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COVID-19 and commodity pricing premium: Evidence from the Chinese market.
Zhang, Lu; Hsieh, Pei-Lin; Chen, Haiqiang.
  • Zhang L; The Department of Finance, School of Economics, Xiamen University, Xiamen, China.
  • Hsieh PL; The Department of Finance, School of Management, National Central University, Taoyuan, ROC.
  • Chen H; Wang Yanan Institute for Studies in Economics (WISE) and the Department of Finance, School of Economics, Xiamen University, Xiamen, China.
Financ Res Lett ; : 103899, 2023 May 03.
Article in English | MEDLINE | ID: covidwho-2308956
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.
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Full text: Available Collection: International databases Database: MEDLINE Type of study: Health_economic_evaluation Language: English Journal: Financ Res Lett Year: 2023 Document Type: Article Affiliation country: J.frl.2023.103899

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Full text: Available Collection: International databases Database: MEDLINE Type of study: Health_economic_evaluation Language: English Journal: Financ Res Lett Year: 2023 Document Type: Article Affiliation country: J.frl.2023.103899