Return and volatility spillovers between fossil oil and seafood commodity markets

Akram Shavkatovich Hasanov, Walid Mensi, Yessengali Oskenbayev

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Abstract

This paper examines the return and volatility transmission between the fossil oil market and two mostly traded seafood commodity markets of salmon and shrimp. A unique feature of these markets is that biofuel feedstocks are used as essential feed ingredients in seafood production. The empirical analysis relies on a relatively new econometric method which exploits a bivariate version of nondiagonal GARCH model that allows for an asymmetry in the variance-covariance matrix. This study considers a multivariate t distribution in the maximum likelihood estimations by taking into account the tail properties of returns. The results identify significant price change and volatility transmissions from fossil oil markets to salmon markets. In contrast, the information transmission from crude oil price returns to shrimp price changes appears to be more prevalent than the variance transmission.

Original languageEnglish
Title of host publicationEnergy-Growth Nexus in an Era of Globalization
EditorsMuhammad Shahbaz, Aviral Kumar Tiwari, Avik Sinha
Place of PublicationAmsterdam Netherlands
PublisherElsevier
Chapter4
Pages87-104
Number of pages18
Edition1st
ISBN (Electronic)9780128244418
ISBN (Print)9780128244401
DOIs
Publication statusPublished - 2022

Keywords

  • Asymmetric multivariate GARCH model
  • Energy oil market
  • Q11 Q22 Q49
  • Return and variance transmissions
  • Seafood commodities
  • Spillover effects

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