Ahmed H. Elsayed , Giray Gozgor , Rabeh Khalfaoui , Salma Tarchella
{"title":"Impact of supply chain pressure on traditional energy and metal markets: A Wavelet-based Quantile-on-Quantile perspective","authors":"Ahmed H. Elsayed , Giray Gozgor , Rabeh Khalfaoui , Salma Tarchella","doi":"10.1016/j.jcomm.2025.100472","DOIUrl":"10.1016/j.jcomm.2025.100472","url":null,"abstract":"<div><div>This paper investigates the impact of the global supply chain pressure and geopolitical tensions on prominent energy and metals markets using data from January 1998 to April 2023. To this end, the study adopts Wavelet-based Quantile-on-Quantile estimations to scrutinise the time-varying nature of the relationships over the sample period and under different market conditions. The results reveal that the global supply chain pressure predicts commodity returns across various time horizons and quantiles, particularly during extreme supply chain pressures. Conversely, the impacts of geopolitical risks are more pronounced in the short- and mid-term, suggesting investors adjust energy and metal investments accordingly. The paper also indicates that commodities can play a dual role as investment and diversification assets, offering a hedge against global supply chain disruptions and geopolitical events. These findings contribute valuable insights into risk management, investment strategies, and policymakers' decision-making processes.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100472"},"PeriodicalIF":3.7,"publicationDate":"2025-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143684301","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Financial investors and cross-commodity markets integration","authors":"Mohammad Isleimeyyeh","doi":"10.1016/j.jcomm.2025.100461","DOIUrl":"10.1016/j.jcomm.2025.100461","url":null,"abstract":"<div><div>This article presents a model for investigating the linkages between commodity markets arising from the operation of financial investors. The model thus examines the interactions of the physical and futures markets of one commodity with those of another commodity. The framework allows the various prices (current spot, future spot, futures prices), quantities (inventory and committed demand by processors), and futures risk premiums for two commodities to be computed, thereby enabling the price relations for any two commodities to be analyzed. Through comparative statics, I identify (i) the impact of supply and demand shocks and (ii) financialization on commodity markets. Furthermore, the model demonstrates the role of cross-commodity correlation in determining the integration between commodity markets.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100461"},"PeriodicalIF":3.7,"publicationDate":"2025-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143684303","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Lanyong Yang , Yongguang Zhu , Junhui Li , Shiquan Dou , Gang Liu , Deyi Xu
{"title":"The midstream amplifier: Risk spillovers in China's lithium supply chain from mining to batteries","authors":"Lanyong Yang , Yongguang Zhu , Junhui Li , Shiquan Dou , Gang Liu , Deyi Xu","doi":"10.1016/j.jcomm.2025.100471","DOIUrl":"10.1016/j.jcomm.2025.100471","url":null,"abstract":"<div><div>The global energy transition has significantly increased the demand for lithium resources, raising market concerns about the stability of the global lithium supply chain. Understanding the relationships among different commodities within this supply chain is crucial for managing associated risks. In this study, we apply a time-varying parameter vector autoregression model to investigate the spillover effects and dynamic dependency of price volatility across the lithium supply chain. Our results reveal a high degree of systemic risk among lithium supply chains. Specifically, the risk spillover from the midstream segment to the upstream segment is the strongest and increasing, while the risk spillover to the downstream segment is the weakest and showing a downward trend. Additionally, the midstream serves as the primary net transmitter of price shocks, whereas the upstream and downstream segments more often act as net receivers. We identify two main pathways for the spillover of price shocks: one from the midstream to the upstream and then to the downstream, and another directly from the midstream to the downstream. These findings are important for mitigating the accumulation of risks within the lithium supply chain.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100471"},"PeriodicalIF":3.7,"publicationDate":"2025-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143684302","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Examining perceived spillovers among climate risk, fossil fuel, renewable energy, and carbon markets: A higher-order moment and quantile analysis","authors":"Jinxin Cui , Aktham Maghyereh","doi":"10.1016/j.jcomm.2025.100470","DOIUrl":"10.1016/j.jcomm.2025.100470","url":null,"abstract":"<div><div>The complex risks of global climate change and the transition to a sustainable economy have increasingly become central to research and policy debates. Climate risk perceptions influence fossil fuel, renewable energy, and carbon markets through both investment behavior and regulatory policy channels. Understanding the spillovers between climate risk perceptions and commodity markets has profound implications for sustainable investments and risk management strategies. This paper extends the existing literature by examining higher-order moment risk spillovers among perceptions of climate physical risks (CPR) and transition risks (CTR), fossil fuel, renewable energy, and carbon markets across different quantiles. Furthermore, this paper also proposes an analytical framework that integrates ex-post moment measures with an innovative QVAR extended joint connectedness approach. Our empirical analysis reveals that the connectedness outcomes are contingent upon moment orders and specific quantile levels. Notably, total spillovers are markedly higher at the extreme quantiles (especially at the 0.95 quantile) compared to the median quantile. Importantly, CPRI and CTRI serve as net transmitters of spillovers at the 0.05 and 0.95 quantiles but shift to being net recipients under normal market conditions. The directional net spillovers transmitted from climate risk perceptions to energy and carbon markets are more pronounced and consistent at the extreme higher and lower quantiles. Finally, we find that dynamic total spillovers of skewness and kurtosis at extreme quantiles are more volatile than at the median, with significant sensitivity to major events such as the COVID-19 pandemic, the Russia-Ukraine war, the Israel-Hamas war, extreme climate disasters, and the United Nations Climate Change Conferences.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100470"},"PeriodicalIF":3.7,"publicationDate":"2025-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143637289","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets","authors":"Menelaos Karanasos , Stavroula Yfanti , Jiaying Wu","doi":"10.1016/j.jcomm.2025.100462","DOIUrl":"10.1016/j.jcomm.2025.100462","url":null,"abstract":"<div><div>We study the dynamic interdependence between stocks, a risky and financial ‘by definition’ asset class, and the ‘financialised’ assets from the real estate and commodity markets. We first introduce a new multivariate corrected Dynamic Conditional Correlations Mixed-Data Sampling (cDCC-MIDAS) model through which we analyse short- and long-run time-varying correlation dynamics among stocks, real estate, and five commodity types with direct implications for risk management and portfolio optimisation. The correlation analysis identifies short- and long-run hedging properties and interdependence types and concludes on strong countercyclical cross-asset interlinkages, highly dependent on the state of the economy in most cases (contagion effects) and weak procyclical connectedness for certain safe-haven assets (flight-to-quality). We further investigate the macro-relevance and crisis-vulnerability of the correlations’ evolution by unveiling the macro-determinants of asset co-movements. The economic environment plays a key role as a contagion or flight-to-quality transmitter, outweighing the effects of economic linkages among assets, while the uncertainty channel intensifies the macro impact on the cross-asset nexus.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100462"},"PeriodicalIF":3.7,"publicationDate":"2025-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143529697","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Xingyu Dai , Imran Yousaf , Jiqian Wang , Qunwei Wang , Chi Keung Marco Lau
{"title":"The pass-through of macro variable to volatility co-movement among U.S. currency and commodity futures markets system","authors":"Xingyu Dai , Imran Yousaf , Jiqian Wang , Qunwei Wang , Chi Keung Marco Lau","doi":"10.1016/j.jcomm.2025.100463","DOIUrl":"10.1016/j.jcomm.2025.100463","url":null,"abstract":"<div><div>This paper explores how the U.S. macro variable influences volatility co-movement in currency and commodity futures markets system. It does this by using the Dynamic Equicorrelation-Mixed Data Sampling-X model, and then calculating the daily realized volatility (RV), good volatility (GV), and bad volatility (BV) of 22 futures using 5-min high-frequency data. The Hodrick-Prescott filter method is applied to compute the raw, cycle, and trend components of the news for 17 macro variables and 4 principal components of these macro variables. There are three key study findings. First, the raw component of monetary policy uncertainty is the best fit for RV co-movement, while the raw component of trade policy uncertainty is the best fit for GV and BV co-movement. Second, almost all macro variables show that the trend component news do not affect volatility co-movement. Finally, the duration of the impact of macro variables exceeds 4 months, while the influence of raw news on BV co-movement is generally shorter. The macro variable information also helps currency and commodity futures investors to make global minimum variance portfolio optimization.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100463"},"PeriodicalIF":3.7,"publicationDate":"2025-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143529765","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Media emotion intensity and commodity futures pricing","authors":"Yeguang Chi, Lina El-Jahel, Thanh Vu","doi":"10.1016/j.jcomm.2025.100460","DOIUrl":"10.1016/j.jcomm.2025.100460","url":null,"abstract":"<div><div>This study investigates the impact of media emotion intensity on commodities futures returns. Emotion intensity measures the proportion of emotional content relative to factual content in media news. The media emotion intensity factor generates an annual premium of 13% after transaction cost. This premium is more pronounced for commodities with low media coverage, high momentum, high basis-momentum, high hedging pressure, and backwardation. Emotion intensity significantly predicts the trading tendencies of both commercial and non-commercial traders and the cross-section of commodity futures returns at both portfolio and individual levels. We also find that media emotion intensity predicts future commodities’ sentiment. Further, other commonly considered risk sources cannot subsume the predictability of the media emotion intensity factor.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"37 ","pages":"Article 100460"},"PeriodicalIF":3.7,"publicationDate":"2025-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143422660","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Iris Li , Erdinc Akyildirim , Thomas Conlon , Shaen Corbet
{"title":"Corporate reputational dynamics and their impact on global commodity markets","authors":"Iris Li , Erdinc Akyildirim , Thomas Conlon , Shaen Corbet","doi":"10.1016/j.jcomm.2025.100459","DOIUrl":"10.1016/j.jcomm.2025.100459","url":null,"abstract":"<div><div>This research examines investor response to negative Environmental, Social, and Governance (ESG) reputational events across international commodity-related corporations. By distinguishing between G7 and non-G7 nations, we highlight a negative equity market response to such ESG-related reputational events, emphasising the influence of regional, governance and environmental factors alongside corporate reporting practices. The research further assesses the potential of corporate ESG preparedness in mitigating negative market outcomes. It also identifies commodities such as wheat, rice, and cocoa to be notably susceptible to reputational dynamics, whereas commodity markets such as oil and gold present evidence of marked resilience. The findings emphasise the importance of sector-specific regulatory approaches to ensure rigorous governance standards, especially in essential food production sectors.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"37 ","pages":"Article 100459"},"PeriodicalIF":3.7,"publicationDate":"2025-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143377910","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A quantitative model of sustainability risk in finance","authors":"Takashi Kanamura","doi":"10.1016/j.jcomm.2025.100457","DOIUrl":"10.1016/j.jcomm.2025.100457","url":null,"abstract":"<div><div>We aim to formulate sustainability risk (Srisk) quantitatively in finance for the first time and validate the formulation by conducting empirical analyses. Applying the general sustainability concept to finance supported by existing studies proposes a new financial and quantitative model of Srisk defined by the price differences between sustainable and conventional assets and characterized by mean-reversion, cyclicity, and diversification effects on market risk. Then, the parameter estimation results of the model using ESG and the corresponding stock indexes confirm these three characteristics and indicate the convergence of expected returns of ESG indexes over stock indexes, resulting in the feasibility of securing returns in the pairs trading. Finally, we discuss the model’s robustness regarding Srisk’s three characteristics and the regime-switching of Srisk’s mean-reversion due to fundamental shifts by conducting econometric analyses of sustainable asset prices.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"37 ","pages":"Article 100457"},"PeriodicalIF":3.7,"publicationDate":"2025-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143181347","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Do different speculation strategies cause distinct impacts on the volatility of the live cattle futures in Brazil?","authors":"Augusto Seabra Santos, Alexandre Nunes Almeida","doi":"10.1016/j.jcomm.2025.100458","DOIUrl":"10.1016/j.jcomm.2025.100458","url":null,"abstract":"<div><div>This study explores the relationship between speculators and the volatility of live cattle futures in Brazil, focusing on two distinct categories of speculation: day traders (and scalpers) and institutional investors. Analyzing the nearest and October contracts from 2006 to 2019, the research employs the ARIMA-GARCH methodology to estimate volatilities. Additional analyses are conducted to estimate the expected and unexpected effects of speculators on the previously determined volatility levels. Our findings indicate that day trader speculators heighten the volatility of contracts nearing expiration, primarily due to their unexpected actions and limited market information usage. They tend to buy high and sell low. In contrast, institutional investors, with access to more comprehensive information, have a moderate influence on volatility, capable of strategically maneuvering market distortions. The accuracy of the conclusions is strengthened by robustness and placebo tests.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"37 ","pages":"Article 100458"},"PeriodicalIF":3.7,"publicationDate":"2025-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143181346","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}