When Chinese mania meets global frenzy: Commodity price bubbles

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

Journal of Commodity Markets, 2024, vol. 36, issue C

Abstract: This paper examines price bubbles in global commodity markets. We find that positive bubbles are more driven by fundamental shocks, while negative bubbles are more influenced by pessimistic market views on prices and the economy. Furthermore, bubble determinants vary across geographic regions. Trader behavior and policy uncertainty play prominent roles in influencing price bubbles in China, while global bubbles are predominantly shaped by rational responses to inventory, growth, and inflation. Finally, only positive bubbles exhibit contagion across regions. Overall, our findings suggest that asset price bubbles arise from traders' behavioral responses to a combination of fundamental, macroeconomic, and idiosyncratic shocks.

Keywords: Bubbles; Contagion; Commodity; Futures market; China (search for similar items in EconPapers)
JEL-codes: D84 G12 G13 G14 N25 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000564

DOI: 10.1016/j.jcomm.2024.100437

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