Journal of Commodity Markets最新文献_第4页

Stress from attention: The relationship between climate change attention and crude oil markets 关注带来的压力：气候变化关注度与原油市场之间的关系

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-03-06 DOI: 10.1016/j.jcomm.2024.100399

Boqiang Lin , Yiyang Chen , Xu Gong

{"title":"Stress from attention: The relationship between climate change attention and crude oil markets","authors":"Boqiang Lin , Yiyang Chen , Xu Gong","doi":"10.1016/j.jcomm.2024.100399","DOIUrl":"10.1016/j.jcomm.2024.100399","url":null,"abstract":"<div><p>Investors' focus on specific topics could translate into actual trading behavior, subsequently influencing market prices. Within the crude oil market, the issue of climate change risk arising from carbon emissions has garnered considerable attention recently, as investors' search behavior regarding this topic may impact crude oil prices. Based on the search information provided by Google, this paper employs quantile and quantile-on-quantile regression (QQR) methods to examine the relationship between investors' attention to climate change risk and crude oil futures price returns. The results reveal the following: (1) Simultaneous opposite correlations are observed, with a significantly positive relationship between attention and returns during high returns and a significantly negative relationship during periods of low returns. The correlation between the two exhibits considerable variation across different market performances. (2) A significant negative correlation exists mainly between attention to physical and opportunity risk and returns, while positive correlations exist mainly between attention to regulatory risk and returns. (3) Higher levels of climate change attention intensify these effects, as evidenced by an increase in the absolute value of the regression coefficients. The findings of this study can serve as a reference for investment institutions and policymakers in constructing investment portfolios and managing the impact of climate risk.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"34 ","pages":"Article 100399"},"PeriodicalIF":4.2,"publicationDate":"2024-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140086804","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

Coal price shock propagation through sectoral financial interconnectedness in China's stock market: Quantile coherency network modelling and shock decomposition analysis 煤炭价格冲击通过中国股市的行业金融关联性传播：量子一致性网络建模与冲击分解分析

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-03-06 DOI: 10.1016/j.jcomm.2024.100392

Yan Zhang , Yushi Xu , Xintong Zhu , Jionghao Huang

{"title":"Coal price shock propagation through sectoral financial interconnectedness in China's stock market: Quantile coherency network modelling and shock decomposition analysis","authors":"Yan Zhang , Yushi Xu , Xintong Zhu , Jionghao Huang","doi":"10.1016/j.jcomm.2024.100392","DOIUrl":"10.1016/j.jcomm.2024.100392","url":null,"abstract":"<div><p>The long and continuing coal-dominated energy structure in China makes it important to investigate the impact of coal price shocks on China's financial markets. This study identifies whether volatilities in coal market may propagate between sectoral equity markets through the heterogeneous connectedness between these markets, and even further contribute to larger scale overall instabilities. We first apply the cross-spectral quantile coherency (QC) to identify the time-frequency interconnectedness among returns of 28 sectors in China's equity market. A spatial autoregressive (SAR) framework based on the QC network is further utilized to identify the indirect effect propagating through the heterogeneous interconnectedness between 28 sectoral equity markets. The empirical results indicate significant risk contagion effects during market turmoil, while strong risk absorbing effects are confirmed for the tranquil case. The significantly varying sectoral interconnectedness along with the corresponding heterogeneous pattern of shock propagation under various market specifications may provide evidence for the spillover effects to be the key mechanism and the sectoral interconnectedness as an important channel for coal price shock propagation, which is essential to the effectiveness of portfolio diversification and financial stabilizing policy.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"34 ","pages":"Article 100392"},"PeriodicalIF":4.2,"publicationDate":"2024-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140084972","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

On the estimation of Value-at-Risk and Expected Shortfall at extreme levels 关于极端水平下风险价值和预期亏损的估算

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-02-22 DOI: 10.1016/j.jcomm.2024.100391

Emese Lazar , Jingqi Pan , Shixuan Wang

{"title":"On the estimation of Value-at-Risk and Expected Shortfall at extreme levels","authors":"Emese Lazar , Jingqi Pan , Shixuan Wang","doi":"10.1016/j.jcomm.2024.100391","DOIUrl":"10.1016/j.jcomm.2024.100391","url":null,"abstract":"<div><p>The estimation of risk at extreme levels (such as 0.1%) can be crucial to capture the losses during market downturns, such as the global financial crisis and the COVID-19 market crash. For many existing models, it is challenging to estimate risk at extreme levels. In order to improve such estimation, we develop a framework to estimate Value-at-Risk and Expected Shortfall at an extreme level by extending the one-factor GAS model and the hybrid GAS/GARCH model to estimate Value-at-Risk and Expected Shortfall for two levels simultaneously, namely for an extreme level and for a more common level (such as 10%). Our simulation results indicate that the proposed models outperform the GAS model benchmarks in terms of in-sample and out-of-sample loss values, as well as backtest rejection rates. We apply the proposed models to oil futures (WTI, Brent, gas oil and heating oil) and compare them with a range of parametric, nonparametric, and semiparametric alternatives. The results show that our proposed models are generally superior to the alternatives.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"34 ","pages":"Article 100391"},"PeriodicalIF":4.2,"publicationDate":"2024-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851324000102/pdfft?md5=6cf07a68fefa957837126d815c512bba&pid=1-s2.0-S2405851324000102-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139949673","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

Four Commitments of Traders Reports puzzles, revisited: Answers from grains and oilseeds futures markets 交易商的四项承诺报告之谜再探：谷物和油籽期货市场的答案

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-02-15 DOI: 10.1016/j.jcomm.2024.100389

Michel A. Robe , John S. Roberts

引用次数: 0

Time-varying and multi-scale analysis of copper price influencing factors based on LASSO and EMD methods 基于 LASSO 和 EMD 方法的铜价影响因素时变和多尺度分析

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-02-13 DOI: 10.1016/j.jcomm.2024.100388

Yanqiong Liu , Yaoqi Guo , Qing Wei

引用次数: 0

Cross-hedging wild salmon prices 交叉对冲野生鲑鱼价格

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-02-13 DOI: 10.1016/j.jcomm.2024.100390

Rune Nygaard , Kristin H. Roll

引用次数: 0

USDA reports affect the stock market, too 美国农业部报告也影响股市

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-02-06 DOI: 10.1016/j.jcomm.2024.100384

An N.Q. Cao , Thomas Heckelei , Octavian Ionici , Michel A. Robe

{"title":"USDA reports affect the stock market, too","authors":"An N.Q. Cao , Thomas Heckelei , Octavian Ionici , Michel A. Robe","doi":"10.1016/j.jcomm.2024.100384","DOIUrl":"10.1016/j.jcomm.2024.100384","url":null,"abstract":"<div><p>We document that the stock prices of food-sector firms react to USDA news. The economic and statistical significance of the effect depends on the commodity, type of scheduled USDA report, and direction and extent to which the USDA information surprises the market. Individual stock price responses to USDA news differ between firms on the input-side <em>vs</em>. firms on the output-side of agricultural (farm) production, based on which component of the firm's cash-flow expectations (costs or revenues) and which variable (commodity price or expected firm output) is impacted by the news. Planted Area surprises have the largest effect for both subsets of firms (ag-as-inputs and ag-as-output), followed by Grain Stocks news—with the effects having the expected sign. In contrast, WASDE surprises have very modest and mixed impacts on food-sector stock returns. Our findings establish that USDA announcements have an impact well beyond their recognized relevance to commodity markets.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"34 ","pages":"Article 100384"},"PeriodicalIF":4.2,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851324000035/pdfft?md5=e16e530be293c0e284f2524c7f28592f&pid=1-s2.0-S2405851324000035-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139765566","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

Are shocks in the stock markets driven by commodity markets? Evidence from Russia-Ukraine war 股票市场的冲击是由商品市场驱动的吗？俄罗斯-乌克兰战争的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-02-05 DOI: 10.1016/j.jcomm.2024.100387

Priti Biswas , Prachi Jain , Debasish Maitra

{"title":"Are shocks in the stock markets driven by commodity markets? Evidence from Russia-Ukraine war","authors":"Priti Biswas , Prachi Jain , Debasish Maitra","doi":"10.1016/j.jcomm.2024.100387","DOIUrl":"10.1016/j.jcomm.2024.100387","url":null,"abstract":"<div><p>We study the immediate impact of heightened geopolitical tensions caused by the Russia-Ukraine war, on volatility connectedness networks of 18 global stock markets and 5 major commodities. Our analyses reveal a shift in connectedness spillovers during the war: while crude oil (a net shock transmitter before the war) became a net shock receiver, shocks transmitted by crude oil net importers appear to primarily contribute to crude oil turning a net shock receiver, whereas for platinum and wheat, we observe that both net exporters and importers have received volatility shocks. We further dissect the impact of war on the direction of spillovers using panel censored regressions. Employing insights from the analyses, we design portfolios that weigh higher (lower) on stock indices with lower (higher) pairwise connectedness (PCI) to each commodity. We not only find these PCI-based portfolios to exhibit safe-haven properties under extreme geopolitical risk, but they also outperform an equally-weighted portfolio during a period of war. Finally, low-minus-high factors constructed on pairwise connectedness have significant explanatory power for portfolio returns, indicating connectedness as an additional factor for asset pricing models.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"34 ","pages":"Article 100387"},"PeriodicalIF":4.2,"publicationDate":"2024-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139765475","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

How does carbon market interact with energy and sectoral stocks? Evidence from risk spillover and wavelet coherence 碳市场如何与能源和行业股票互动？来自风险溢出和小波一致性的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-02-05 DOI: 10.1016/j.jcomm.2024.100386

Lu-Tao Zhao , Hai-Yi Liu , Xue-Hui Chen

引用次数: 0

Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis 量化商品和加密货币之间的溢出效应和关联性：来自定量VAR分析的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-01-31 DOI: 10.1016/j.jcomm.2024.100385

Nikolaos Kyriazis , Stephanos Papadamou , Panayiotis Tzeremes , Shaen Corbet

{"title":"Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis","authors":"Nikolaos Kyriazis , Stephanos Papadamou , Panayiotis Tzeremes , Shaen Corbet","doi":"10.1016/j.jcomm.2024.100385","DOIUrl":"https://doi.org/10.1016/j.jcomm.2024.100385","url":null,"abstract":"<div><p>This study examines dynamic connectedness linkages between precious metals, manufacturing metals, oil, natural gas, and Bitcoin. The Quantile-VAR methodology is utilised to identify causal spillovers from 2015 through 2022, where results demonstrate significantly stronger pairwise connectedness at extreme quantiles, where the gold–silver and copper–oil pairs exhibit the strongest linkages. Additionally, the overall dynamic connectedness is higher at the lowest and highest quantiles, particularly reinforced during inflationary periods. Copper is identified as the strongest generator of spillovers, followed by silver, nickel, and zinc. There are mixed findings when analysing gold and aluminium, whereas oil, natural gas, and Bitcoin are identified as net receivers. This study provides insight into commodities and cryptocurrency markets’ diversifying and hedging abilities during alternative economic and financial conditions.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"33 ","pages":"Article 100385"},"PeriodicalIF":4.2,"publicationDate":"2024-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851324000047/pdfft?md5=f1ab1ca2371923aef39d1043d48e8237&pid=1-s2.0-S2405851324000047-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139675083","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