A key determinant of commodity price Co-movement: The role of daily market liquidity

Return connectedness among commodity and financial assets during the COVID-19 pandemic: Evidence from China and the US

“…Following the works of Wang and Chueh (2013) , Kang et al (2017) , Yoon et al (2019) and Zhang et al, 2019a , Zhang et al, 2019b , three commodity assets and three financial assets, which are heavily traded in the world, are investigated in this paper. The three major commodity assets are crude oil, gold and corn, and the three financial assets consists of stock, bond and currency.…”

“…Meanwhile, exploring the similarities and differences in return connectedness across commodities and financial assets in China and the US during the COVID-19 epidemic can provide important guide for investors and policy makers in risk management, asset allocation and policy adjustment under similar events. Further inspired by the researches of Wang and Chueh (2013) , Kang et al (2017) , Yoon et al (2019) and Zhang et al, 2019a , Zhang et al, 2019b , this paper focuses on analyzing the dynamics of the return connectedness (spillovers) among three major commodity assets (crude oil, gold and corn) and three major financial assets (stock, bond and currency) across the COVID-19 pandemic.…”

“…This is an important task for existing COVID-19 related researches. In terms of research method, conditional correlation methods ( Balcilar and Ozdemir, 2013 ; Chen et al, 2020 ; Dua and Tuteja, 2016 ; El Ghini and Saidi, 2016 ; Lei et al, 2019 ; Liang et al, 2020a ; Liang et al, 2020b ; Öztek and Öcal, 2017 ; Tsuji, 2020 ; Wei et al, 2017 , 2020a , 2020b , 2021 ; Wright and Hirano, 2002 ; Zhang et al, 2019 , 2020 ; Zhang et al, 2019a,b ), Granger-causality ( Balboa et al, 2015 ; Massa and Rosellón, 2020 ; Papana et al, 2017 ; Woźniak, 2016 ; Yang et al, 2021 ), copula models ( Apergis et al, 2020 ; Boako et al, 2019 ; Kotkatvuori-Örnberg, 2016 ; Mensah and Premaratne, 2017 ; Rodriguez, 2007 ; Wen et al, 2012 ), and conditional value-at-risk ( Ji et al, 2018a , 2019 ; Li and Wei, 2018 ; Mensi et al, 2017 ; Reboredo and Ugolini, 2015 , 2016 ) are widely used to explore the characteristics of the information transmission between two variables/assets. Since Diebold and Yılmaz (2009 , 2012 , 2014) 's study which explore the connectedness across an asset system, a large body of literature realizes the importance of uncovering system spillovers in a large system ( Ji et al, 2018b ; Lundgren et al, 2018 ; Tiwari et al, 2020 ; Wang et al, 2020 ; Wei et al, 2019 ; Yoon et al, 2019 ; Zeng et al, 2019 ; Zhang, 2017 ).…”

A Comparative Analysis of Dynamic Interactions between European and Indonesian Cocoa Markets during the 2008 Global Financial Crisis and the 2011 European Debt Crisis

“…The dynamics of the global market positioned the export of cocoa commodities to under-pressure foreign markets (Ivanic and Will 2014;Ying, Chang, and Lee 2014). The 2008 global financial crisis (GFC) and the 2011 European debt crisis (EDC) caused higher volatilities of cocoa and crude oil prices (Zhang, Ding, and Scheffel 2019), which then affected the global food price index (Kassim, Majid and Hamid 2011;Cabrera and Schulz 2016). At the start of 2016, the world cocoa bean price declined rapidly (International Cocoa Organization 2016).…”

Especulação nos mercados futuros de boi gordo no Brasil

“…Os autores utilizam duas estratégias comuns para verificar a relação da financeirização sobre a volatilidade: os efeitos spillovers e os efeitos diretos de posições especulativas. A primeira estratégia consiste em verificar se volatilidades de demais papeis financeiros podem ser transmitidos aos derivativos de commodities (Pindyck e Rotemberg, 1990;Ai et al, 2006;Zhang et al, 2019) ou a ocorrência de transmissão de volatilidade dentro do próprio mercado de commodities (Ewing et al, 2002;Alghalith, 2010;Du et al, 2011;Luo e Ji, 2018;Shahzad et al, 2018). De acordo com Cheng e Xiong (2014) e Büyükşahin e Robe (2014), o comovimento entre derivativos e demais papéis financeiros pode indicar a presença de especulação, visto que os fundos de índices atuam em vários mercados ao mesmo tempo, adicionando commodities aos seus portfólios.…”