Asymmetric and frequency-domain spillover effects among industrial metals, precious metals, and energy futures markets

We analyze asymmetric return spillovers in time and frequency domains across industrial and precious metals and energy futures markets using daily data for 18/05/2011–23/09/2020. Using the frameworks of Diebold and Yilmaz (2012) and Baruník and Krehlík (2018), we find that positive and negative spillover returns are symmetrical across analyzed markets, while being more pronounced during periods of economic turmoil or geopolitical unrest. Notable contributors of positive net spillovers are natural gas, diesel, zinc, and lead, while the most prominent negative net spillover receiver is gold. Findings will be of interest to investors, and portfolio managers.