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
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author Zhang, Lu
Hsieh, Pei-lin
Chen, Haiqiang
author_facet Zhang, Lu
Hsieh, Pei-lin
Chen, Haiqiang
author_sort Zhang, Lu
collection PubMed
description 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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spelling pubmed-101554172023-05-03 COVID-19 and commodity pricing premium: Evidence from the Chinese market Zhang, Lu Hsieh, Pei-lin Chen, Haiqiang Financ Res Lett Article 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. Elsevier Inc. 2023-05-03 /pmc/articles/PMC10155417/ /pubmed/37360750 http://dx.doi.org/10.1016/j.frl.2023.103899 Text en © 2023 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Zhang, Lu
Hsieh, Pei-lin
Chen, Haiqiang
COVID-19 and commodity pricing premium: Evidence from the Chinese market
title COVID-19 and commodity pricing premium: Evidence from the Chinese market
title_full COVID-19 and commodity pricing premium: Evidence from the Chinese market
title_fullStr COVID-19 and commodity pricing premium: Evidence from the Chinese market
title_full_unstemmed COVID-19 and commodity pricing premium: Evidence from the Chinese market
title_short COVID-19 and commodity pricing premium: Evidence from the Chinese market
title_sort covid-19 and commodity pricing premium: evidence from the chinese market
topic Article
url 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
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