Journal of Commodity Markets最新文献_第6页

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

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