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Revisiting China’s Commodity Futures Market Amid the Main Waves of COVID-19 Pandemics

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  • Xiangyu Chen

    (University of International Business and Economics)

  • Jittima Tongurai

    (Kobe University)

  • Pattana Boonchoo

    (Thammasat University)

Abstract

This study examines the impact of the global pandemic on the returns and volatility of China’s commodity futures market from December 2019 to April 2021. Our analysis reveals that the regimes of futures returns in the general commodity, industrial, and metal markets are positively correlated with the regimes of pandemic cases, while the regimes of pandemic cases are negatively correlated with the returns of energy and precious metal futures. In contrast, futures volatilities exhibit inverse relationships with pandemic cases. With the exception of precious metals, which are widely considered safe-haven assets, the risk level of the commodity futures market, as measured by return volatility, is heightened by the level of pandemic cases. Bivariate SVAR results suggest that the pandemic has a greater but short-run impact on futures returns, while its effects on futures volatilities are relatively lesser but long-lasting.

Suggested Citation

  • Xiangyu Chen & Jittima Tongurai & Pattana Boonchoo, 2024. "Revisiting China’s Commodity Futures Market Amid the Main Waves of COVID-19 Pandemics," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 1035-1063, December.
    • Handle: RePEc:kap:apfinm:v:31:y:2024:i:4:d:10.1007_s10690-023-09440-9
    DOI: 10.1007/s10690-023-09440-9
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    Keywords

    China; Commodity futures market; Global pandemic;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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