The impact of COVID-19 on commodity options market: Evidence from China

Chen, Jilong; Xu, Liao; Hao, Xu

doi:10.1016/j.econmod.2022.105998

Cited by 7 publications

(6 citation statements)

References 43 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Studies focused primarily on the impact of the pandemic on stock prices and stock indices (Al-Awadhi et al, 2020;Ali et al, 2020;Nadeem, 2022;Baig et al, 2021;Akbulaev et al, 2022;Alexandri et al, 2022) On the other hand, fewer studies analyzed the impact of COVID-19 on the commodity derivatives market, which is important from the perspective of companies bearing the risk of oil price changes. It is also worth emphasizing that with the rapid development of the commodity derivatives market, the relationships between the commodities market and other markets become more and more complex, thus constituting a significant source of risk that cannot be ignored in the economic system (Chen et al, 2022). Commodity options in particular are one of the most useful risk management tools in the current capital market and also an important part of the commodity market (Christensen et al, 2010).…”

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic

Łamasz

Michalski

Puka

2023

IJEEP

View full text Add to dashboard Cite

The COVID-19 pandemic has caused turbulence in many areas of the global economy. It also contributed to an increase in volatility on the energy commodities market. This spilled over into the derivatives market, particularly the crude oil futures market. The aim of the article is to compare the costs and effectiveness of using options on WTI oil from before and after the pandemic. The analyzes took into account the value of option premiums and final results obtained by buyers of call options from March 1, 2018 to April 14, 2022. The results showed that buyers of call options during the pandemic, despite paying much higher option premiums, experienced significantly higher payouts and rates of return. They were the highest for options with the longest expiry periods of 21-30 days. Research also showed that during the pandemic, options with strike prices set at a level higher than the price of oil on the contract date had particularly high rates of return, while the highest payout values were achieved by buyers of call options with low strike prices.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

“…The work of Chen et al (2022) is one of the few articles on the subject of changes taking place in the commodity options market in recent months. The authors of that article analyzed the impact of COVID-19 on the volatility of the commodity options market.…”

Section: Literature Reviewmentioning

confidence: 99%

WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic

Łamasz

Michalski

Puka

2023

IJEEP

View full text Add to dashboard Cite

show abstract

“…4.5 H4: moderating effect of covid-19 Similar to equation (5), equation ( 7) has BigN changing to COVID, a dummy variable for the effect of Covid-19, which is 1 if it is not during the pandemic and 0 otherwise. In this study, we specifically define the period of 2019-2021 as our designated COVID period, aligning with previous COVID-related business literature conducted in China, as evidenced by studies conducted by Chen et al (2022), Iqbal and Bilal (2021) and Fang et al (2022). For equation ( 7), the main concern is the regression coefficient a3 of the cross-product term CSR Â COVID.…”

Section: H2: Moderating Effect Of Firm Characteristicsmentioning

confidence: 99%

Does CSR reduce financial distress? Moderating effect of firm characteristics, auditor characteristics, and covid-19

Rahman,

Zhu,

Chen

2023

IJAIM

View full text Add to dashboard Cite

Purpose This study aims to investigate the relationship between corporate social responsibility (CSR) and financial distress and the moderating effect of firm characteristics, auditor characteristics and the Coronavirus disease 2019 (Covid-19) in China. Design/methodology/approach The research question is empirically examined on the basis of a data set of 1,257 Chinese-listed firms from 2011 to 2021. The dependent variable is financial distress risk, which is measured mainly by Z-score. CSR score is used as a proxy for CSR. Propensity score matching, two-stage least square and generalized method of moments are adopted to mitigate the potential endogeneity issue. Findings This study reveals that CSR can reduce financial distress. Specifically, results show an inverse relationship between CSR and financial distress, more significantly in non-state-owned enterprises, firms with non-BigN auditor and during Covid-19. The results are consistent and robust to endogeneity tests and sensitivity analyses. Originality/value This study enriches the literature on CSR and financial distress, resulting in a more attractive corporate environment, improved financial stability and more crisis-resistant economies in China.

show abstract

“…By using the pandemic declaration date, the intraday prices ranging from 1 August 2019 to 10 March 2020 refer to the period before the pandemic and prices from 11 March 2020 to 25 September 2020 form the sample for the period after announcing the pandemic. To overcome the problem of microstructure noise and duplicate values, the high-frequency data is aggregated into a 15 min frequency, which is the highest and best frequency and is in line with (Aslam et al 2021b;Chen et al 2022;Zhang and Ma 2021). Due to removal of the duplicate values and different number of trading days in different months, we have a different number of observations for these time periods.…”

Section: Data Descriptionmentioning

confidence: 99%

Analysis of the Impact of COVID-19 Pandemic on the Intraday Efficiency of Agricultural Futures Markets

Aslam

Ferreira

Ali

2022

JRFM

View full text Add to dashboard Cite

The investigation of the fractal nature of financial data has been growing in the literature. The purpose of this paper is to investigate the impact of the COVID-19 pandemic on the efficiency of agricultural futures markets by using multifractal detrended fluctuation analysis (MF-DFA). To better understand the relative changes in the efficiency of agriculture commodities due to the pandemic, we split the dataset into two equal periods of seven months, i.e., 1 August 2019 to 10 March 2020 and 11 March 2020 to 25 September 2020. We used the high-frequency data at 15 min intervals of cocoa, cotton, coffee, orange juice, soybean, and sugar. The findings reveal that the COVID-19 pandemic has great but varying impacts on the intraday multifractal properties of the selected agricultural future markets. In particular, the London sugar witnessed the lowest multifractality while orange juice exhibited the highest multifractality before the pandemic declaration. Cocoa became the most efficient while the cotton exhibited the minimum efficient pattern after the pandemic. Our findings show that the highest improvement is found in the market efficiency of orange juice. Furthermore, the behavior of these agriculture commodities shifted from a persistent to an antipersistent behavior after the pandemic. The information given by the detection of multifractality can be used to support investment and policy-making decisions.

show abstract

The impact of COVID-19 on commodity options market: Evidence from China

Cited by 7 publications

References 43 publications

WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic

WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic

Does CSR reduce financial distress? Moderating effect of firm characteristics, auditor characteristics, and covid-19

Analysis of the Impact of COVID-19 Pandemic on the Intraday Efficiency of Agricultural Futures Markets

Contact Info

Product

Resources

About