Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments

Cui, Jinxin; Maghyereh, Aktham; Goh, Mark; Zou, Huiwen

doi:10.1016/j.energy.2021.121751

Cited by 26 publications

(9 citation statements)

References 87 publications

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“…Moreover, the linkage between crude oil and agricultural commodities increased during the global financial crisis, the COVID‐19 pandemic, and the crude oil price crash. This indicates that the systemic risks triggered by these events amplify the linkage between crude oil and agricultural commodity futures markets (Cui et al., 2022). Our study further complements those of Tiwari et al.…”

Section: Resultsmentioning

confidence: 99%

“…Cui et al. (2022) found the COVID‐19 pandemic and crude oil price crash in 2020 have greatly intensified the dynamic realized volatility links between WTI/Brent oil and white sugar, soybean, cotton, corn, and aluminum. This phenomenon emphasizes the importance of frequent portfolio adjustment and optimal hedging.…”

Section: Resultsmentioning

confidence: 99%

“…Second, the financial crisis, the crude oil price crash, and the COVID-19 epidemic have reduced the optimal weight of crude oil in the agricultural commodities and crude oil portfolio. Cui et al (2022) found the COVID-19 pandemic and crude oil price crash in 2020 have greatly intensified the dynamic realized volatility links between WTI/Brent oil and white sugar, soybean, cotton, corn, and aluminum. This phenomenon emphasizes the importance of frequent portfolio adjustment and optimal hedging.…”

Section: Implications For Risk Managementmentioning

confidence: 99%

“…Luo and Zhang (2021) found that the volatility spreads from world oil futures markets to China's agricultural commodity futures markets. Dynamic net‐pairwise connectedness of the realized volatility and higher‐order moment measures between crude oil and China's commodities are time varying and mostly bidirectional (Cui et al., 2022).…”

Section: Literature Reviewmentioning

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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Section: Resultsmentioning

confidence: 99%

Section: Resultsmentioning

confidence: 99%

Section: Implications For Risk Managementmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

See 2 more Smart Citations

Dynamic correlation between crude oil and agricultural futures markets

Chen

Yan

Kang

2022

Review Development Economics

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“…We have noticed earlier works on price comovement between US and Canadian wheat futures markets (Booth et al, 1998 ) and price cointegration between London and Shanghai copper futures markets (X. Li & Zhang, 2008 ). Recent works (Cui et al, 2022 , Yang & Zhou, 2020 ) have examined return and volatility links between international crude oil and Chinese commodity futures markets. However, the above works have not investigated the impacts of public events on such cross‐border commodity market linkages.…”

Section: Introductionmentioning

confidence: 99%

The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets

Zhang

Ding

Shi

2022

Journal of Futures Markets

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The oil futures market plays a vital role in the global financial system, especially after the negative future oil price rose during the COVID‐19 pandemic. This paper investigates the COVID‐19 impact on the interdependence between the US and Chinese oil futures markets by extending the dynamic conditional correlation‐generalized autoregressive conditional heteroskedasticity (DCC‐GARCH) models with incorporating COVID‐19 variables and by applying vector autoregression (VAR) models. Our study reveals that the COVID‐19 pandemic enhanced the long‐run correlation between the two oil markets. In contrast, daily changes in pandemic severity had a negative effect on the short‐term transient correlation. Our results show that COVID‐19 changed the one‐direction causality from the US oil market to the Chinese market in the pre‐COVID period to a bidirectional causal relation between the two markets during the COVID period. It strengthened the volatility spillover effect from the Chinese to US markets. These findings are helpful to regulars' monitoring oil supply chain risk and investors' cross‐market hedging of spillover risks from a systematic risk perspective.

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Time‐varying pure contagion effect between energy and nonenergy commodity markets

Gong

Jin

Sun

2022

Journal of Futures Markets

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This paper combines the Kalman filtering technique and the time‐varying parameter vector autoregression model with stochastic volatility model to explore pure contagion effects between energy and nonenergy (i.e., industrial metals, precious metals, and agricultural) commodity markets. Empirical results show the significant pure contagion effects between energy and industrial metals markets in most periods, while pure contagion effects between energy and precious metals and agricultural markets occur only in a few specific periods. Comparing the level of pure contagion effects between different commodity markets, energy is still the main price transmitter. In addition, with the acceleration of the global commodity market financialization process, the frequency and harm of pure contagion effects are gradually increasing. Notably, the COVID‐19 pandemic is emerging as another major crisis after the global financial crisis, exacerbating the pure contagion effects between energy and precious metals and agricultural markets.

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Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments

Cited by 26 publications

References 87 publications

Dynamic correlation between crude oil and agricultural futures markets

Dynamic correlation between crude oil and agricultural futures markets

The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets

Time‐varying pure contagion effect between energy and nonenergy commodity markets

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