COVID-19 and commodity pricing premium: Evidence from the Chinese market

Lu Zhang, Pei-lin Hsieh and Haiqiang Chen

Finance Research Letters, 2023, vol. 58, issue PA

Abstract: Our paper studies the impact of the COVID-19 epidemic on commodity pricing premiums in the Chinese commodity futures market. After summarizing the explanatory power of documented benchmark pricing factors, we apply the difference-in-difference regression for our event study. We document a substantial impact of the COVID-19 pandemic on increasing the commodity basis premium by at least 30%. Basis-momentum premium, especially for agriculture futures, also increases during the epidemic. The results are robust and validated by sub-sample regressions. The influence of COVID-19 on the commodity market is more prevailing than the trade war.

Keywords: COVID-19; Epidemic; Commodity market; Commodity pricing premium; Commodity futures returns (search for similar items in EconPapers)
JEL-codes: C31 F62 G13 G14 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323002714

DOI: 10.1016/j.frl.2023.103899

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