Quantile connectedness of the Chinese commodity sectors

Abstract

ABSTRACTThis article employs the QVAR model to investigate the return spillovers of China’s commodity sectors. Our results show that the total connectedness in extreme markets is significantly higher and increases as the size of the shock increases. Livestock has changed from a risk contributor to a risk recipient due to the low or even negative tail correlation in extreme markets. These findings can help prevent systemic risks for policymakers and re-optimize the portfolios to reduce tail losses for investors in extreme markets.