Dynamic Linkages of Energy Commodities with Bullion and Metal Market: Evidence of Portfolio Hedging

This paper examines the dynamic linkages of volatility energy commodities with bullion and metal market. The proxies are crude oil natural gas; markets Gold, silver platinum copper zinc. We collect daily data extending from March 18, 2010, to January 15, 2021, a period for about 12 years employ Granger causality, Dynamic Conditional Correlation (DCC), Diebold Yilmaz (2012), Baruník & Křehlík (2018), Network analysis purpose examining spillover effect in considered. It is observed that there short-run spillovers (crude oil) (copper) while long-run linkage witnessed among all constituent series. Further, (2018) test reveals total connectedness seven series under study found be higher frequency 2 (6 days 15 days) than short run long run. Referring network analysis, negative correlations between each pair indices considered, i.e., silver, platinum, zinc, positive correlation Gold silver. In addition, we determine portfolio hedge ratios weights investors managers. Crude /Zinc had most expensive optimal ratio, Crude/Gold least hedging.