Journal of Commodity Markets最新文献_第3页

Understanding the variance of earnings growth: The case of shipping 了解盈利增长的差异：航运业案例

IF 3.7 4区经济学

Journal of Commodity Markets Pub Date : 2024-06-18 DOI: 10.1016/j.jcomm.2024.100420

Hyun-Tak Lee , Heesung Yun

引用次数: 0

Stock return predictability using economic narrative: Evidence from energy sectors 利用经济叙事预测股票回报率：能源行业的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-05-31 DOI: 10.1016/j.jcomm.2024.100418

Tian Ma , Ganghui Li , Huajing Zhang

引用次数: 0

Implied parameter estimation for jump diffusion option pricing models: Pricing accuracy and the role of loss and evaluation functions 跃迁扩散期权定价模型的隐含参数估计：定价准确性以及损失和评估函数的作用

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-05-27 DOI: 10.1016/j.jcomm.2024.100408

Jimmy E. Hilliard , Jitka Hilliard , Julie T.D. Ngo

引用次数: 0

The asymmetric effect of G7 stock market volatility on predicting oil price volatility: Evidence from quantile autoregression model 七国集团股市波动对预测油价波动的非对称效应：量化自回归模型的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-05-21 DOI: 10.1016/j.jcomm.2024.100409

Feipeng Zhang , Hongfu Gao , Di Yuan

{"title":"The asymmetric effect of G7 stock market volatility on predicting oil price volatility: Evidence from quantile autoregression model","authors":"Feipeng Zhang , Hongfu Gao , Di Yuan","doi":"10.1016/j.jcomm.2024.100409","DOIUrl":"10.1016/j.jcomm.2024.100409","url":null,"abstract":"<div><p>This paper investigates the asymmetric effect of G7 stock market volatility on predicting oil price volatility under different oil market conditions by using the quantile autoregression model. Both in- and out-of-sample results demonstrate the prediction superiority and effectiveness of the quantile autoregression model. The US and Canada's stock markets exhibit the strongest predictive ability across the entire distribution, while the UK demonstrates strong predictive power specifically during periods of high oil price volatility. Japan, Germany, France, and Italy as oil importers can predict low and median oil volatility. The strong predictability of G7 stock volatility may be attributable to their significant impact on the business cycle and investor sentiment. This asymmetric prediction ability arises not only from the average volatility shocks at various quantiles but also from the bad and good stock volatility at different quantiles. Further research suggests that bad stock volatility appears to be more predictable than good stock volatility, especially in high oil price fluctuations. Furthermore, the superiority and effectiveness of the quantile autoregression model in predicting oil volatility are proven to be applicable to emerging markets. This study may provide useful insights for policymakers, businesses, and investors to improve crude oil risk prediction and risk management under different market conditions.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"35 ","pages":"Article 100409"},"PeriodicalIF":4.2,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141136852","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

Blessings or curse: How do media climate change concerns affect commodity tail risk spillovers? 祝福还是诅咒？媒体对气候变化的担忧如何影响商品尾部风险溢出效应？

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-05-15 DOI: 10.1016/j.jcomm.2024.100407

Linh Pham , Javed Bin Kamal

引用次数: 0

Digging deeper - Is bitcoin digital gold? A mining perspective 深入挖掘 - 比特币是数字黄金吗？挖矿视角

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-05-10 DOI: 10.1016/j.jcomm.2024.100406

Dirk G. Baur, Jonathan R. Karlsen, Lee A. Smales, Allan Trench

引用次数: 0

Do agricultural swaps co-move with equity markets? Evidence from the COVID-19 crisis 农产品掉期是否与股票市场同步变动？来自 COVID-19 危机的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-05-06 DOI: 10.1016/j.jcomm.2024.100405

Christopher B. Burns , Daniel L. Prager

{"title":"Do agricultural swaps co-move with equity markets? Evidence from the COVID-19 crisis","authors":"Christopher B. Burns , Daniel L. Prager","doi":"10.1016/j.jcomm.2024.100405","DOIUrl":"https://doi.org/10.1016/j.jcomm.2024.100405","url":null,"abstract":"<div><p>Using proprietary data reported by swap dealers to the Commodity Futures Trading Commission, we first present new evidence on the size and composition of 13 over-the-counter agricultural swaps markets. We then utilize our novel dataset to show the existence of linkages with the equity markets. We use the spike in the Chicago Board Options Exchange Volatility Index in early 2020 to show that swaps trader positions were significantly impacted by the financial market volatility created by the COVID-19 pandemic. Following similar methods as Cheng et al. (2015), we find index swaps traders reduce their net long positions in response to tightening financial conditions, while commercial swaps traders absorb some of this risk by decreasing their net short positions. This internal swap market netting occurs in three of the four largest agricultural markets: corn, soft red winter wheat, and sugar. Concurrently, we observe a limited swap dealer hedging response in the futures market, especially when compared to other financial traders, consistent with swap market netting. Our results confirm that equity market shocks can affect financial traders in both commodity swaps and futures markets.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"34 ","pages":"Article 100405"},"PeriodicalIF":4.2,"publicationDate":"2024-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140948822","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

Quantile spillovers and connectedness between oil shocks and stock markets of the largest oil producers and consumers 石油冲击与最大石油生产国和消费国股市之间的量子溢出效应和关联性

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-04-21 DOI: 10.1016/j.jcomm.2024.100404

Waqas Hanif , Sinda Hadhri , Rim El Khoury

{"title":"Quantile spillovers and connectedness between oil shocks and stock markets of the largest oil producers and consumers","authors":"Waqas Hanif , Sinda Hadhri , Rim El Khoury","doi":"10.1016/j.jcomm.2024.100404","DOIUrl":"https://doi.org/10.1016/j.jcomm.2024.100404","url":null,"abstract":"<div><p>This study explores the connectedness between major oil-producing and consuming countries' stock markets (United States, China, Russia, India) and different oil shocks categorized as demand, supply, and risk shocks, following Ready's (2018) framework. Employing a quantile-based connectedness approach and quantile cross-spectral dependence, our analysis spans from July 02, 2007 to May 31, 2023, encompassing diverse market conditions and events. These methodologies help identify interdependence patterns in extreme market scenarios at different time intervals. Key findings show variations in how these stock markets respond to oil shocks, depending on market conditions and quantiles. Demand-related shocks have the most significant spillover effects on the United States, Russia, and India, while risk-related shocks dominate as transmitters of shocks to the United States, China, and India in median quantiles. Market interconnectedness strengthens during extreme market conditions, reflecting historical events. Additionally, bearish markets offer diversification opportunities between these countries and crude oil. This study emphasizes the need for tailored investment strategies, monitoring global oil demand trends, dynamic portfolio management, crude oil inclusion in portfolios, and proactive responses to market players and geopolitical events. These insights benefit investors and policymakers seeking to optimize strategies in the interconnected global financial landscape.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"34 ","pages":"Article 100404"},"PeriodicalIF":4.2,"publicationDate":"2024-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851324000230/pdfft?md5=713029a7f57ff896a88b5e821eed4f25&pid=1-s2.0-S2405851324000230-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140645866","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

Managing the oil market under misinformation: A reasonable quest? 在错误信息下管理石油市场：合理的追求？

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-04-13 DOI: 10.1016/j.jcomm.2024.100403

Hossa Almutairi , Axel Pierru , James L. Smith

引用次数: 0

Wholesale pork demand: Understanding primal-level heterogeneity 猪肉批发需求：了解初级层面的异质性

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-04-06 DOI: 10.1016/j.jcomm.2024.100402

Jaime R. Luke , Glynn T. Tonsor , D. Scott Brown

引用次数: 0