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Performance of systemic stress in agricultural commodities and its implication for volatility prediction in SSA equities 农业大宗商品的系统性压力表现及其对SSA股票波动性预测的影响
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2025-05-25 DOI: 10.1016/j.jcomm.2025.100480
Qingying Zheng , Jintao Wu , Boqiang Lin
{"title":"Performance of systemic stress in agricultural commodities and its implication for volatility prediction in SSA equities","authors":"Qingying Zheng ,&nbsp;Jintao Wu ,&nbsp;Boqiang Lin","doi":"10.1016/j.jcomm.2025.100480","DOIUrl":"10.1016/j.jcomm.2025.100480","url":null,"abstract":"<div><div>Extensive research has underscored the linkage and risk exposure of Sub-Saharan Africa (SSA) equities to international agricultural commodities. However, the role of systemic agricultural commodity stress in predicting equity volatility has received less attention. We first utilize the Tail Event-driven NETwork (TENET) methodology to construct a Systemic Stress Index (SSI) for agricultural commodities to capture the extreme risks in these markets. We then develop a GARCH-MIDAS-SSI specification to examine the index's predictive capabilities and its relationship with SSA equities (Nigeria, Botswana, Uganda, Mauritius, Kenya, and Ghana). Our results show that the SSI significantly rises during global crises, and its upward trend correlates with increased volatility in SSA equities. More importantly, the SSI exhibits robust forecasting capabilities for volatility in SSA equity markets, both in-sample and out-of-sample. Given the deepening trend of commodity financialization and the frequent occurrence of global crises, these insights are pertinent for both investors and market regulators in their decision-making processes.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100480"},"PeriodicalIF":3.7,"publicationDate":"2025-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144178566","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: 0
Geopolitical risk and energy market tail risk forecasting: An explainable machine learning approach 地缘政治风险和能源市场尾部风险预测：一个可解释的机器学习方法
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2025-05-14 DOI: 10.1016/j.jcomm.2025.100478
Mohammad Ashraful Ferdous Chowdhury , Mohammad Abdullah , Emmanuel Joel Aikins Abakah , Aviral Kumar Tiwari
{"title":"Geopolitical risk and energy market tail risk forecasting: An explainable machine learning approach","authors":"Mohammad Ashraful Ferdous Chowdhury ,&nbsp;Mohammad Abdullah ,&nbsp;Emmanuel Joel Aikins Abakah ,&nbsp;Aviral Kumar Tiwari","doi":"10.1016/j.jcomm.2025.100478","DOIUrl":"10.1016/j.jcomm.2025.100478","url":null,"abstract":"<div><div>This study develops a forecasting model for energy market tail risk, with a focus on the predictive role of geopolitical risk factors. Using daily energy commodities data spanning from 2000 to 2024, this study evaluates the performance of machine learning models. Results indicate that the Light Gradient Boosting Machine (LGBM) consistently outperforms other models based on key metrics. Robustness tests across different tail risk levels affirm LGBM as the optimal choice for energy market tail risk forecasting. Furthermore, model interpretability reveals that geopolitical risk indicators contribute significantly, with a 19.15 % impact on the forecasting model. Notably, the foreign exchange market, influences predictions by 15 %, while the monetary policy, contributes 12.19 %. Our findings have significant implications for regulators, industry practitioners, and investors seeking optimal tail risk forecasting during geopolitical conflicts.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100478"},"PeriodicalIF":3.7,"publicationDate":"2025-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144195886","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: 0
Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization 原油和美元市场的交易时段和非交易时段波动性及其对投资组合优化的影响
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2025-05-10 DOI: 10.1016/j.jcomm.2025.100479
Yu-Sheng Lai
{"title":"Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization","authors":"Yu-Sheng Lai","doi":"10.1016/j.jcomm.2025.100479","DOIUrl":"10.1016/j.jcomm.2025.100479","url":null,"abstract":"<div><div>The covariance between crude oil prices and U.S. dollar exchange rates is crucial for energy investors, and stock prices differ between trading and nontrading hours. Thus, the present study uses a two-component generalized autoregressive conditional heteroskedasticity (GARCH) model to analyze whole-day returns. Our analysis of data from 2007 to 2021 reveals that trading-hour and nontrading-hour returns contain crucial information for modeling whole-day covariance. Additionally, out-of-sample portfolio comparisons indicate that a two-component model is more effective than simpler models for portfolio optimization, resulting in substantial basis point fees when switching from the static to the two-component model. Crucially, the economic value generated by the two-component model is not offset by reasonable transaction costs; more risk-averse investors can generate higher benefits.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100479"},"PeriodicalIF":3.7,"publicationDate":"2025-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143947296","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: 0
Assessing government expenditures multipliers under oil price swings 评估油价波动下的政府支出乘数
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2025-05-05 DOI: 10.1016/j.jcomm.2025.100477
El Mostafa Bentour
{"title":"Assessing government expenditures multipliers under oil price swings","authors":"El Mostafa Bentour","doi":"10.1016/j.jcomm.2025.100477","DOIUrl":"10.1016/j.jcomm.2025.100477","url":null,"abstract":"<div><div>This paper evaluates the impact of government expenditure on output under oil price swings using an SVAR model on a sample of 18 MENA countries. We found that, under an oil price decrease, expenditure multipliers are higher than under an oil price increase and could attain more than one in the short run while going beyond the value of two in the long run. Moreover, on average, spending multiples in oil-exporting countries are higher than those in oil-importing countries at times of decreasing oil prices, while the opposite is noticed at times of increasing oil prices. These results are in line with the recent literature on fiscal multipliers, being large in times of recessions while being weak in times of expansions. Accordingly, some policy recommendations arise from this study as follows.</div><div>- The study endorses the adoption of a countercyclical fiscal policy in oil-exporting countries where in times of decreasing oil prices, a surge in government expenditure is more beneficial to the economy, compared to times of high oil prices.</div><div>- Oil exporting countries should continue their ongoing effort of diversification away from hydrocarbon sectors to disentangle from implied exogenous shocks and the effects of oil price swings on the fiscal policy stance.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100477"},"PeriodicalIF":3.7,"publicationDate":"2025-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143918318","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: 0
Extremal dependence in Australian electricity markets 对澳大利亚电力市场的极度依赖
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2025-05-02 DOI: 10.1016/j.jcomm.2025.100476
Lin Han , Ivor Cribben , Stefan Trück
{"title":"Extremal dependence in Australian electricity markets","authors":"Lin Han ,&nbsp;Ivor Cribben ,&nbsp;Stefan Trück","doi":"10.1016/j.jcomm.2025.100476","DOIUrl":"10.1016/j.jcomm.2025.100476","url":null,"abstract":"<div><div>Electricity markets are significantly more volatile than other comparable financial or commodity markets. Extreme price outcomes and their transmission between regions pose significant risks for market participants. We examine the dependence between extreme spot price outcomes in the Australian National Electricity Market (NEM). We investigate extremal dependence both in a univariate and multivariate setting, applying the extremogram developed by <span><span>Davis and Mikosch (2009)</span></span> and <span><span>Davis et al., 2011</span></span>, <span><span>Davis et al., 2012</span></span>. We measure the persistence of extreme prices within individual regional markets and the transmission of extreme prices across different regions. With both 5-minute and 30-minute price data, we find that extreme prices are more persistent in the market with a higher share of intermittent renewable energy. We also find that the persistence of extreme prices is more prevalent in more concentrated markets. We also show significant extremal price dependence between different regions, which is typically stronger between physically interconnected markets. The dependence structure of extreme prices shows asymmetric and time-dependent patterns. Applying the extremograms, we further show the effectiveness of the Australian Energy Market Commission’s 2016 rebidding rule with respect to reducing the share of isolated price spikes that are often considered as an indication of strategic bidding. Our results provide important information for the hedging decisions of market participants and for policymakers who aim to reduce market volatility and extreme price outcomes through effective regulations that guide the trading behaviour of market participants as well as improved network interconnections.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"39 ","pages":"Article 100476"},"PeriodicalIF":3.7,"publicationDate":"2025-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144154361","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: 0
Predicting commodity returns: Time series vs. cross sectional prediction models 预测商品收益：时间序列与横断面预测模型
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2025-04-07 DOI: 10.1016/j.jcomm.2025.100475
Timotheos Angelidis , Athanasios Sakkas , Nikolaos Tessaromatis
{"title":"Predicting commodity returns: Time series vs. cross sectional prediction models","authors":"Timotheos Angelidis ,&nbsp;Athanasios Sakkas ,&nbsp;Nikolaos Tessaromatis","doi":"10.1016/j.jcomm.2025.100475","DOIUrl":"10.1016/j.jcomm.2025.100475","url":null,"abstract":"<div><div>Commodity cross-sectional models based on the commodity momentum, basis, and basis-momentum factors generate superior time-series and cross-sectional commodity return forecasts compared to the historical average and time-series forecasting models that use financial, macroeconomic, and commodity-specific variables as predictors. Timing and long-short strategies based on the commodity premium forecasts from cross-sectional models achieve significant utility gains compared to strategies based on the historical average or time series predictive models’ forecasts. Our evidence is robust across many commodities and different forecasting methodologies.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100475"},"PeriodicalIF":3.7,"publicationDate":"2025-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143868465","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: 0
The effect of oil prices on the US shipping stock prices: The mediating role of freight rates and economic indicators 油价对美国航运股票价格的影响：运价和经济指标的中介作用
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2025-04-03 DOI: 10.1016/j.jcomm.2025.100474
Andreas Andrikopoulos , Anna Merika , Nikolaos Stoupos
{"title":"The effect of oil prices on the US shipping stock prices: The mediating role of freight rates and economic indicators","authors":"Andreas Andrikopoulos ,&nbsp;Anna Merika ,&nbsp;Nikolaos Stoupos","doi":"10.1016/j.jcomm.2025.100474","DOIUrl":"10.1016/j.jcomm.2025.100474","url":null,"abstract":"<div><div>We explore the effect of oil prices on shipping stocks and freight rates, delivering evidence that the effect of oil prices on stock prices is mediated by the effect of oil prices on freight rates and, thereof, the effect of freight rates on the stocks of US-listed shipping companies. Our data set runs from 2018 to 2023, and our methodological arsenal includes error correction models, MIDAS and Granger causality. In this context, we discover that after the Covid19 pandemic and during the Russo-Ukrainian war the interactions between oil prices, freight rates and stock prices have been disrupted, turning the effect of freight rates on stock prices from non-causal to causal and the effects of oil prices on freight rates from negative to positive.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100474"},"PeriodicalIF":3.7,"publicationDate":"2025-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143785411","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: 0
Commodity correlation risk 商品相关风险
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2025-03-27 DOI: 10.1016/j.jcomm.2025.100473
Joseph P. Byrne , Ryuta Sakemoto
{"title":"Commodity correlation risk","authors":"Joseph P. Byrne ,&nbsp;Ryuta Sakemoto","doi":"10.1016/j.jcomm.2025.100473","DOIUrl":"10.1016/j.jcomm.2025.100473","url":null,"abstract":"<div><div>It is widely observed that primary commodity prices comove. A parallel literature asserts that correlation risk matters for financial returns. Our novel study connects these topics and presents evidence that commodity correlation risk is both non-constant and important for returns. We reconsider therefore the relationship between primary commodities, risk and macro fundamentals, utilising methods that account for parameter uncertainty and stochastic volatility. We show that correlation risk is positively related to commodity returns and the strongest impact of risk upon return is more recent. We also demonstrate that commodity correlation risk is strongly counter-cyclical, correlation risk predicts returns, our risk measure is unrelated to other risk/uncertainty measures, and that correlation risk is linked to commodity financialization.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"38 ","pages":"Article 100473"},"PeriodicalIF":3.7,"publicationDate":"2025-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143748274","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: 0
Impact of supply chain pressure on traditional energy and metal markets: A Wavelet-based Quantile-on-Quantile perspective 供应链压力对传统能源和金属市场的影响：基于小波的分位数对分位数视角
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2025-03-17 DOI: 10.1016/j.jcomm.2025.100472
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 ,&nbsp;Giray Gozgor ,&nbsp;Rabeh Khalfaoui ,&nbsp;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}
引用次数: 0
Financial investors and cross-commodity markets integration 金融投资者与跨商品市场一体化
IF 3.7 4区 经济学
Journal of Commodity Markets Pub Date : 2025-03-15 DOI: 10.1016/j.jcomm.2025.100461
Mohammad Isleimeyyeh
{"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}
引用次数: 0
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