Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic

This study investigates the interconnection among several commodities in the advent of two well-known phenomena: the 2008 global financial crisis (GFC) and the COVID-19 pandemic. We use a daily return series for selected commodities: three base metals (copper, zinc, and lead), two benchmark crude oils (WTI and Brent), and gold. Three different methods have been considered to study interconnection: Multifractality, Network theory, and Wavelet coherences. By applying Detrending Moving-average Cross-correlation Analysis (DMCA) method, we witnessed an increase in cross-correlation in the higher time windows in most time series. Generally, we observe that the benchmark crude oils have the highest relationships, and then, in the following positions, we have the dependency among base metals (copper, lead, and zinc) and between the base metals and the crude oils. In the context of the Wavelet analysis, we notice that the significant fluctuations and changes in the extent of interconnections among data could be traced when the two crises occurred, particularly between October 2018 and April 2021, and in the frequency range of 4-128 days. This phenomenon indicates the role of the COVID-19 pandemic in creating a volatile situation in the commodity markets. The findings of this study have significant implications for investors, academic researchers, and policymakers.