COVID-19 and commodity pricing premium: Evidence from the Chinese market

Our paper studies the impact of the COVID-19 epidemic on commodity pricing premiums in the Chinese commodity futures market. After summarizing the explanatory power of documented benchmark pricing factors, we apply the difference-in-difference regression for our event study. We document a substantia...

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Detalles Bibliográficos
Autores principales: Zhang, Lu, Hsieh, Pei-lin, Chen, Haiqiang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10155417/
https://www.ncbi.nlm.nih.gov/pubmed/37360750
http://dx.doi.org/10.1016/j.frl.2023.103899
Descripción
Sumario:Our paper studies the impact of the COVID-19 epidemic on commodity pricing premiums in the Chinese commodity futures market. After summarizing the explanatory power of documented benchmark pricing factors, we apply the difference-in-difference regression for our event study. We document a substantial impact of the COVID-19 pandemic on increasing the commodity basis premium by at least 30%. Basis-momentum premium, especially for agriculture futures, also increases during the epidemic. The results are robust and validated by sub-sample regressions. The influence of COVID-19 on the commodity market is more prevailing than the trade war.

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