Journal of Commodity Markets最新文献_第6页

Commodity prices under the threat of operational disruptions: Labor strikes at copper mines 运营中断威胁下的大宗商品价格:铜矿工人罢工

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-10-17 DOI: 10.1016/j.jcomm.2023.100365

Viviana Fernandez , Boris Pastén-Henríquez , Pablo Tapia-Griñen , Rodrigo Wagner

引用次数: 0

Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach 投资组合配置中的商品多元化收益:一个动态因子联结方法

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-10-16 DOI: 10.1016/j.jcomm.2023.100363

Michael Gaete, Rodrigo Herrera

{"title":"Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach","authors":"Michael Gaete, Rodrigo Herrera","doi":"10.1016/j.jcomm.2023.100363","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100363","url":null,"abstract":"<div><p>This study provides a thorough analysis of the dynamics of volatility and dependence among seven international equity and 20 commodity markets across different sectors, highlighting the hedging role played by the latter. We explain volatility using a specification that distinguishes between the short and long terms. At the same time, the dependence structure is modeled through a time-varying conditional factor copula model, which can be split into commodity sectors such that there is homogeneous dependence within each sector. The dynamic of both models is captured through a score-driven specification. Moreover, we solve the risk-averse portfolio selection to determine the existence of diversification benefits when constructing portfolios comprising commodities and stock markets. The main results of the study show that the dependence between the commodity and equity markets is variable over time. The best strategy in the minimum variance portfolio is obtained by incorporating a mix of commodities into the stock market portfolio, especially industrial metals. Furthermore, the factor copula approach is the best specification in terms of the Sharpe ratio independent of portfolio settings.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100363"},"PeriodicalIF":4.2,"publicationDate":"2023-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49880678","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

Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events 外生事件冲击下全球“碳-能源储备”系统的动态非对称连通性

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-10-11 DOI: 10.1016/j.jcomm.2023.100366

Ming-Yuan Yang , Zhanghangjian Chen , Zongzheng Liang , Sai-Ping Li

{"title":"Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events","authors":"Ming-Yuan Yang , Zhanghangjian Chen , Zongzheng Liang , Sai-Ping Li","doi":"10.1016/j.jcomm.2023.100366","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100366","url":null,"abstract":"<div><p><span>In this paper, by using the time-varying parameter vector </span>autoregression<span> model (TVP-VAR) with the asymmetric connectedness indicator and network diagrams, we investigate the dynamic and asymmetric return connectedness in the global “Carbon-Energy-Stock” system, including carbon markets<span> and stock markets of the three largest economies, namely the United States, European Union and China, and fossil energies of crude oil and natural gas under exogenous shocks. Our study shows that (i) the risk spillover level of the global system has significantly increased after the outbreak of two exogenous events, the COVID-19 pandemic and the Russo-Ukrainian war, and the global shock from the COVID-19 pandemic has more widespread and greater impact on the system than the geopolitical shock from the Russo-Ukrainian war, (ii) the global “Carbon-Energy-Stock” system is more sensitive to negative information on price returns than positive information, and the asymmetry of the connectedness is much larger when the system is active and in the presence of exogenous shocks, (iii) risks in the global “Carbon-Energy-Stock” system usually transformed from stock markets, especially the stock markets of the United States and European Union, to the carbon markets. These findings provide valuable guidance and have economic implications for both investors and policymakers worldwide.</span></span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100366"},"PeriodicalIF":4.2,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49880676","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

Hedging with futures during nonconvergence in commodity markets 在商品市场非收敛期间用期货对冲

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-10-11 DOI: 10.1016/j.jcomm.2023.100364

Alankrita Goswami , Berna Karali , Michael K. Adjemian

{"title":"Hedging with futures during nonconvergence in commodity markets","authors":"Alankrita Goswami , Berna Karali , Michael K. Adjemian","doi":"10.1016/j.jcomm.2023.100364","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100364","url":null,"abstract":"<div><p>Hedging in grain futures markets offers market participants the opportunity to mitigate the price risk in spot markets by taking offsetting positions in futures. The performance of a traditional minimum variance hedge ratio (MVHR) relies on the correlation between the spot and futures price changes. During 2005–2010, delivery-location cash prices for several crops decoupled from the prices for their related expiring futures contracts—raising concerns over the hedging effectiveness of these contracts. We investigate how short hedgers, like farmers, performed during periods with and without convergence in corn, soybean, and wheat markets. We show that, <em>ex post</em>, MVHR, often does not minimize the variance of wheat producers’ profits during nonconvergence when compared to a range of other hedging choices. We also find that the performance of MVHR weakens during years with low carryover. We further assess hedging performance of MVHR and other hedge ratios in achieving higher net selling prices, and find that nonconvergence particularly impairs their performance in the wheat market where the nonconvergence anomaly was the most prominent. Taken together, our results raise questions on the role of futures markets as risk management tools during nonconvergence episodes regardless of how the hedge ratio is chosen.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100364"},"PeriodicalIF":4.2,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49880677","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 evolution of commodity market financialization: Implications for portfolio diversification 商品市场金融化的演变:对投资组合多样化的影响

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-21 DOI: 10.1016/j.jcomm.2023.100360

Renée Fry-McKibbin, Kate McKinnon

引用次数: 0

The Fortune and crash of common risk factors in Chinese commodity markets 中国大宗商品市场常见风险因素的兴衰

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-15 DOI: 10.1016/j.jcomm.2023.100362

Hemei Li , Zhenya Liu , Yuqian Zhao

引用次数: 0

Exploring volatility of crude oil intraday return curves: A functional GARCH-X model 探讨原油日内收益曲线的波动性:一个函数GARCH-X模型

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-15 DOI: 10.1016/j.jcomm.2023.100361

Gregory Rice , Tony Wirjanto , Yuqian Zhao

{"title":"Exploring volatility of crude oil intraday return curves: A functional GARCH-X model","authors":"Gregory Rice , Tony Wirjanto , Yuqian Zhao","doi":"10.1016/j.jcomm.2023.100361","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100361","url":null,"abstract":"<div><p>Crude oil intraday return curves collected from commodity futures markets often appear to be serially uncorrelated and long-range conditionally heteroscedastic. We model this stylised feature with a newly proposed functional GARCH-X model and use it to forecast crude oil intraday volatility. The predicted intraday volatility provides important economic implications in crude oil commodity futures markets in both intraday risk management and utility benefits improvements. The functional GARCH-X model provides a remarkable correction to modelling crude oil volatility in terms of an in-sample fitting, although its out-of-sample performances in forecasting intraday risk measures do not appear to be significantly superior to that of the existing functional GARCH(1,1) model. However, the FGARCH-X model, with its flexibility to capture long-range dependence and potential seasonality, does confer substantial economic benefits by embedding inter-daily volatility forecasts. Methodologically, we show that the new model has a well-behaved stationary solution, and we also address the inherent and critical issues associated with the estimation of functional volatility models by introducing novel data-driven, non-negative and predictive basis functions in the estimation process.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100361"},"PeriodicalIF":4.2,"publicationDate":"2023-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49880682","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: 3

What moves commodity terms-of-trade? Evidence from 178 countries 是什么影响了商品贸易条件?来自178个国家的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-11 DOI: 10.1016/j.jcomm.2023.100359

Yousef Makhlouf , Neil M. Kellard , Dmitri Vinogradov

引用次数: 0

Psychological price barriers, El Niño, La Niña: New insights for the case of coffee 心理价格壁垒、厄尔尼诺、拉尼娜现象：咖啡案例的新见解

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100350

Mark J. Holmes , Jesús Otero

引用次数: 0

Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions? 原油和股票市场之间的动态联系:公司的偿付能力和盈利能力状况的影响是什么?

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100348

Faruk Balli , Hatice O Balli , Thi Thu Ha Nguyen

{"title":"Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?","authors":"Faruk Balli , Hatice O Balli , Thi Thu Ha Nguyen","doi":"10.1016/j.jcomm.2023.100348","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100348","url":null,"abstract":"<div><p>The paper aims to explore the presence of connectedness between oil price changes and stock returns of oil & gas sector. The analysis, adopting the connectedness approach developed by and the frequency connectedness developed by demonstrates a high level of connectedness, especially during the extreme economic meltdown. The short-term (1–5 days) level of total connectedness is substantially higher than the medium-term (5–30 days) and long-term levels (30–262 days). In addition, when examining the impact of the sectors' financial characteristics on the extent of the connectedness, we found that sectors with greater solvency position (lower debt to asset ratio and higher interest coverage) are less connected with the oil price changes. The impact of sector's solvency position on connectedness (between stock return and oil prices) is even more obvious for financially more open markets. Also, change in oil prices have a less impact on the returns of sectors with higher profitability ratios. The paper, therefore, brings several implications to both policy makers and investors.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100348"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863228","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