Journal of Commodity Markets最新文献

英文中文

Examining perceived spillovers among climate risk, fossil fuel, renewable energy, and carbon markets: A higher-order moment and quantile analysis

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-03-06 DOI: 10.1016/j.jcomm.2025.100470

Jinxin Cui , Aktham Maghyereh

The complex risks of global climate change and the transition to a sustainable economy have increasingly become central to research and policy debates. Climate risk perceptions influence fossil fuel, renewable energy, and carbon markets through both investment behavior and regulatory policy channels. Understanding the spillovers between climate risk perceptions and commodity markets has profound implications for sustainable investments and risk management strategies. This paper extends the existing literature by examining higher-order moment risk spillovers among perceptions of climate physical risks (CPR) and transition risks (CTR), fossil fuel, renewable energy, and carbon markets across different quantiles. Furthermore, this paper also proposes an analytical framework that integrates ex-post moment measures with an innovative QVAR extended joint connectedness approach. Our empirical analysis reveals that the connectedness outcomes are contingent upon moment orders and specific quantile levels. Notably, total spillovers are markedly higher at the extreme quantiles (especially at the 0.95 quantile) compared to the median quantile. Importantly, CPRI and CTRI serve as net transmitters of spillovers at the 0.05 and 0.95 quantiles but shift to being net recipients under normal market conditions. The directional net spillovers transmitted from climate risk perceptions to energy and carbon markets are more pronounced and consistent at the extreme higher and lower quantiles. Finally, we find that dynamic total spillovers of skewness and kurtosis at extreme quantiles are more volatile than at the median, with significant sensitivity to major events such as the COVID-19 pandemic, the Russia-Ukraine war, the Israel-Hamas war, extreme climate disasters, and the United Nations Climate Change Conferences.

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引用次数: 0

The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-02-28 DOI: 10.1016/j.jcomm.2025.100462

Menelaos Karanasos , Stavroula Yfanti , Jiaying Wu

We study the dynamic interdependence between stocks, a risky and financial ‘by definition’ asset class, and the ‘financialised’ assets from the real estate and commodity markets. We first introduce a new multivariate corrected Dynamic Conditional Correlations Mixed-Data Sampling (cDCC-MIDAS) model through which we analyse short- and long-run time-varying correlation dynamics among stocks, real estate, and five commodity types with direct implications for risk management and portfolio optimisation. The correlation analysis identifies short- and long-run hedging properties and interdependence types and concludes on strong countercyclical cross-asset interlinkages, highly dependent on the state of the economy in most cases (contagion effects) and weak procyclical connectedness for certain safe-haven assets (flight-to-quality). We further investigate the macro-relevance and crisis-vulnerability of the correlations’ evolution by unveiling the macro-determinants of asset co-movements. The economic environment plays a key role as a contagion or flight-to-quality transmitter, outweighing the effects of economic linkages among assets, while the uncertainty channel intensifies the macro impact on the cross-asset nexus.

我们研究了股票这一 "顾名思义 "的高风险金融资产类别与房地产和商品市场的 "金融化 "资产之间的动态相互依存关系。我们首先引入了一个新的多元校正动态条件相关混合数据采样（cDCC-MIDAS）模型，通过该模型，我们分析了股票、房地产和五种商品之间的短期和长期时变相关动态，这对风险管理和投资组合优化具有直接影响。相关性分析确定了短期和长期的对冲属性和相互依存类型，并得出结论：在大多数情况下（传染效应），强反周期性跨资产相互联系高度依赖于经济状况，而某些避险资产的弱顺周期性联系（逃向质量）。通过揭示资产共同运动的宏观决定因素，我们进一步研究了相关性演变的宏观相关性和危机脆弱性。经济环境作为传染或 "逃离质量 "的传播者发挥着关键作用，其影响超过了资产间经济联系的影响，而不确定性渠道则加剧了宏观对跨资产关系的影响。

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引用次数: 0

The pass-through of macro variable to volatility co-movement among U.S. currency and commodity futures markets system

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-02-24 DOI: 10.1016/j.jcomm.2025.100463

Xingyu Dai , Imran Yousaf , Jiqian Wang , Qunwei Wang , Chi Keung Marco Lau

This paper explores how the U.S. macro variable influences volatility co-movement in currency and commodity futures markets system. It does this by using the Dynamic Equicorrelation-Mixed Data Sampling-X model, and then calculating the daily realized volatility (RV), good volatility (GV), and bad volatility (BV) of 22 futures using 5-min high-frequency data. The Hodrick-Prescott filter method is applied to compute the raw, cycle, and trend components of the news for 17 macro variables and 4 principal components of these macro variables. There are three key study findings. First, the raw component of monetary policy uncertainty is the best fit for RV co-movement, while the raw component of trade policy uncertainty is the best fit for GV and BV co-movement. Second, almost all macro variables show that the trend component news do not affect volatility co-movement. Finally, the duration of the impact of macro variables exceeds 4 months, while the influence of raw news on BV co-movement is generally shorter. The macro variable information also helps currency and commodity futures investors to make global minimum variance portfolio optimization.

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引用次数: 0

Media emotion intensity and commodity futures pricing

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-02-07 DOI: 10.1016/j.jcomm.2025.100460

Yeguang Chi, Lina El-Jahel, Thanh Vu

This study investigates the impact of media emotion intensity on commodities futures returns. Emotion intensity measures the proportion of emotional content relative to factual content in media news. The media emotion intensity factor generates an annual premium of 13% after transaction cost. This premium is more pronounced for commodities with low media coverage, high momentum, high basis-momentum, high hedging pressure, and backwardation. Emotion intensity significantly predicts the trading tendencies of both commercial and non-commercial traders and the cross-section of commodity futures returns at both portfolio and individual levels. We also find that media emotion intensity predicts future commodities’ sentiment. Further, other commonly considered risk sources cannot subsume the predictability of the media emotion intensity factor.

引用次数: 0

Corporate reputational dynamics and their impact on global commodity markets

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-02-06 DOI: 10.1016/j.jcomm.2025.100459

Iris Li , Erdinc Akyildirim , Thomas Conlon , Shaen Corbet

This research examines investor response to negative Environmental, Social, and Governance (ESG) reputational events across international commodity-related corporations. By distinguishing between G7 and non-G7 nations, we highlight a negative equity market response to such ESG-related reputational events, emphasising the influence of regional, governance and environmental factors alongside corporate reporting practices. The research further assesses the potential of corporate ESG preparedness in mitigating negative market outcomes. It also identifies commodities such as wheat, rice, and cocoa to be notably susceptible to reputational dynamics, whereas commodity markets such as oil and gold present evidence of marked resilience. The findings emphasise the importance of sector-specific regulatory approaches to ensure rigorous governance standards, especially in essential food production sectors.

引用次数: 0

A quantitative model of sustainability risk in finance 金融领域可持续性风险的量化模型

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-01-22 DOI: 10.1016/j.jcomm.2025.100457

Takashi Kanamura

We aim to formulate sustainability risk (Srisk) quantitatively in finance for the first time and validate the formulation by conducting empirical analyses. Applying the general sustainability concept to finance supported by existing studies proposes a new financial and quantitative model of Srisk defined by the price differences between sustainable and conventional assets and characterized by mean-reversion, cyclicity, and diversification effects on market risk. Then, the parameter estimation results of the model using ESG and the corresponding stock indexes confirm these three characteristics and indicate the convergence of expected returns of ESG indexes over stock indexes, resulting in the feasibility of securing returns in the pairs trading. Finally, we discuss the model’s robustness regarding Srisk’s three characteristics and the regime-switching of Srisk’s mean-reversion due to fundamental shifts by conducting econometric analyses of sustainable asset prices.

引用次数: 0

Do different speculation strategies cause distinct impacts on the volatility of the live cattle futures in Brazil? 不同的投机策略会对巴西活牛期货的波动产生不同的影响吗？

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2025-01-11 DOI: 10.1016/j.jcomm.2025.100458

Augusto Seabra Santos, Alexandre Nunes Almeida

This study explores the relationship between speculators and the volatility of live cattle futures in Brazil, focusing on two distinct categories of speculation: day traders (and scalpers) and institutional investors. Analyzing the nearest and October contracts from 2006 to 2019, the research employs the ARIMA-GARCH methodology to estimate volatilities. Additional analyses are conducted to estimate the expected and unexpected effects of speculators on the previously determined volatility levels. Our findings indicate that day trader speculators heighten the volatility of contracts nearing expiration, primarily due to their unexpected actions and limited market information usage. They tend to buy high and sell low. In contrast, institutional investors, with access to more comprehensive information, have a moderate influence on volatility, capable of strategically maneuvering market distortions. The accuracy of the conclusions is strengthened by robustness and placebo tests.

引用次数: 0

Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2024-11-29 DOI: 10.1016/j.jcomm.2024.100449

Katarzyna Chȩć, Bartosz Uniejewski, Rafał Weron

Recent studies provide evidence that decomposing the electricity price into the long-term seasonal component (LTSC) and the remaining part, predicting both separately, and then combining their forecasts can bring significant accuracy gains in day-ahead electricity price forecasting. However, not much attention has been paid to predicting the LTSC, and the last 24 hourly values of the estimated pattern are typically copied for the target day. To address this gap, we introduce a novel approach which extracts the trend-seasonal pattern from a price series extrapolated using price forecasts for the next 24 h. We assess it using two 5-year long test periods from the German and Spanish power markets, covering the Covid-19 pandemic, the 2021/2022 energy crisis, and the war in Ukraine. Considering parsimonious autoregressive and LASSO-estimated models, we find that improvements in predictive accuracy range from 3% to 15% in terms of the root mean squared error and exceed 1% in terms of profits from a realistic trading strategy involving day-ahead bidding and battery storage.

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引用次数: 0

Time to get mature: Collateral, flexibility and the hedging horizon decision 是时候成熟了：抵押品、灵活性和对冲期限决策

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2024-11-16 DOI: 10.1016/j.jcomm.2024.100448

Håkan Jankensgård , Nicoletta Marinelli , Rafael Schiozer

Hedging maturity, i.e., how far out in time hedging activities stretch, is an important yet under-investigated aspect of corporate risk management. In this article, we analyse firms’ hedging maturity decision and carry out a comprehensive empirical analysis. We develop three hypotheses to explain hedging maturity. The collateral hypothesis states that longer maturities are predicated on the availability of internal resources that serve as collateral in a hedging transaction. The matching hypothesis argues that firms match their hedging maturity with the maturity of their debt and investment portfolios. The flexibility hypothesis holds that the ability to change operations or investment strategies at low cost is conducive to shorter maturities. Using hand-collected data on derivative positions in the oil and gas industry, we find evidence consistent with all three hypotheses.

引用次数: 0

Carbon pricing and the commodity risk premium 碳定价与商品风险溢价

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets

Pub Date : 2024-11-14 DOI: 10.1016/j.jcomm.2024.100447

Qiao Wang

This paper examines whether the carbon pricing risk factor is priced in the cross-section of commodity futures. By analyzing unexpected pricing shocks in carbon emission allowances, carbon pricing risk is indeed priced in commodity futures, with a significant positive risk premium. The analysis of carbon pricing risk loadings reveals that individual commodities' sensitivities to carbon pricing risk vary. Additionally, commodity-specific characteristics, such as basis and hedging pressure, impact these risk loadings. Finally, I demonstrate that a portfolio of commodity futures constructed based on carbon pricing beta provides superior out-of-sample hedging performance for climate change risk compared to alternative hedge portfolios using equities or ETFs.

本文研究了碳定价风险因素是否在商品期货的横截面上被定价。通过分析碳排放配额的意外定价冲击，碳定价风险确实在商品期货中进行了定价，并具有显著的正风险溢价。对碳定价风险负载的分析表明，不同商品对碳定价风险的敏感度各不相同。此外，商品的具体特征，如基础和对冲压力，也会影响这些风险负荷。最后，我证明了基于碳定价贝塔值构建的商品期货组合与使用股票或 ETF 的其他对冲组合相比，在气候变化风险方面具有更优越的样本外对冲性能。

引用次数: 0

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