Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict

This paper investigates the higher-order moment risk connectedness between West Texas Intermediate (WTI) oil futures, Brent oil futures, Chinese oil futures and commodity futures (agricultural, industrial metals, and precious metals) before and during the COVID-19 pandemic and following the outbreak...

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Published inInternational review of financial analysis Vol. 86; p. 102520
Main Authors Cui, Jinxin, Maghyereh, Aktham
Format Journal Article
LanguageEnglish
Published Elsevier Inc 01.03.2023
Subjects
Hedge ratio
Higher-order moment risk connectedness
Minimum connectedness portfolio
Oil and commodity futures
Portfolio weights
Minimum connectedness portfolio
Oil and commodity futures
Higher-order moment risk connectedness
Portfolio weights
Hedge ratio
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Abstract This paper investigates the higher-order moment risk connectedness between West Texas Intermediate (WTI) oil futures, Brent oil futures, Chinese oil futures and commodity futures (agricultural, industrial metals, and precious metals) before and during the COVID-19 pandemic and following the outbreak of the Russia-Ukraine conflict, by combining ex-post moment measures and the novel time-varying parameter (TVP)-vector auto-regression (VAR)-based connectedness approach. Further, this paper depicts the dynamic overall and pairwise correlations between oil and commodity futures and constructs the hedging and optimal-weighted portfolio strategies using the DCC-GARCH t-Copula model. This paper also constructs the multivariate oil-commodity portfolio based on the newly proposed minimum connectedness portfolio approach and takes into account the higher-order moment risk connectedness. The empirical results demonstrate that the dynamic linkages between international oil and commodity futures are positive, time-varying, and have been greatly intensified by the outbreak of the 2018 China-US trade war, the 2020 COVID-19 pandemic, and the 2022 Russia-Ukraine conflict. The risk connectedness results are moment-dependent. The averaged total skewness and kurtosis spillovers are lower than the return and volatility connectedness. Brent (WTI) oil is the largest net transmitter of the return and volatility (skewness and kurtosis) risk spillovers. The dynamic total, net, and net-pairwise spillovers are all time-varying and highly reactive to major crises, especially the COVID-19 pandemic and the Russia-Ukraine conflict. Furthermore, the optimal-weighted portfolio shows a higher risk reduction than the hedging strategy. Finally, the minimum skewness connectedness portfolio shows relatively higher hedging effectiveness, while the minimum kurtosis connectedness portfolio offers the highest cumulative returns. •Linkages, spillovers, and investment strategies between oil and commodity futures are examined.•Higher-order moment risk connectedness is quantified using the TVP-VAR connectedness method.•Dynamic linkages are depicted based on the DECO and DCC-GARCH t-copula approaches.•Both bivariate and multivariate oil-commodity portfolios are constructed and examined.•Higher-order moment spillovers are considered in the minimum connectedness portfolios.
AbstractList This paper investigates the higher-order moment risk connectedness between West Texas Intermediate (WTI) oil futures, Brent oil futures, Chinese oil futures and commodity futures (agricultural, industrial metals, and precious metals) before and during the COVID-19 pandemic and following the outbreak of the Russia-Ukraine conflict, by combining ex-post moment measures and the novel time-varying parameter (TVP)-vector auto-regression (VAR)-based connectedness approach. Further, this paper depicts the dynamic overall and pairwise correlations between oil and commodity futures and constructs the hedging and optimal-weighted portfolio strategies using the DCC-GARCH t-Copula model. This paper also constructs the multivariate oil-commodity portfolio based on the newly proposed minimum connectedness portfolio approach and takes into account the higher-order moment risk connectedness. The empirical results demonstrate that the dynamic linkages between international oil and commodity futures are positive, time-varying, and have been greatly intensified by the outbreak of the 2018 China-US trade war, the 2020 COVID-19 pandemic, and the 2022 Russia-Ukraine conflict. The risk connectedness results are moment-dependent. The averaged total skewness and kurtosis spillovers are lower than the return and volatility connectedness. Brent (WTI) oil is the largest net transmitter of the return and volatility (skewness and kurtosis) risk spillovers. The dynamic total, net, and net-pairwise spillovers are all time-varying and highly reactive to major crises, especially the COVID-19 pandemic and the Russia-Ukraine conflict. Furthermore, the optimal-weighted portfolio shows a higher risk reduction than the hedging strategy. Finally, the minimum skewness connectedness portfolio shows relatively higher hedging effectiveness, while the minimum kurtosis connectedness portfolio offers the highest cumulative returns. •Linkages, spillovers, and investment strategies between oil and commodity futures are examined.•Higher-order moment risk connectedness is quantified using the TVP-VAR connectedness method.•Dynamic linkages are depicted based on the DECO and DCC-GARCH t-copula approaches.•Both bivariate and multivariate oil-commodity portfolios are constructed and examined.•Higher-order moment spillovers are considered in the minimum connectedness portfolios.
ArticleNumber 102520
Author Cui, Jinxin
Maghyereh, Aktham
Author_xml – sequence: 1
  givenname: Jinxin
  surname: Cui
  fullname: Cui, Jinxin
  email: jinxincui2022@mail.zjgsu.edu.cn
  organization: Collaborative Innovation Center of Statistical Data Engineering Technology & Application, Zhejiang Gongshang University, Hangzhou 310018, PR China
– sequence: 2
  givenname: Aktham
  surname: Maghyereh
  fullname: Maghyereh, Aktham
  email: a.almaghaireh@uaeu.ac.ae
  organization: Department of Accounting and Finance, United Arab Emirates University, United Arab Emirates
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Keywords Minimum connectedness portfolio
Oil and commodity futures
Higher-order moment risk connectedness
Portfolio weights
Hedge ratio
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Snippet This paper investigates the higher-order moment risk connectedness between West Texas Intermediate (WTI) oil futures, Brent oil futures, Chinese oil futures...
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SubjectTerms Hedge ratio
Higher-order moment risk connectedness
Minimum connectedness portfolio
Oil and commodity futures
Portfolio weights
Title Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict
URI https://dx.doi.org/10.1016/j.irfa.2023.102520
Volume 86
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