Journal of Commodity Markets

2016 - 2025

Current editor(s): Marcel Prokopczuk, Betty Simkins and Sjur Westgaard

From Elsevier
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Volume 37, issue C, 2025

Time to get mature: Collateral, flexibility and the hedging horizon decision

Håkan Jankensgård, Nicoletta Marinelli and Rafael Schiozer

Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market

Katarzyna Chȩć, Bartosz Uniejewski and Rafał Weron

A quantitative model of sustainability risk in finance

Takashi Kanamura

Do different speculation strategies cause distinct impacts on the volatility of the live cattle futures in Brazil?

Augusto Seabra Santos and Alexandre Almeida

Corporate reputational dynamics and their impact on global commodity markets

Iris Li, Erdinc Akyildirim, Thomas Conlon and Shaen Corbet

Media emotion intensity and commodity futures pricing

Yeguang Chi, Lina El-Jahel and Thanh Vu

Volume 36, issue C, 2024

Weathering market swings: Does climate risk matter for agricultural commodity price predictability?

Yong Ma, Mingtao Zhou and Shuaibing Li

Diversifying crude oil price risk with crude oil volatility index: The role of volatility-of-volatility

Leon Li and Peter Miu

Oil jump tail risk as a driver of inflation dynamics

Laurent Ferrara, Aikaterini Karadimitropoulou and Athanasios Triantafyllou

A comparative study of factor models for different periods of the electricity spot price market

Christian Laudagé, Florian Aichinger and Sascha Desmettre

Do oil market shocks affect financial distress? Evidence from firm-level global data

Mohammad Mahdi Mousavi, Giray Gözgör and Albert Acheampong

When Chinese mania meets global frenzy: Commodity price bubbles

John Hua Fan, Adrian Fernandez-Perez, Ivan Indriawan and Neda Todorova

The role of news sentiment in salmon price prediction using deep learning

Christian-Oliver Ewald and Yaoyu Li

Expected returns on commodity ETFs and their underlying assets

Gonzalo Cortazar, Hector Ortega, Joaquin Santa Maria and Eduardo S. Schwartz

Importance of geopolitical risk in volatility structure: New evidence from biofuels, crude oil, and grains commodity markets

Renata Karkowska and Szczepan Urjasz

Food-fuel nexus beyond mean-variance: New evidence from a quantile approach

Linjie Wang, Xiaoli Etienne and Jian Li

Connectedness between green bonds, clean energy markets and carbon quota prices: Time and frequency dynamics

Ingrid Emilie Flessum Ringstad and Kyriaki Tselika

Asymmetric multi-scale systemic risk spillovers across international commodity futures markets: The role of infectious disease uncertainty

Yanli Zhu, Xian Yang, Chuanhai Zhang, Sihan Liu and Jiayi Li

Forecasting crude oil returns with oil-related industry ESG indices

Kaixin Li, Zhikai Zhang, Yudong Wang and Yaojie Zhang

Commodity market downturn: Systemic risk and spillovers during left tail events

Samet Gunay, Destan Kirimhan and Emrah Çevik

Have the causal effects between equities, oil prices, and monetary policy changed over time?

Alexander Kurov, Eric Olson and Marketa Halova Wolfe

Carbon pricing and the commodity risk premium

Qiao Wang

Volume 35, issue C, 2024

Implied parameter estimation for jump diffusion option pricing models: Pricing accuracy and the role of loss and evaluation functions

Jimmy E. Hilliard, Jitka Hilliard and Julie T.D. Ngo

The asymmetric effect of G7 stock market volatility on predicting oil price volatility: Evidence from quantile autoregression model

Feipeng Zhang, Hongfu Gao and Di Yuan

Stock return predictability using economic narrative: Evidence from energy sectors

Tian Ma, Ganghui Li and Huajing Zhang

Nash equilibria in greenhouse gas offset credit markets

Liam Welsh and Sebastian Jaimungal

Understanding the variance of earnings growth: The case of shipping

Hyun-Tak Lee and Heesung Yun

Boring finance. Petroleum exploration and firm debt: Evidence from Norway

Johannes Mauritzen

Did grain futures prices overreact to the Russia–Ukraine war due to herding?

Colin Carter and Sandro Steinbach

Seasonality patterns in LNG shipping spot and time charter freight rates

Dionysios Polemis and Christos Bentsos

Volume 34, issue C, 2024

USDA reports affect the stock market, too

An N.Q. Cao, Thomas Heckelei, Octavian Ionici and Michel Robe

Are shocks in the stock markets driven by commodity markets? Evidence from Russia-Ukraine war

Priti Biswas, Prachi Jain and Debasish Maitra

Time-varying and multi-scale analysis of copper price influencing factors based on LASSO and EMD methods

Yanqiong Liu, Yaoqi Guo and Qing Wei

Four Commitments of Traders Reports puzzles, revisited: Answers from grains and oilseeds futures markets

Michel Robe and John S. Roberts

On the estimation of Value-at-Risk and Expected Shortfall at extreme levels

Emese Lazar, Jingqi Pan and Shixuan Wang

Coal price shock propagation through sectoral financial interconnectedness in China's stock market: Quantile coherency network modelling and shock decomposition analysis

Yan Zhang, Yushi Xu, Xintong Zhu and Jionghao Huang

Stress from attention: The relationship between climate change attention and crude oil markets

Boqiang Lin, Yiyang Chen and Xu Gong

Wholesale pork demand: Understanding primal-level heterogeneity

Jaime R. Luke, Glynn Tonsor and D. Scott Brown

Managing the oil market under misinformation: A reasonable quest?

Hossa Almutairi, Axel Pierru and James Smith

Quantile spillovers and connectedness between oil shocks and stock markets of the largest oil producers and consumers

Waqas Hanif, Sinda Hadhri and Rim El Khoury

Do agricultural swaps co-move with equity markets? Evidence from the COVID-19 crisis

Christopher B. Burns and Daniel L. Prager

Digging deeper - Is bitcoin digital gold? A mining perspective

Dirk G. Baur, Jonathan R. Karlsen, Lee Smales and Allan Trench

Blessings or curse: How do media climate change concerns affect commodity tail risk spillovers?

Linh Pham and Javed Bin Kamal

Volume 33, issue C, 2024

Revisiting the pricing impact of commodity market spillovers on equity markets

Francisco Pinto-Ávalos, Michael Bowe and Stuart Hyde

Tail risk spillover effects in commodity markets: A comparative study of crisis periods

Muhammad Abubakr Naeem, Foued Hamouda and Sitara Karim

Forecasting the price of oil: A cautionary note

Thomas Conlon, John Cotter and Emmanuel Eyiah-Donkor

Quantile coherency across bonds, commodities, currencies, and equities

Gazi Salah Uddin, Brian Lucey, Md Lutfur Rahman and David Stenvall

Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress

Jinxin Cui and Aktham Maghyereh

Option pricing revisited: The role of price volatility and dynamics

Jean-Paul Chavas, Jian Li and Linjie Wang

Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility

Gabriel D. Bunek and Joseph Janzen

Carbon volatility connectedness and the role of external uncertainties: Evidence from China

Huayi Chen, Huai-Long Shi and Wei-Xing Zhou

Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis

Nikolaos Kyriazis, Stephanos Papadamou, Panayiotis Tzeremes and Shaen Corbet

How does carbon market interact with energy and sectoral stocks? Evidence from risk spillover and wavelet coherence

Lu-Tao Zhao, Hai-Yi Liu and Xue-Hui Chen

Cross-hedging wild salmon prices

Rune Nygaard and Kristin H. Roll