Dynamic co-movement in major commodity markets during crisis periods: A wavelet local multiple correlation analysis.

• Study of the co-movement in timescales across oil, gold, wheat, and copper. • Applying WLMC and considering recent crisis periods. • Correlations vary over timescales in a multivariate setting for both returns and implied volatility. • A stronger market integration is noted in the long-term than the short-term, reflecting the long-term cyclical behaviour of commodity prices. • Return and implied volatility of crude oil and gold dominate during crisis periods. We study time-scale co-movement of returns and implied volatilities of oil, gold, wheat, and copper in a multivariate setting using the wavelet local multiple correlation (WLMC) approach. Daily data cover January 03, 2007 – August 08, 2022, including the global financial crisis, COVID-19 pandemic, and Russia-Ukraine war. The results show that the correlations across the commodities are heterogeneous, less stable in the short-term, and more pronounced in the long-term, and vary in sign and magnitude. Despite market instability, contagion is not clearly seen in either return or volatility, reflecting noise trading and the importance of the individual characteristics of commodities. [ABSTRACT FROM AUTHOR]