Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices

Yan, Cao; Cheng, Sheng

doi:10.1016/j.resourpol.2021.102364

Cited by 33 publications

(14 citation statements)

References 93 publications

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“…Similarly, Hung (2021) found a strong co-movement between WTI crude oil price and agriculture commodity market predominantly during the COVID-19 outbreak compared with pre-COVID-19 period. Cao and Cheng (2021) showed that the grain and oil market system had the strongest spillover effect in the short term, and the spillover effect during the pandemic was significantly weaker than that during the financial crisis.…”

Section: Estimation Of Gjr-garch Modelmentioning

confidence: 99%

Dynamic correlation between crude oil and agricultural futures markets

Chen

Yan

Kang

2022

Review Development Economics

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In recent years, the relationship between agricultural commodities and crude oil has become increasingly close with the promotion of biofuel policies. This study examines the dynamic correlation between global crude oil futures and seven agricultural commodity futures by applying the consistent dynamic conditional correlation and dynamic equicorrelation models. The empirical results show that the dynamic correlation between the global crude oil futures market and China's agricultural futures market is weak compared to the global agricultural futures market. In particular, soybean oil has the strongest correlation with crude oil, while Dalian Commodity Exchange (DCE) corn and Zhengzhou Commodity Exchange wheat have the weakest correlation with crude oil. There is an indirect linkage between crude oil futures and DCE soybean meal and DCE soybean oil. Moreover, the dynamic correlation between crude oil and agricultural commodities increased during the financial crisis, the novel coronavirus (COVID‐19) epidemic, and the crude oil crash crisis. Brent crude oil has a stronger co‐movement with China's agricultural commodities than West Texas Intermediate crude oil and can better hedge the risk of agricultural commodities. The findings of this study provide some insights into the contagion risk management of crude oil futures and agricultural futures markets.

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Section: Estimation Of Gjr-garch Modelmentioning

confidence: 99%

Dynamic correlation between crude oil and agricultural futures markets

Chen

Yan

Kang

2022

Review Development Economics

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“…As an important input factor, oil price movements can have a significant impact on other markets (Zhang, 2017). Crude oil's role in influencing equity markets has gained growing attention over recent years (Kilian & Park, 2009;Fang & You, 2014;Kang et al, 2016;Olayeni et al, 2020;Cevik et al, 2020;Zhao et al, 2021;Cao & Cheng, 2021). Filis et al (2011) examine the dynamic connectedness between stock market prices and oil prices for oil-importing and exporting countries.…”

Section: Brief Literature Reviewmentioning

confidence: 99%

Resilience to Crude Oil: Australian Evidence on Litigation Funding

Singh

2022

AFL

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Using daily data from January 2011 to November 2020, this study examines the return shocks between crude oil and litigation funding in Australia. Based on Diebold and Yilmaz’s (2012) return spillover effects, we find evidence that litigation funding and the crude oil market share a lower degree of return shocks connectedness, relative to the overall stock market. Further, the oil price crashes (including the COVID-19-induced oil price crash) are also weakly correlated to the return shocks connectedness between litigation funding and the crude oil market. Our findings suggest that litigation funding is mainly immune from economic disruptions. These findings are of interest to policymakers, market participants, and crude oil investors in comprehending the spillover effects of crude oil on other sectors of the economy.

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“…Control and prevention measures, although varied on a national level, took the form of strict lockdowns, travel bans and halted economic activity for most non-essential businesses (Narayan et al, 2021). The pandemic generated a wave of uncertainty and an unprecedented plunge for stock markets, with many companies facing more than a third of value lost (Le et al, 2021;Zhang and Hamori, 2021;Cao and Cheng, 2021).…”

Section: Introductionmentioning

confidence: 99%

“…The pandemic generated a wave of uncertainty and an unprecedented plunge for stock markets, with many companies facing more than a third of value lost (Le et al. , 2021; Zhang and Hamori, 2021; Cao and Cheng, 2021).…”

Section: Introductionmentioning

confidence: 99%

2008's mistrust vs 2020's panic: can ESG hold your institutional investors?

Giakoumelou

Salvi

Bertinetti

et al. 2022

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PurposeThe authors compare two market collapse incidents, focusing on their role as turning points for ESG considerations among investors that do not fall under the SRI class. The authors draw from the signaling theory to posit that ESG performance acts as a buffer to retain institutional shareholders under stress conditions.Design/methodology/approachThe authors collect extensive data on institutional shareholdings and corporate performance during the pandemic and the 2008 financial crisis to examine the potential of ESG to act as a downward risk hedging mechanism. The authors test whether superior ESG scores function as insurance and resilience signals that lock investors in through times of high probability of divestments.FindingsFindings indicate that ESG weighs in investment decisions during economic downturn and poor returns. The nature of this positive relationship is not static but dynamic contingent on overall risk materiality considerations.Research limitations/implicationsThe authors update regulators, firms, investors and academics on ESG, risk and crisis management. The shifting materiality and the altering impact of ESG practices is our core implication, as well as limitation, in terms of metrics, temporal evolution and interaction with institutional factors, along with portfolio alpha and safe haven potential in ESG asset classes.Originality/valueThe authors extend current literature focusing on portfolio returns and firm valuations to highlight the role of ESG in shareholder retention during poor return periods. The authors further add to existing studies by examining the shifting materiality of ESG pillars during different crisis settings.

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Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices

Cited by 33 publications

References 93 publications

Dynamic correlation between crude oil and agricultural futures markets

Dynamic correlation between crude oil and agricultural futures markets

Resilience to Crude Oil: Australian Evidence on Litigation Funding

2008's mistrust vs 2020's panic: can ESG hold your institutional investors?

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