Effects of the COVID-19 Pandemic on Derivatives Markets: Evidence from Global Futures and Options Exchanges

Emm, Ekaterina E.; Gay, Gerald D.; Ma, Han; Ren, Honglin

doi:10.2139/ssrn.3994700

Cited by 3 publications

(3 citation statements)

References 23 publications

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“…First, our study contributes to the literature on the impact of COVID-19 on commodity futures markets. Given the massive disruption caused by COVID-19 to the global economy, a growing body of literature has investigated the impact of COVID-19 on financial markets; however, most of it has focused on equity markets, whereas investigations into commodity futures markets remain relatively limited (Emm et al, 2022;Magalhães et al, 2022). In this regard, existing studies such as Zhang and Wang ( 2022 Second, our study contributes to the literature on cross-commodity connectedness.…”

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confidence: 90%

“…Given the massive disruption caused by COVID‐19 to the global economy, a growing body of literature has investigated the impact of COVID‐19 on financial markets; however, most of it has focused on equity markets, whereas investigations into commodity futures markets remain relatively limited (Emm et al, 2022 ; Magalhães et al, 2022 ). In this regard, existing studies such as Zhang and Wang ( 2022 ), Salisu et al ( 2020 ), Rubbaniy et al ( 2021 ), Emm et al ( 2022 ), Magalhães et al ( 2022 ), and Sifat et al ( 2021 ) have examined volatility, return predictability, safe‐haven properties, volumes and open interest, hedging efficiency, and speculative activity in commodity futures markets during the COVID‐19 crisis. We add to the literature by clarifying changes in tail risk contagion among commodity futures following the COVID‐19 outbreak, which has not been addressed by existing studies.…”

Section: Introductionmentioning

confidence: 99%

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COVID‐19 and tail risk contagion across commodity futures markets

Qiao

Han

2022

Journal of Futures Markets

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This paper examines the impact of COVID-19 on tail risk contagion across commodity futures markets using a copula-based network method. We document a significant increase in the lower and upper tail contagiousness of commodities following the COVID-19 outbreak. Contagion shows an obvious clustering characteristic, that is, there is higher tail risk connectedness between commodities in the same category. Agricultural commodities are significantly less contagious than metals and energy commodities; soft commodities in particular can offer investors significant diversification benefits. There are several hub commodities in the contagion network, chief among them copper, which are good transmitters of shocks and should be treated with caution by investors and regulators. Although tail risk and contagiousness of individual commodities increase together during the pandemic, we find a negative cross-sectional relationship between tail risk and contagiousness, that is, commodities with high tail risk are not necessarily highly contagious and may even be less so.

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confidence: 90%

Section: Introductionmentioning

confidence: 99%

COVID‐19 and tail risk contagion across commodity futures markets

Qiao

Han

2022

Journal of Futures Markets

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“…However, the unmatured derivatives contracts are devalued by increasing market volatility during the pandemic period. In this financial crisis, the 113 futures and options derivatives markets of 40 countries are strongly associated with rising the trading volume of derivatives contracts ( Emm et al, 2021 ). By using GARCH and Ordinary Least Square (OLS) models, another study determined with using currency derivatives contracts between USD-TRY (Turkish New Lira) and EUR-TRY, the COVID-19 pandemic is negatively affected the futures derivatives market ( Buyukkara et al, 2022 ).…”

Section: Literature Reviewmentioning

confidence: 99%

Artificial neural network (ANN)-based estimation of the influence of COVID-19 pandemic on dynamic and emerging financial markets

Naveed

Yao

Memon

et al. 2023

Technological Forecasting and Social Change

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Research on the development of derivatives’ market in Asia

Li¹

2023

BCPBM

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Due to developing economies and companies looking for ways to hedge their risks with profitable investments or insurance policies against loss, Asian countries trade a substantial volume of unregulated derivatives. More market stability may allow stricter controls on this developing industry, which would subsequently strengthen local economies. This paper conducts academic research on derivatives in Asia. Compared with previous literature, this study covers a wide variety of issues. It classifies these issues in light of the widely acknowledged functions that derivative markets provide and limit the evaluation to the most prestigious financial publications as well as those that focus on emerging markets or derivatives. The finding of this paper should help the futures traders, specifically in the Asia hedging market, to explore the possibilities in the market and mitigate the risk.

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Effects of the COVID-19 Pandemic on Derivatives Markets: Evidence from Global Futures and Options Exchanges

Cited by 3 publications

References 23 publications

COVID‐19 and tail risk contagion across commodity futures markets

COVID‐19 and tail risk contagion across commodity futures markets

Artificial neural network (ANN)-based estimation of the influence of COVID-19 pandemic on dynamic and emerging financial markets

Research on the development of derivatives’ market in Asia

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