 The impact of COVID-19 on commodity options market: Evidence from ChinaJilong Chen, Liao Xu and Hao Xu Economic Modelling, 2022, vol. 116, issue C Abstract: Considering the severe economic impact of COVID-19, this study examines COVID-19's influence on the Chinese commodity market. The literature shows that COVID-19's influence in China during its abatement period has not been well investigated. We address this issue by the intraday analysis of the volatility from 16 commodity options contracts in the Chinese commodity options market over the period 2019–2021. We demonstrate that while the pandemic eased in China after its initial outbreak, it still significantly affected the volatility of Chinese agricultural commodities options. In contrast, its impacts on the volatility of options for petrochemicals, ores, and metals are negligible. This pattern reflects the role of pandemic-led supply disruptions affecting agricultural commodity prices as necessities, contributing to higher price volatility relative to non-agricultural commodities, which are less volatile. Keywords: COVID-19; Commodity options; High-frequency data; Realized volatility (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002395 DOI: 10.1016/j.econmod.2022.105998 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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