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DOI: https://doi.org/10.21203/rs.3.rs-75766/v1
This paper explores the dynamic return and volatility connectedness for the three most relevant agricultural commodity markets (Soft, Grain and Livestock) and the Coronavirus Media Coverage Index (MCI) extracted from RavenPack. In concrete, we apply the fresh TVP-VAR methodology proposed by Antonakakis and Gabauer (2017) during the sample period between January 22, 2020 and July 31, 2020, that is in the context of the COVID-19 pandemic crisis. Interesting results are found in this research. First, dynamic total return and volatility connectedness fluctuates over time, reaching a peak during the heart of the global pandemic crisis, initially in the dynamic total return connectedness and later in the volatility one. Second, in the dynamic connectedness TO the system, we observe significant differences between the agricultural commodity markets in the level of the return connectedness measure. However, in the dynamic volatility connectedness TO, there are very few differences between some elements of the system, highlighting the Coronavirus MCI as one of the major transmitters TO the system at some points in the sample. This Coronavirus MCI appears as the less relevant receiver FROM the system, not only in terms of dynamic return connectedness, but also in volatility. Finally, regarding the net dynamic total connectedness, the Coronavirus MCI shows the highest values in return and volatility. Next, in order of highest to lowest net dynamic return and volatility connectedness we find the Grain commodity market, then the Soft market and finally the Livestock market. This last commodity market shows a negative net dynamic connectedness throughout the entire sample period analysed, exhibiting negative peaks in return at the beginning of the pandemic’s epicentre and in volatility in the middle of the COVID-19 crisis.
This preprint is available for download as a PDF.
DATA AVAILABILITY STATEMENT
The datasets used and/or analysed during the current study are available from the corresponding author on reasonable request.
COMPETING INTERESTS
The authors declare that they have no competing interests.
FUNDING
This work was supported by the Spanish Ministerio de Economía, Industria y Competitividad
(ECO2017-89715-P).
AUTHORS' CONTRIBUTIONS
Zaghum Umar (ZU): Conceptualization, Data curation, Methodology, Software, Supervision.
Francisco Jareño (FJ): Visualization, Investigation, Writing- Original draft preparation, Validation, Writing- Reviewing and Editing, Funding acquisition, Formal analysis.
Ana M. Escribano (AME): Visualization, Investigation, Writing- Original draft preparation, Validation, Writing- Reviewing and Editing, Funding acquisition, Formal analysis.