Asymmetric Risk Connectedness between Crude Oil and Agricultural Commodity Futures in China before and after the COVID-19 Pandemic: Evidence from High-Frequency Data

Deyuan Zhang, Wensen She, Fang Qu () and Chunyan He
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Deyuan Zhang: School of Economics, Xihua University, Chengdu 610039, China
Wensen She: School of Economics, Xihua University, Chengdu 610039, China
Fang Qu: School of Economics, Xihua University, Chengdu 610039, China
Chunyan He: School of Economics, Xihua University, Chengdu 610039, China

Energies, 2023, vol. 16, issue 16, 1-19

Abstract: Based on the spillover index and an improved spillover asymmetric measure method, this paper studies the volatility spillover and its asymmetric effect between crude oil and agricultural commodity futures in pre- and post-outbreak of COVID-19. We find that the total volatility spillover is higher with pre-outbreak of COVID-19. In addition, the volatility spillover caused by China’s crude oil is more prominent than international crude oil around the COVID-19, which highlights the necessity of risk control through the establishment of an energy financial market in China. Finally, although the asymmetric effect of volatility spillover has always existed, crude oil was less impacted by good news post-outbreak of COVID-19, indicating that the outbreak of COVID-19 makes assets dominated by commodity attributes more sensitive to bad news. These findings are beneficial for investors to establish a cross-sector risk hedging portfolio, and provide empirical evidence for policymakers to ensure energy and food security.

Keywords: oil price; agricultural commodity future; COVID-19; realized volatility; asymmetric volatility spillover (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2023
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