摘要
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.
原文 | ???core.languages.en_GB??? |
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文章編號 | 103899 |
期刊 | Finance Research Letters |
卷 | 58 |
DOIs | |
出版狀態 | 已出版 - 12月 2023 |