Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets

Cui, Jinxin; Goh, Mark; Zou, Huiwen

doi:10.1016/j.energy.2021.120190

Cited by 41 publications

(5 citation statements)

References 63 publications

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“…In addition, the cost of using crude oil futures to hedge agricultural futures has increased during the financial crisis, which is consistent with the findings of Cui et al. (2021).…”

Section: Resultssupporting

confidence: 89%

“…Third, the cost of using crude oil futures to hedge hedging global agricultural futures would be higher than that of China's agricultural futures. In addition, the cost of using crude oil futures to hedge agricultural futures has increased during the financial crisis, which is consistent with the findings of Cui et al (2021).…”

Section: Implications For Risk Managementsupporting

confidence: 86%

“…Similarly, Luo and Ji (2018) verified that the U.S. crude oil market has a weak volatility spillover effect on China's agricultural commodity market. Cui et al (2021) believed that the long-term consistency between the oil market and corn, soybean, soybean meal, and white sugar futures is low in China's commodity futures market. For specific agricultural futures, the empirical results show that the correlation between crude oil futures and DCE soybean oil futures is stronger than other China's agricultural futures.…”

Section: Implications For Risk Managementmentioning

confidence: 99%

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Dynamic correlation between crude oil and agricultural futures markets

Chen

Yan

Kang

2022

Review Development Economics

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In recent years, the relationship between agricultural commodities and crude oil has become increasingly close with the promotion of biofuel policies. This study examines the dynamic correlation between global crude oil futures and seven agricultural commodity futures by applying the consistent dynamic conditional correlation and dynamic equicorrelation models. The empirical results show that the dynamic correlation between the global crude oil futures market and China's agricultural futures market is weak compared to the global agricultural futures market. In particular, soybean oil has the strongest correlation with crude oil, while Dalian Commodity Exchange (DCE) corn and Zhengzhou Commodity Exchange wheat have the weakest correlation with crude oil. There is an indirect linkage between crude oil futures and DCE soybean meal and DCE soybean oil. Moreover, the dynamic correlation between crude oil and agricultural commodities increased during the financial crisis, the novel coronavirus (COVID‐19) epidemic, and the crude oil crash crisis. Brent crude oil has a stronger co‐movement with China's agricultural commodities than West Texas Intermediate crude oil and can better hedge the risk of agricultural commodities. The findings of this study provide some insights into the contagion risk management of crude oil futures and agricultural futures markets.

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“…In addition, the cost of using crude oil futures to hedge agricultural futures has increased during the financial crisis, which is consistent with the findings of Cui et al. (2021).…”

Section: Resultssupporting

confidence: 89%

Section: Implications For Risk Managementsupporting

confidence: 86%

Section: Implications For Risk Managementmentioning

confidence: 99%

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Dynamic correlation between crude oil and agricultural futures markets

Chen

Yan

Kang

2022

Review Development Economics

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“…The results unveil high connectedness at the extreme quantiles (5th and 95th) as compared to median quantile (50th quantile). In the same way, Cui et al (2021) examine time and frequency, extreme spillovers and dynamic association among crude oil prices and China's commodity futures. For this purpose, the authors use quantile regression, wavelet coherence and DECO-FIAPARCH (1,d,1) model.…”

Section: Literature Reviewmentioning

confidence: 99%

Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities

et al. 2022

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“…At present, biofuel feedstocks, which are essentially popular agricultural commodities, are increasingly financialized [7]. Therefore, it is of constructive significance for the development of China's biofuel market to promote the stability of their prices from the perspective of risk management and portfolios [8,9].…”

Section: Introductionmentioning

confidence: 99%

Quantile Dependence between Crude Oil and China’s Biofuel Feedstock Commodity Market

et al. 2023

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This paper investigates the heterogeneous dependence between global crude oil futures and China’s biofuel feedstock commodities under different market conditions. Quantile-on-quantile regression and the causality-in-quantiles test are employed to capture comprehensive and informative relationships. The empirical results are as follows: First, there is a positive relationship between the returns on China’s biofuel feedstock commodities and crude oil. The effects are heterogeneous, conditional on the market regimes, where the impacts of the bearish/bullish crude oil market on biofuel feedstock commodity returns are significant when the commodity market in China is in a bearish/bullish state. Second, crude oil returns have reliable predictive power for the returns on China’s biofuel feedstock commodities under the average market condition and move in connection with the volatility of China’s biofuel-related commodity market in normal and bullish market conditions. Third, the risk reduction effectiveness of soybean and corn is significant, while for wheat, this reduction in portfolio risk is less apparent and enhanced, and the risk reduction effectiveness increases significantly during financial and oil crises. Overall, our findings will be helpful in understanding the heterogeneous interplay between global oil and China’s biofuel-related commodities and in evaluating portfolio diversification opportunities under different market conditions.

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Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets

Cited by 41 publications

References 63 publications

Dynamic correlation between crude oil and agricultural futures markets

Dynamic correlation between crude oil and agricultural futures markets

Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities

Quantile Dependence between Crude Oil and China’s Biofuel Feedstock Commodity Market

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