Journal of Commodity Markets最新文献_第5页

Carbon volatility connectedness and the role of external uncertainties: Evidence from China 碳波动关联性与外部不确定性的作用：来自中国的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-01-14 DOI: 10.1016/j.jcomm.2024.100383

Huayi Chen , Huai-Long Shi , Wei-Xing Zhou

{"title":"Carbon volatility connectedness and the role of external uncertainties: Evidence from China","authors":"Huayi Chen , Huai-Long Shi , Wei-Xing Zhou","doi":"10.1016/j.jcomm.2024.100383","DOIUrl":"https://doi.org/10.1016/j.jcomm.2024.100383","url":null,"abstract":"<div><p>This paper investigates the volatility connectedness between China’s carbon pilot<span> markets. Using Diebold and Yilmaz (2014)’s approach based on the time-varying parameter vector autoregression model with a variety of parameter sets, we obtain the average across 40 results to capture the volatility connectedness between the markets. We further use the linear and nonlinear autoregressive distributed lag models to assess the role of external uncertainties in shaping volatility connectedness. Several findings emerge: (1) Guangdong (Chongqing) is the largest net transmitter (receiver) in terms of volatility connectedness; (2) Volatility connectedness shows a declining trend, with its cycle fluctuations caused by compliance-driven trading; (3) Volatility connectedness correlates negatively with external uncertainties. Both economic policy and climate policy indices have impacts on volatility connectedness. We recommend introducing market makers to enhance market liquidity and reduce risk spreading. We also highlight the need for further research to pinpoint idiosyncratic factors that affect different markets.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"33 ","pages":"Article 100383"},"PeriodicalIF":4.2,"publicationDate":"2024-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139473460","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

Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility 公共信息是否有助于达成价格共识？利用已实现波动率描述 USDA 公告效应

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2024-01-08 DOI: 10.1016/j.jcomm.2024.100382

Gabriel D. Bunek , Joseph P. Janzen

{"title":"Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility","authors":"Gabriel D. Bunek , Joseph P. Janzen","doi":"10.1016/j.jcomm.2024.100382","DOIUrl":"10.1016/j.jcomm.2024.100382","url":null,"abstract":"<div><p>The provision of public information in commodity markets is justified in part by the idea that public information generates consensus among market participants about the fundamental value of the commodity and reduces price volatility. Significant reductions in options-implied volatility following report releases have been presented as evidence of this market-calming effect. We scrutinize this finding in more detail by comparing implied volatility to realized volatility measures from intraday price data. We show that while implied volatility does indeed fall after report releases, realized volatility does not decrease. We measure realized volatility using intraday data and find evidence of much higher volatility on report days only within minutes of the report release. This pattern is consistent with changes in implied volatility being driven by the resolution of uncertainty about the information contained in the report, rather than changes in volatility expectations that may reflect the consensus among traders about forthcoming price volatility.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"33 ","pages":"Article 100382"},"PeriodicalIF":4.2,"publicationDate":"2024-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851324000011/pdfft?md5=ac63b20f58d7dc6cbbdb1b44afa526c0&pid=1-s2.0-S2405851324000011-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139412937","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

Option pricing revisited: The role of price volatility and dynamics 重新审视期权定价：价格波动和动态的作用

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-12-30 DOI: 10.1016/j.jcomm.2023.100381

Jean-Paul Chavas , Jian Li , Linjie Wang

{"title":"Option pricing revisited: The role of price volatility and dynamics","authors":"Jean-Paul Chavas , Jian Li , Linjie Wang","doi":"10.1016/j.jcomm.2023.100381","DOIUrl":"10.1016/j.jcomm.2023.100381","url":null,"abstract":"<div><p>The analysis of option pricing in derivative markets<span> has commonly relied on the Black-Scholes model. This paper presents a conceptual and empirical analysis of option pricing with a focus on the validity of key assumptions embedded in the Black-Scholes model. Going beyond questioning the lognormality assumption, we investigate the role played by two assumptions made about the nature of price dynamics: quantile-specific departures from a unit root process, and the role of quantile-specific drift. Our analysis relies on a Quantile Autoregression (QAR) model that provides a flexible representation of the price distribution and its dynamics. Applied to the soybean futures market, we examine the validity of assumptions made in the Black-Scholes model along with their implications for option pricing. We document that price dynamics involve different responses in the tails of the distribution: overreaction and local instability in the upper tail, and underreaction in the lower tail. Investigating the implications of our QAR analysis for option pricing, we find that failing to capture local instability in the upper tail is more serious than failing to capture “fat tails” in the price distribution. We also find that the most serious problem with the Black-Scholes model arises in its representation of price dynamics in the lower tail.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"33 ","pages":"Article 100381"},"PeriodicalIF":4.2,"publicationDate":"2023-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139068163","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 coherency across bonds, commodities, currencies, and equities 债券、商品、货币和股票的量化一致性

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-12-20 DOI: 10.1016/j.jcomm.2023.100379

Gazi Salah Uddin , Brian Lucey , Md Lutfur Rahman , David Stenvall

引用次数: 0

Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress 揭开相互联系的面纱：在地缘政治风险和系统性压力背景下探索能源、贵金属、工业金属和农产品之间的高阶时刻

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-12-15 DOI: 10.1016/j.jcomm.2023.100380

Jinxin Cui , Aktham Maghyereh

引用次数: 0

Forecasting the price of oil: A cautionary note 预测石油价格:一个警示

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-12-06 DOI: 10.1016/j.jcomm.2023.100378

Thomas Conlon , John Cotter , Emmanuel Eyiah-Donkor

{"title":"Forecasting the price of oil: A cautionary note","authors":"Thomas Conlon , John Cotter , Emmanuel Eyiah-Donkor","doi":"10.1016/j.jcomm.2023.100378","DOIUrl":"10.1016/j.jcomm.2023.100378","url":null,"abstract":"<div><p>We study the out-of-sample predictability of monthly crude oil prices using forecast combinations constructed from several individual predictor forecasts. Our empirical results indicate that combination forecasts of monthly average oil prices are more accurate than the no-change forecast with statistically significant reductions in mean square forecast errors (MSFE) and significant directional accuracy at every horizon up to 24 months, consistent with earlier evidence that forecast combinations greatly enhance the forecastability of oil prices. In contrast, we find no significant MSFE reductions or directional accuracy for forecasts of end-of-month oil prices at almost all horizons. Furthermore, we document that end-of-month forecasts when used to guide investment and hedging decisions of investors, statistically, do not deliver superior economic value to investors. Overall, the implication of our results is that the statistical and economic significance of forecasts of oil prices is heavily influenced by the construction of the underlying oil price series and provide a cautionary note on which oil price series to use in forecasting.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"33 ","pages":"Article 100378"},"PeriodicalIF":4.2,"publicationDate":"2023-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851323000685/pdfft?md5=abf253efbd93c957b26617c9a11e916a&pid=1-s2.0-S2405851323000685-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138493142","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

Revisiting the pricing impact of commodity market spillovers on equity markets 重新审视大宗商品市场溢出效应对股票市场的定价影响

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-11-24 DOI: 10.1016/j.jcomm.2023.100369

Francisco Pinto-Ávalos , Michael Bowe , Stuart Hyde

{"title":"Revisiting the pricing impact of commodity market spillovers on equity markets","authors":"Francisco Pinto-Ávalos , Michael Bowe , Stuart Hyde","doi":"10.1016/j.jcomm.2023.100369","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100369","url":null,"abstract":"<div><p>This paper revisits the dynamics of pricing relationships between commodity and equity markets in a sample of commodity-exporting economies between 2000–2023. We confirm the correlation between these asset prices increases around episodes of financial distress. Prior research attributes this increase to the effects of contagion initiated by commodity price shocks. However, we find that after controlling for the effect of time varying risk aversion and investor sentiment, there is no evidence that the documented correlation increase originates from commodity market shocks. Indeed, we are unable to reject the hypothesis of no contagion. We maintain that controlling for the influence of time varying risk aversion and investor sentiment, together with other factors which potentially cause common variation across price movements in commodity and equity markets, is essential to accurately capturing the relationship between asset prices in these markets.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"33 ","pages":"Article 100369"},"PeriodicalIF":4.2,"publicationDate":"2023-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851323000594/pdfft?md5=6a725fc6c4fd4933f36f92a7b1df1b83&pid=1-s2.0-S2405851323000594-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138480543","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

Tail risk spillover effects in commodity markets: A comparative study of crisis periods 商品市场尾部风险溢出效应:危机时期的比较研究

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-11-20 DOI: 10.1016/j.jcomm.2023.100370

Muhammad Abubakr Naeem , Foued Hamouda , Sitara Karim

{"title":"Tail risk spillover effects in commodity markets: A comparative study of crisis periods","authors":"Muhammad Abubakr Naeem , Foued Hamouda , Sitara Karim","doi":"10.1016/j.jcomm.2023.100370","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100370","url":null,"abstract":"<div><p><span><span>This research aims to investigate the propagation of extreme downside risk, commonly referred to as tail risk, within commodity markets using an innovative CAViaR-based connectivity model. We also evaluate the influence of various crises, including the global financial crisis, the </span>shale oil<span> revolution, the COVID-19 pandemic, and the Russia-Ukraine conflict, on the dynamic relationships among seventeen different commodity markets. Our findings reveal a diverse pattern of interconnections among these markets during distinct crisis periods. Surprisingly, we observe that the nature of these interconnections is remarkably similar during geopolitical and health crises. Notably, the spillover effects between different commodity categories are more pronounced during the COVID-19 pandemic and the Russia-Ukraine conflict than during the global financial crisis and the shale oil revolution. However, it is important to note that the total risk spillovers are more substantial during the global financial crisis. Furthermore, our analysis delves into the unique characteristics of each market, revealing that precious metals can function as a </span></span>safe haven for both energy and industrial metals during times of economic turbulence.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"33 ","pages":"Article 100370"},"PeriodicalIF":4.2,"publicationDate":"2023-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138439717","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

World regional natural gas prices: Convergence, divergence or what? New evidence 世界各地区天然气价格:趋同、分化还是什么?新证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-11-01 DOI: 10.1016/j.jcomm.2023.100368

Jose Roberto Loureiro , Julian Inchauspe , Roberto F. Aguilera

{"title":"World regional natural gas prices: Convergence, divergence or what? New evidence","authors":"Jose Roberto Loureiro , Julian Inchauspe , Roberto F. Aguilera","doi":"10.1016/j.jcomm.2023.100368","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100368","url":null,"abstract":"<div><p>Mixed and outdated natural gas price convergence results have caused confusion among analysts and strongly call for a comprehensive revision of the topic. The issue has been exacerbated with the recent rampant increase in LNG trade and the emergence of new gas spot trading hubs. Filling the gap, this study conducts growth convergence testing and clustering analysis on a panel comprised of four established gas price benchmarks and two emerging ones that expand up to the pre-Covid-19 period. The most significant finding is that no gas price convergence can be found outside Europe. This is despite the existence of episodes of partial convergence that are identified in the literature, and replicated and explained here. Importantly, the results strongly reject the postulate that increased LNG flows serve as a price-levelling arbitrage mechanism. Overall, these findings inform analysts, researchers and policymakers that they should be wary about taking convergence claims for granted.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100368"},"PeriodicalIF":4.2,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2405851323000582/pdfft?md5=d9f7ba24d71929fc27ed1bc0ef4db831&pid=1-s2.0-S2405851323000582-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91992725","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

How are climate risk shocks connected to agricultural markets? 气候风险冲击如何与农业市场联系起来?

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-10-20 DOI: 10.1016/j.jcomm.2023.100367

Kun Guo , Yichong Li , Yunhan Zhang , Qiang Ji , Wanli Zhao

引用次数: 0