Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities

With many studies highlighting the heterogeneous impact of the COVID-19 pandemic on different commodity \r\nmarkets, this study provides evidence of quantile connectedness between energy, metals, and agriculture commodity markets before and during the COVID-19 outbreak. Since mean-based measures of connectedness are not \r\nnecessarily suitable to measure connectedness in the crisis period, especially in the tails of the return distribution, \r\nthus in this study, we use the newly developed approach of quantile-based connectedness. The full-sample \r\nanalysis results show that return shocks only propagate within the energy commodity group. The findings \r\nmanifest that transmission of return spillovers is stronger in the left and right tails of the conditional return \r\ndistribution. In addition, the results unveil that degree of tail-dependence between energy, metals, and agriculture commodities are time-varying. Meanwhile, our sub-sample analysis clearly shows that the commodity \r\nmarket return connectedness demonstrates a significant shift over time due to COVID-19 shocks. There is evidence of strong transmission of return shocks between energy, metals, and agriculture commodities during the \r\nCOVID-19 fiasco. Finally, the results also illustrate that softs and livestock commodities hold significant diversification benefits for energy market investors.