压力和无压力时期的商品期货市场:量子关联方法的进一步启示

IF 4.6 Q2 MATERIALS SCIENCE, BIOMATERIALS
Amal Abricha , Amine Ben Amar , Makram Bellalah
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引用次数: 0

摘要

关于关联性的学术文献大多集中于股票市场和商品现货市场。然而,关于不同到期日的商品期货市场之间的关联性仍有很多值得探讨的地方,因为这部分文献目前还很少,也没有定论。本文在现有文献的基础上,重点研究了 2000-2022 年间不同到期日的十个商品期货市场(包括能源、农业和金属行业)、全球股票市场和三种不同的不确定性来源(金融、经济和地缘政治)之间的关联性。在此过程中,我们根据 Diebold 和 Yilmaz(2012 年)的研究成果以及 Chatziantoniou 等人(2021 年)和 Ando 等人(2022 年)的研究成果,对互补的连通性指标组合进行了估算,前者可以测量平均值,后者可以测量不同市场环境下(即低、中和高量级)的连通性。分析表明,在不同数量级评估的商品和不确定性度量中,连通性具有可变性。平均方向关联度网络表明,同一类别的商品期货市场对彼此有明显的敏感性。然而,属于不同类别的商品之间的相互依赖性相对较低。不同量化值之间的平均总连通性表明:(i) 在极端的下量化值和上量化值之间存在明显的对称模式;(ii) 随着极端的负冲击和正冲击幅度的增加,连通性也在增加。时变分析表明,在市场高度紧张时期,所有量级的关联度都会增加,但较低量级的关联度相对较高。此外,极端量级(上量级和下量级)的连通性结构和规模与中位量级的连通性模式不同。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach

Most of the academic literature on connectedness focuses on stock markets and commodity spot markets. However, there is still much to say about the connectedness among commodity futures markets at different expiration dates, as this part of the literature is as yet small and inconclusive. This paper builds on the existing literature by focusing on connectedness among a set of ten commodity futures markets (including energy, agriculture, and metal sectors) at different maturities, the global equity market and three different sources of uncertainty (financial, economic, and geopolitical) over the period 2000–2022. In doing so, we estimate a combination of complementary connectedness metrics based on the work of Diebold and Yilmaz (2012), which enables measuring average, and the works of Chatziantoniou et al. (2021) and Ando et al. (2022) which enable measuring connectedness under different market circumstances (i.e., low, median and high quantiles). The analysis provides evidence of the variable aspect of connectedness across commodities and uncertainty measures assessed across different quantiles. The average directional connectedness network suggests that commodity futures markets within the same category are significantly sensitive to each-other. However, interdependencies between commodities belonging to different categories are relatively lower. The average total connectedness across quantiles provides evidence of (i) a clear symmetric pattern at the extreme lower and upper quantiles, and (ii) an increase in connectedness with the magnitude of extreme negative and positive shocks. The time-varying analysis indicates that connectedness increases at all quantiles during periods of high market stress, but with relatively higher intensity at the lower quantiles. Additionally, the structure and magnitude of connectedness at the extremes – upper and lower quantiles – differs from the pattern of connectedness at the median quantiles.

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来源期刊
ACS Applied Bio Materials
ACS Applied Bio Materials Chemistry-Chemistry (all)
CiteScore
9.40
自引率
2.10%
发文量
464
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