Journal of Commodity Markets

2016 - 2025

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

From Elsevier
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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

Volume 32, issue C, 2023

Estimation of value at risk for copper

Konstantinos Gkillas, Christoforos Konstantatos, Spyros Papathanasiou and Mark Wohar

The role of higher moments in predicting China's oil futures volatility: Evidence from machine learning models

Hongwei Zhang, Xinyi Zhao, Wang Gao and Zibo Niu

What moves commodity terms-of-trade? Evidence from 178 countries

Yousef Makhlouf, Neil M. Kellard and Dmitri Vinogradov

The evolution of commodity market financialization: Implications for portfolio diversification

Renee Fry-McKibbin and Kate McKinnon

Exploring volatility of crude oil intraday return curves: A functional GARCH-X model

Gregory Rice, Tony Wirjanto and Yuqian Zhao

The Fortune and crash of common risk factors in Chinese commodity markets

Hemei Li, Zhenya Liu and Yuqian Zhao

Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach

Michael Gaete and Rodrigo Herrera

Hedging with futures during nonconvergence in commodity markets

Alankrita Goswami, Berna Karali and Michael Adjemian

Commodity prices under the threat of operational disruptions: Labor strikes at copper mines

Viviana Fernandez, Boris Pastén-Henríquez, Pablo Tapia-Griñen and Rodrigo Wagner

Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events

Ming-Yuan Yang, Zhanghangjian Chen, Zongzheng Liang and Sai-Ping Li

How are climate risk shocks connected to agricultural markets?

Kun Guo, Yichong Li, Yunhan Zhang, Qiang Ji and Wanli Zhao

World regional natural gas prices: Convergence, divergence or what? New evidence

Jose Roberto Loureiro, Julian Inchauspe and Roberto F. Aguilera

Volume 31, issue C, 2023

Commodity futures return predictability and intertemporal asset pricing

John Cotter, Emmanuel Eyiah-Donkor and Valerio Potì

Logistics competition between the U.S. and Brazil for soybean shipments to China: An optimized Monte Carlo simulation approach

Gwen Kamrud, William W. Wilson and David Bullock

Trading time seasonality in electricity futures

Ståle Størdal, Christian-Oliver Ewald, Gudbrand Lien and Erik Haugom

Equilibrium and real options in the ethanol industry: Modeling and empirical evidence

Matt Davison and Nicolas Merener

Gold risk premium estimation with machine learning methods

Juan D. Díaz, Erwin Hansen and Gabriel Cabrera

The impact of financialization on the efficiency of commodity futures markets

Martin T. Bohl, Scott H. Irwin, Alexander Pütz and Christoph Sulewski

Explaining intraday crude oil returns with higher order risk-neutral moments

Patrick Wong

Carr and Wu’s (2020) framework in the oil ETF option market

Xiaolan Jia, Xinfeng Ruan and Jin E. Zhang

Do spot market auction data help price discovery?

Adrian Fernandez-Perez, Joëlle Miffre, Tilman Schoen and Ayesha Scott

Determinants and dynamic interactions of trader positions in the gold futures market

Yu-Lun Chen and Wan-Shin Mo

ETP tracking of U.S. agricultural and energy markets

Shamar Stewart, Olga Isengildina Massa, Colburn Hassman and Maximo de Leon

Parametric heat wave insurance

Karl Larsson

Wheat price volatility regimes over 140 years: An analysis of daily price ranges

Marco Haase, Heinz Zimmermann and Matthias Huss

Oil–gas price relationships on three continents: Disruptions and equilibria

Christoph Halser, Florentina Paraschiv and Marianna Russo

Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?

Faruk Balli, Hatice O Balli and Thi Thu Ha Nguyen

A review of the literature on LNG: Hubs development, market integration, and price discovery

Yuri Hupka, Ivilina Popova, Betty Simkins and Thomas Lee

Psychological price barriers, El Niño, La Niña: New insights for the case of coffee

Mark Holmes and Jesus Otero