This article investigates comovement and contagions in the commodities markets. We examine the comovement by analyzing the unconditional correlation coefficients. We document that commodities tend to partially integrate. We perform contagion tests by identifying coexceedances and estimating...

Purpose: This paper aims to investigate whether the best statistical model also corresponds to the best empirical performance in the volatility modeling of financialized commodity markets. Design/methodology/approach: The authors use various p and q values in Value-at-Risk (VaR) GARCH(p, q)...

Purpose: This paper investigates whether individual investors are attentive to stock splits and whether higher split ratios (stronger private information signals) reduce the disposition effect. Design/methodology/approach: This study employs stock split events and transaction data in the...

This article investigates comovement and contagions in the commodities markets. We examine the comovement by analyzing the unconditional correlation coefficients. We document that commodities tend to partially integrate. We perform contagion tests by identifying coexceedances and estimating...