Financial contagion in the futures markets amidst global geo-economic events

Zainudin, Ahmad Danial and Mohamad, Azhar (2021) Financial contagion in the futures markets amidst global geo-economic events. The Quarterly Review of Economics and Finance, 81. pp. 288-308. ISSN 1062-9769

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Abstract

This paper examines the occurrence of financial contagion in the futures markets, amidst global geo-economic events, for the period of 2010–2020. Our dataset consists of 40 pairs of futures contracts and underlying spots covering agricultural, energy, stock index, and metal futures. We apply the WaveletCorrelation Breakdown test to observe any abrupt changes in spot-futures correlation before and after2010. We then use the spectrogram by Wavelet Power and Energy Spectrum to approximate the duration of spot and futures volatility caused by the financial contagion. The Wavelet Correlation Breakdown tests results confirm the existence of financial contagion in the futures markets. Based on Wavelet Power and energy analysis’s spectrogram, we also find that the contagion in the futures markets during global geo-economic events typically lasts about two months.

Item Type:	Article (Journal)
Uncontrolled Keywords:	Financial contagion; Futures; Correlation breakdown test; Volatility; Wavelet.
Subjects:	H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences > Department of Finance
Depositing User:	Dr Azhar Mohamad
Date Deposited:	22 Jul 2021 23:07
Last Modified:	22 Jul 2021 23:07
URI:	http://irep.iium.edu.my/id/eprint/90967

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