Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China

Jian, Zhihong; Li, Xupei; Zhu, Zhican

doi:10.1016/j.najef.2021.101632

Cited by 5 publications

(1 citation statement)

References 41 publications

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“…Most studies focus on mature commodity futures markets in developed countries, and ignore China's commodity futures market. With respect to China's commodities, scholars pay more attention to financial stock index futures than commodity futures related to the real economy, such as agricultural products, metals, and energy (Hou & Li, 2020; Jian et al, 2022). Also, prior research can only capture the dependence relationship of asset prices under average conditions using the generalized autoregressive conditional heteroskedasticity (GARCH) family of models (Mensi et al, 2021b; Peng, 2020) or certain market conditions using an event study (Alam et al, 2020; Heyden & Heyden, 2021).…”

Section: Introductionmentioning

confidence: 99%

A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions

Huang

Xiong

2023

Journal of Futures Markets

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Using a proposed quantile-based hedging analysis framework, this paper analyzes the hedging properties and portfolio performance of 15 commodities futures in China, especially under extreme market conditions. Quantile-onquantile regression results show that the dependency structures of most spot and futures prices exhibit an almost similar shape with positive coefficients, which indicates that most futures products are good hedges and safe havens for the corresponding spot prices. Quantile hedge ratios vary with the quantiles, displaying a U-shape, so the hedge ratios of most commodities should increase moderately in both bearish and bullish markets. As for portfolio performance, metal commodities perform best; agricultural commodities second best, and energy commodities relatively poorly. Out-of-sample quantile hedging results are consistent with in-sample results. Therefore, participating in the futures market can effectively manage risk. The premise is that investors pay attention to market dynamics and adjust their portfolios promptly.commodity futures, extreme market, quantile hedging, quantile-on-quantile regression, safe haven | INTRODUCTIONIn recent years, uncertainties such as COVID-19, the Russia-Ukraine war, and African Swine fever have led to dramatic volatility in international commodity prices (Ji et al., 2020;Panagiotou, 2021) and extreme market conditions occur frequently. The price of a barrel of West Texas Intermediate (WTI), the benchmark for US oil, fell as low as −

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Section: Introductionmentioning

confidence: 99%

A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions

Huang

Xiong

2023

Journal of Futures Markets

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Risk spillover from international crude oil markets to China’s financial markets: Evidence from extreme events and U.S. monetary policy

Luo,

Qu,

et al. 2024

The North American Journal of Economics and Finance

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Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis

Pani

Gherghina

Mata

et al. 2022

Discrete Dynamics in Nature and Society

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Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines the price discovery function of the bullion, metal, and energy commodity futures and spot prices through the Granger causality and Johansen–Juselius cointegration tests. The Granger causality test results show bidirectional causality between the spot and futures returns for gold, silver, aluminum, lead, nickel, and zinc. The Johansen cointegration test shows that spot and futures prices are in the long-run equilibrium path for silver, aluminum, lead, nickel, zinc, crude oil, and natural gas. The vector error correction model results suggest that both the spot and futures markets are equally efficient in price discovery for the nickel. The spot market leads the futures market in price discovery for copper and zinc. However, the futures market leads the spot market in price discovery for silver, aluminum, and lead. The findings of the study suggest the market participants for implementing hedging and arbitrage strategies. It also helps the market regulators to examine the stability of these rapidly growing commodity futures markets in India.

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Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China

Cited by 5 publications

References 41 publications

A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions

A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions

Risk spillover from international crude oil markets to China’s financial markets: Evidence from extreme events and U.S. monetary policy

Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis

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