Ahmed, H.; Aslam, F.; Ferreira, P. Navigating Choppy Waters: Interplay between Financial Stress and Commodity Market Indices. Fractal Fract.2024, 8, 96.
Ahmed, H.; Aslam, F.; Ferreira, P. Navigating Choppy Waters: Interplay between Financial Stress and Commodity Market Indices. Fractal Fract. 2024, 8, 96.
Ahmed, H.; Aslam, F.; Ferreira, P. Navigating Choppy Waters: Interplay between Financial Stress and Commodity Market Indices. Fractal Fract.2024, 8, 96.
Ahmed, H.; Aslam, F.; Ferreira, P. Navigating Choppy Waters: Interplay between Financial Stress and Commodity Market Indices. Fractal Fract. 2024, 8, 96.
Abstract
Financial stress can have significant implications for individuals, businesses, asset prices and the economy as a whole. This study examines the nonlinear structure and dynamic changes in the multifractal behavior of cross-correlation between the financial stress index (FSI) and four well-known commodity indices, namely Commodity Research Bureau Index (CRBI), Baltic Dry Index (BDI), London Metal Index (LME) and Brent Oil prices (BROIL), using multifractal detrended cross correlation analysis (MFDCCA). For analysis, we utilized daily values of FSI and commodity index prices from 16th June 2016 to 9th July 2023. The following are the most important empirical findings: (I) All of the chosen commodity market indices show cross correlations with the FSI and have notable multifractal characteristics. (II) The presence of power law cross-correlation implies that a noteworthy shift in FSI is likely to coincide with a considerable shift in the commodity indices. (III) The multifractal cross-correlation is highest between FSI and Brent Oil (BROIL) and lowest with LME. (IV) The rolling windows analysis reveals a varying degree of persistency between FSI and commodity markets. The findings of this study have a number of important implications for commodity market investors and policymakers.
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
