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Effects of Covid-19 Pandemic on Chinese Commodity Futures Markets

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  • Ahmet Goncu

Abstract

In this study, empirical moments and the cointegration for all the liquid commodity futures traded in the Chinese futures markets are analyzed for the periods before and after Covid-19, which is important for trading strategies such as pairs trading. The results show that the positive change in the average returns of the products such as soybean, corn, corn starch, and iron ore futures are significantly stronger than other products in the post Covid-19 era, whereas the volatility increased most for silver, petroleum asphalt and egg futures after the pandemic started. The number of cointegrated pairs are reduced after the pandemic indicating the differentiation in returns due to the structural changes caused in the demand and supply conditions across commodities.

Suggested Citation

  • Ahmet Goncu, 2021. "Effects of Covid-19 Pandemic on Chinese Commodity Futures Markets," Papers 2106.09250, arXiv.org.
    • Handle: RePEc:arx:papers:2106.09250
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    References listed on IDEAS

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    Cited by:

    1. Rehman, Mobeen Ur & Vo, Xuan Vinh & Ko, Hee-Un & Ahmad, Nasir & Kang, Sang Hoon, 2023. "Quantile connectedness between Chinese stock and commodity futures markets," Research in International Business and Finance, Elsevier, vol. 64(C).

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