EconPapers    
Economics at your fingertips  
 

The dynamics of oil on China’s commodity sectors: What can we learn from a quantile perspective?

Bi-Bo Wu

Journal of Commodity Markets, 2021, vol. 23, issue C

Abstract: I employ the rolling quantile regression, the quantile-on-quantile (QQ) method and the quantile coherency (QC) approach with hedging effectiveness (HE) index to investigate the dynamics of global crude oil on China’s commodity sectors and hedging effectiveness of oil market for China’s commodity sectors. The main results show that the coefficients of rolling window quantile regression vary across periods and are affected easily by some extreme events such as the GFC and recent COVID-19. By utilizing the QQ approach, it’s revealed that the dynamic effects of oil on commodity sectors have heterogeneity and asymmetry. Furthermore, the high-frequency trading in the oil and commodity market may receive higher benefits and the investors can also gain profits in some crisis or bad market situations. In addition, we can see the strong heterogeneity in the hedging effectiveness, and there is some evidence that the oil market is an effective hedge heaven for China’s commodity.

Keywords: Oil; Commodity sectors; Quantile; Hedging effectiveness (search for similar items in EconPapers)
JEL-codes: G15 Q43 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2405851320300350
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:23:y:2021:i:c:s2405851320300350

DOI: 10.1016/j.jcomm.2020.100158

Access Statistics for this article

Journal of Commodity Markets is currently edited by Marcel Prokopczuk, Betty Simkins and Sjur Westgaard

More articles in Journal of Commodity Markets from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-12-18
Handle: RePEc:eee:jocoma:v:23:y:2021:i:c:s2405851320300350