Revisiting China’s Commodity Futures Market Amid the Main Waves of COVID-19 Pandemics

Xiangyu Chen (), Jittima Tongurai and Pattana Boonchoo ()
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Xiangyu Chen: University of International Business and Economics
Pattana Boonchoo: Thammasat University

Asia-Pacific Financial Markets, 2024, vol. 31, issue 4, No 10, 1035-1063

Abstract: Abstract This study examines the impact of the global pandemic on the returns and volatility of China’s commodity futures market from December 2019 to April 2021. Our analysis reveals that the regimes of futures returns in the general commodity, industrial, and metal markets are positively correlated with the regimes of pandemic cases, while the regimes of pandemic cases are negatively correlated with the returns of energy and precious metal futures. In contrast, futures volatilities exhibit inverse relationships with pandemic cases. With the exception of precious metals, which are widely considered safe-haven assets, the risk level of the commodity futures market, as measured by return volatility, is heightened by the level of pandemic cases. Bivariate SVAR results suggest that the pandemic has a greater but short-run impact on futures returns, while its effects on futures volatilities are relatively lesser but long-lasting.

Keywords: China; Commodity futures market; Global pandemic (search for similar items in EconPapers)
JEL-codes: C12 C32 G10 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10690-023-09440-9

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