Table 5.
Summary of causality in quantiles from commodity to BDI
| Bearish | Normal | Bullish | ||
|---|---|---|---|---|
| Iron ore | Mean | Bidirectional | Bidirectional | Bidirectional |
| Variance | Bidirectional | Bidirectional | Bidirectional | |
| Aluminum | Mean | Unidirectional | Unidirectional | Bidirectional |
| Variance | Unidirectional | Bidirectional | Bidirectional | |
| Coal | Mean | Bidirectional | Bidirectional | Bidirectional |
| Variance | Bidirectional | Bidirectional | Bidirectional | |
| Copper | Mean | Unidirectional | Unidirectional | Bidirectional |
| Variance | Unidirectional | Bidirectional | Bidirectional | |
| Soybean | Mean | Unidirectional | Unidirectional | Unidirectional |
| Variance | Unidirectional | Unidirectional | Unidirectional | |
| Wheat | Mean | Unidirectional | Bidirectional | Unidirectional |
| Variance | Unidirectional | Unidirectional | Bidirectional | |
| Corn | Mean | Unidirectional | Bidirectional | Unidirectional |
| Variance | Unidirectional | Bidirectional | Bidirectional | |
| Cotton | Mean | Unidirectional | Bidirectional | Unidirectional |
| Variance | Unidirectional | Bidirectional | Bidirectional |
Note: A) For mean: unidirectional: causality from commodity to BDI; bidirectional: commodity and BDI causing each other
B) For variance: unidirectional: causality from commodity returns to BDI variance; bidirectional: commodity and BDI returns causing each other variance