The Impact of Uncertainty Indices on The Spillover Effects in The Global Commodity Market
DOI:
https://doi.org/10.62051/qf0jcx79Keywords:
commodity markets; uncertainty factors.Abstract
To explore the spillover relationships among commodity markets and the impacts of uncertainty index variables thereon, this paper employs the DY spillover approach to investigate the mean spillover effects across 10 sub-sectors of the commodity market. Additionally, 8 uncertainty index variables are selected for regression analysis based on the AR model, aiming to examine how these uncertainty indices affect the mean spillovers among commodity markets. The empirical findings are as follows: first, the oil and meals sector acts as the primary risk transmitter in the commodity market, with the largest net spillover index value, thus making the most significant contribution to market interconnectedness; second, only the VIX exerts a statistically significant positive impact on the commodity market. This phenomenon may be attributed to the fact that a rise in the panic index could trigger speculative sentiment, prompting investors to engage in short-term trading or speculative activities. Consequently, such behaviors would lead to an increase in trading volume and severe price fluctuations in the commodity market.
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