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

Lu Zhang; Pei lin Hsieh; Haiqiang Chen

doi:10.1016/j.frl.2023.103899

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

Lu Zhang, Pei lin Hsieh, Haiqiang Chen

Department of Finance

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

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 language	English
Article number	103899
Journal	Finance Research Letters
Volume	58
DOIs	https://doi.org/10.1016/j.frl.2023.103899
State	Published - Dec 2023

Keywords

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

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10.1016/j.frl.2023.103899

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title = "COVID-19 and commodity pricing premium: Evidence from the Chinese market",

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.",

keywords = "COVID-19, Commodity futures returns, Commodity market, Commodity pricing premium, Epidemic",

author = "Lu Zhang and Hsieh, {Pei lin} and Haiqiang Chen",

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N2 - 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.

AB - 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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KW - Commodity futures returns

KW - Commodity market

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

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Keywords

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