Volatility Spillovers among the Major Commodities: A Review

Melas, Konstantinos D.; Faitatzoglou, Anastasia; Michail, Nektarios A.; Artemiou, Anastasia

doi:10.3390/jrfm17080365

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Volatility Spillovers among the Major Commodities: A Review

by

Konstantinos D. Melas

^1,2,3,*

,

Anastasia Faitatzoglou

¹,

Nektarios A. Michail

⁴

and

Anastasia Artemiou

¹

Faculty of Business and Economics, Metropolitan College, 541 24 Thessaloniki, Greece

²

Department of Economics, University of Western Macedonia, 521 00 Kastoria, Greece

³

Department of Economics, University of Macedonia, 546 36 Thessaloniki, Greece

⁴

Economic Analysis and Research Department, Central Bank of Cyprus & School of Economics and Business, Cyprus University of Technology, Limassol 3036, Cyprus

^*

Author to whom correspondence should be addressed.

J. Risk Financial Manag. 2024, 17(8), 365; https://doi.org/10.3390/jrfm17080365

Submission received: 1 May 2024 / Revised: 8 August 2024 / Accepted: 12 August 2024 / Published: 15 August 2024

(This article belongs to the Special Issue Commodity Market Analysis)

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Abstract

The integration of commodities into stock exchanges marked a pivotal moment in the analysis of price dynamics. Commodities are essential for both daily sustenance and industrial processes and are separated into hard commodities, like metals, and soft commodities, such as agricultural produce. This paper provides a review of the relevant literature concerning the implications of commodity price volatility on commercial and financial landscapes, recognizing its profound impact on global economies. Drawing from Google Scholar and Science Direct, we analyze trends in academic publications until 2022, particularly focusing on the interplay between volatility spillover and ten different commodities, providing insights into the evolution of research paradigms over time. In a nutshell, the literature suggests that relationships between hard commodities are stronger since, in addition to being raw materials, they also serve as investment products. For the same reason, relationships between agricultural products appear to be relatively weaker.

Keywords: volatility spillover; gold; silver; aluminum; copper; platinum; oil; gas; soybeans; corn; wheat

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MDPI and ACS Style

Melas, K.D.; Faitatzoglou, A.; Michail, N.A.; Artemiou, A. Volatility Spillovers among the Major Commodities: A Review. J. Risk Financial Manag. 2024, 17, 365. https://doi.org/10.3390/jrfm17080365

AMA Style

Melas KD, Faitatzoglou A, Michail NA, Artemiou A. Volatility Spillovers among the Major Commodities: A Review. Journal of Risk and Financial Management. 2024; 17(8):365. https://doi.org/10.3390/jrfm17080365

Chicago/Turabian Style

Melas, Konstantinos D., Anastasia Faitatzoglou, Nektarios A. Michail, and Anastasia Artemiou. 2024. "Volatility Spillovers among the Major Commodities: A Review" Journal of Risk and Financial Management 17, no. 8: 365. https://doi.org/10.3390/jrfm17080365

APA Style

Melas, K. D., Faitatzoglou, A., Michail, N. A., & Artemiou, A. (2024). Volatility Spillovers among the Major Commodities: A Review. Journal of Risk and Financial Management, 17(8), 365. https://doi.org/10.3390/jrfm17080365

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Volatility Spillovers among the Major Commodities: A Review

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