This paper uses a novel dataset of Commodity-Linked Notes (CLNs) to examine the impact of the flows of financial investors on commodity futures prices. Investor flows into and out of CLNs are passed to and withdrawn from the futures markets via issuers' trades to hedge their CLN liabilities. The...

This study examined the risk connectedness and its asymmetric between oil, gold, and foreign exchange under the realized volatility, spillover index framework, and high-frequency data during the COVID-19 pandemic. It was found that: (1) At the beginning of the COVID-19 outbreak, the total...

This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be examined dynamically in the time and frequency domains....