Analysis of Comovement Between China's Commodity Futures and World Crude Oil Prices
Tianding Zhang,
Song Zeng and
Jie Li
Prague Economic Papers, 2023, vol. 2023, issue 6, 659-698
Abstract:
We Examine the Comovement between China's Commodity Futures and World Crude Oil Prices Based on Their Daily Return Series. Using a Dynamic Time-Varying Approach, We Combine the Generalized Autoregressive Score (Gas) Model with the Copula Approach, Allowing for Asymmetry and Tail Dependence. Our Results Demonstrate a Significant Nonlinear Causal Impact of World Crude Oil Prices on Each of China's Commodities. The Comovement between China's Commodity Futures and Crude Oil Prices Is Positive, with Varying Degrees of Significance across Different Commodity Types. Notably, Non-Ferrous Metal and Chemical Commodity Futures Are More Vulnerable to Rising Crude Oil Prices. From a Dynamic Perspective, We Observe Continued Volatility in the Comovement between China's Commodity Futures and World Crude Oil Prices in Recent Years. Moreover, the Time-Varying Dependence between the Three Non-Ferrous Metals and Crude Oil Prices Is Higher than That of Other Commodities. These Findings Hold Significant Implications for Global Investors, Risk Managers and Policymakers.
Keywords: comovement; commodity futures; world crude oil prices; copula (search for similar items in EconPapers)
JEL-codes: C58 Q02 Q37 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:
Downloads: (external link)
http://pep.vse.cz/doi/10.18267/j.pep.847.html (text/html)
http://pep.vse.cz/doi/10.18267/j.pep.847.pdf (application/pdf)
free of charge
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:prg:jnlpep:v:2023:y:2023:i:6:id:847:p:659-698
Ordering information: This journal article can be ordered from
Editorial office Prague Economic Papers, University of Economics, nám. W. Churchilla 4, 130 67 Praha 3, Czech Republic
http://pep.vse.cz
DOI: 10.18267/j.pep.847
Access Statistics for this article
Prague Economic Papers is currently edited by Klára Pavlová
More articles in Prague Economic Papers from Prague University of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Stanislav Vojir ().