Journal of Commodity Markets最新文献_第10页

Estimation of value at risk for copper 估计铜的风险价值

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-08-18 DOI: 10.1016/j.jcomm.2023.100351

Konstantinos Gkillas , Christoforos Konstantatos , Spyros Papathanasiou , Mark Wohar

引用次数: 0

A Bayesian perspective on commodity style integration 商品风格整合的贝叶斯视角

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2023.100328

Ana-Maria Fuertes , Nan Zhao

引用次数: 0

Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective 全球石油市场的时频依赖性和连通性：来自高阶矩视角的新证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2023.100323

Jinxin Cui , Aktham Maghyereh

{"title":"Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective","authors":"Jinxin Cui , Aktham Maghyereh","doi":"10.1016/j.jcomm.2023.100323","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100323","url":null,"abstract":"<div><p>Investigating the dependence and connectedness among global oil markets is of great significance for cross-market investors and regulators. However, most of the existing studies are confined to lower-order moments and the time domain. This paper is the first to examine the time-frequency dependence and connectedness among global oil markets from the higher-order moment perspective by applying the wavelet coherence method and the newly proposed time-varying parameter vector autoregression-based frequency connectedness approach. The empirical results demonstrate that higher-order moment dependence among oil markets is weaker than return and volatility dependence. In general, Dubai, Minas, and Tapis oil exhibit relatively higher wavelet coherence with Daqing oil at all moments. The lead-lag relationships are heterogeneous during most sample intervals. The total return and volatility connectedness indices are higher than the skewness and kurtosis. The return connectedness mainly occurs in the short term (1–5 days) whereas the volatility, skewness, and kurtosis connectedness occur in the long run (22-Inf days). West Texas Intermediate oil dominates the return, volatility, and skewness connectedness network while Dubai oil dominates the kurtosis connectedness network. Furthermore, the dynamic total, net, and net-pairwise connectedness indices are all time-varying and event-dependent with the higher-order moment connectedness illustrating more volatile features. Several practical implications are provided for various market agents.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"30 ","pages":"Article 100323"},"PeriodicalIF":4.2,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50197071","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}

引用次数: 4

Effects of global liquidity and commodity market shocks in a commodity-exporting developing economy 全球流动性和商品市场冲击对出口商品的发展中经济体的影响

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2023.100332

Gan-Ochir Doojav, Davaajargal Luvsannyam, Elbegjargal Enkh-Amgalan

引用次数: 0

The asymmetric impact of global economic policy uncertainty on international grain prices 全球经济政策不确定性对国际粮食价格的不对称影响

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100273

Shaobo Long , Jieyu Li , Tianyuan Luo

引用次数: 0

Information effects of monetary policy announcements on oil price 货币政策公告对油价的信息效应

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100268

Yang Yang , Jiqiang Zhang , Sanpan Chen

引用次数: 0

Realized higher-order moments spillovers between commodity and stock markets: Evidence from China 商品市场和股票市场之间已实现的高阶矩溢出：来自中国的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100275

Hongwei Zhang , Chen Jin , Elie Bouri , Wang Gao , Yahua Xu

{"title":"Realized higher-order moments spillovers between commodity and stock markets: Evidence from China","authors":"Hongwei Zhang , Chen Jin , Elie Bouri , Wang Gao , Yahua Xu","doi":"10.1016/j.jcomm.2022.100275","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100275","url":null,"abstract":"<div><p><span>We construct daily realized volatility, skewness, and kurtosis<span> using 5-min data of eight Chinese commodity futures and the Chinese stock market index from March 26, 2018 to October 22, 2020, then analyse the dynamic spillovers of realized moments among these markets. The results show that the spillover effects between commodity and stock markets intensify during shock periods such as ‘trade disputes between China and the United States’ and ‘COVID-19’. Volatility spillovers are relatively stronger than spillovers in skewness or spillovers in kurtosis; however, spillovers in higher-order moments seem to contain additional information. Shocks from the </span></span>silver<span><span> market influence realized moments of other markets. Soybean, corn, aluminium, and oil markets are affected by other markets. The contribution of wheat as a net transmitter to the system of spillovers between stock and commodity markets is only observed at higher-order realized moments. The results from OLS and </span>quantile regressions show that the total spillovers are generally affected by the US stock market, economic uncertainties, and the COVID-19 outbreak.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"30 ","pages":"Article 100275"},"PeriodicalIF":4.2,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50197080","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}

引用次数: 20

The economic impact of daily volatility persistence on energy markets 每日波动持续性对能源市场的经济影响

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100285

Christina Sklibosios Nikitopoulos, Alice Carole Thomas, Jianxin Wang

{"title":"The economic impact of daily volatility persistence on energy markets","authors":"Christina Sklibosios Nikitopoulos, Alice Carole Thomas, Jianxin Wang","doi":"10.1016/j.jcomm.2022.100285","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100285","url":null,"abstract":"<div><p>This study examines the role of daily volatility persistence in transmitting information from macro-economy in the volatility of energy markets. In crude oil and natural gas markets<span>, macro-economic factors, such as the VIX, the credit spread and the Baltic exchange dirty index, impact volatility, and this impact is channeled via the volatility persistence. Further, the impact of returns and variances is primarily transmitted to volatility via the daily volatility persistence. The dependence of volatility persistence on market and macro-economic conditions is termed conditional volatility persistence (CVP). The variation in daily CVP is economically significant, contributing up to 18% of future volatility and accounting for 29% of the model's explanatory power. Inclusion of the CVP in the model significantly improves volatility forecasts. Based on the utility benefits of volatility forecasts, the CVP adjusted volatility models provide up to 160 bps benefit to investors compared to the HAR models, even after accounting for transaction costs and varying trading speeds.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"30 ","pages":"Article 100285"},"PeriodicalIF":4.2,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50197083","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}

引用次数: 2

Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures 贵金属和石油实现的波动性之间的动态溢出：来自分位数扩展的联合连通性度量的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2023.100327

Juncal Cunado , Ioannis Chatziantoniou , David Gabauer , Fernando Perez de Gracia , Marfatia Hardik

引用次数: 0

Revisiting the Silver Crisis 重温白银危机

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-06-01 DOI: 10.1016/j.jcomm.2022.100288

Don Bredin , Valerio Potì , Enrique Salvador

引用次数: 0