Investment portfolio performance can improve with the addition of alternative assets such as commodities or by using styles such as sector investing. How volatility is transmitted between individual commodities and specific industry sectors, however, is not well understood. The dynamics of volatility transmission matters for risk management and asset allocation, given increases in commodity-equity correlations. We investigate the dynamics of volatility transmission and connectedness over 1/1999-12/2016 using data on futures for crude oil, gold, copper and corn as well as six industry SPDRs (Standard and Poor's Depository Receipts). We find that Financials and Technology are consistently the strongest volatility transmitters, while Consumer Durables and commodities are usually net receivers. Gold and corn appear to be more insulated from volatility transmission. All sectors and assets show time variation in net volatility transmission. Most sectors and indexes show reversals of net volatility transmission during market downturns or financial crises.

投资组合的表现可以通过增加商品等替代资产或使用行业投资等方式来改善。然而，波动性如何在单个商品和特定行业部门之间传递尚不清楚。鉴于商品与股票相关性的增加，波动性传导的动态对风险管理和资产配置很重要。我们使用原油、黄金、铜和玉米期货以及六个行业 SPDR（标准普尔存托凭证）的数据，研究了 1/1999-12/2016 期间波动性传递和连通性的动态。我们发现金融和科技一直是最强的波动传递者，而耐用消费品和大宗商品通常是净接收者。黄金和玉米似乎更能避免波动性传导。所有部门和资产在净波动率传输中都显示出时间变化。大多数行业和指数在市场低迷或金融危机期间显示出净波动率传导的逆转。