricultural commodity futures marketsen_US
dc.titleRisk spillovers and diversification benefits between crude oil and agricultural commodity futures markets
dc.typeArticleen_US

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