Publication Type

Journal Article

Version

publishedVersion

Publication Date

9-2025

Abstract

This study examines the risk premia-return spillovers of eight commodities (corn, soybean, wheat, copper, silver, gold, oil, and natural gas) and the U.S. equity market from 2008 to 2016. We define volatility, skewness, and kurtosis risk premia as the difference between implied and realized moments. Our results reveal an increasing trend in cross-market and cross-moment spillovers until mid-2012, with various announcements explaining these effects. Moreover, we document substantial cross-energy and cross-metal spillovers to the equity market and cross-return spillovers to risk premia. Higher-order risk premia also exhibit the highest effects on returns. In addition, we underline the prominent influence of the metal sector on the grain and energy commodity sectors. Finally, we demonstrate that investors can create profitable trading strategies, especially on skewness risk premia, by accounting for the cross-market and -moment spillovers.

Keywords

Kurtosis, Return, Risk premium, Risk-neutral, Skewness, Volatility

Discipline

Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Finance

Publication

International Review of Economics & Finance

Volume

102

First Page

1

Last Page

22

ISSN

1059-0560

Identifier

10.1016/j.iref.2025.104169

Publisher

Elsevier

Copyright Owner and License

Authors-CC-NC-ND

Additional URL

https://doi.org/10.1016/j.iref.2025.104169

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