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

Lu Zhang, Pei lin Hsieh, Haiqiang Chen

Research output: Contribution to journalArticlepeer-review

Abstract

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.

Original languageEnglish
Article number103899
JournalFinance Research Letters
Volume58
DOIs
StatePublished - Dec 2023

Keywords

  • COVID-19
  • Commodity futures returns
  • Commodity market
  • Commodity pricing premium
  • Epidemic

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