Journal of Commodity Markets最新文献_第5页

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

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