Multiscale nonlinear Granger causality and time-varying effect analysis of the relationship between iron ore futures and spot prices

Wei, Jiangqiao; Ma, Zhe; Wang, Anjian; Li, Pengyuan; Xiao-yan, Sun; Yuan, Xun; Hao, Hongchang; Jia, Hongxiang

doi:10.1016/j.resourpol.2022.102772

Cited by 3 publications

(1 citation statement)

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“…A large number of speculators trading makes it difficult for futures prices to respond well to spot prices. Especially in extremely adverse conditions, the risk management ability of futures will be weaker (Wei et al, 2022).…”

Section: Resultsmentioning

confidence: 99%

A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions

Huang

Xiong

2023

Journal of Futures Markets

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Using a proposed quantile-based hedging analysis framework, this paper analyzes the hedging properties and portfolio performance of 15 commodities futures in China, especially under extreme market conditions. Quantile-onquantile regression results show that the dependency structures of most spot and futures prices exhibit an almost similar shape with positive coefficients, which indicates that most futures products are good hedges and safe havens for the corresponding spot prices. Quantile hedge ratios vary with the quantiles, displaying a U-shape, so the hedge ratios of most commodities should increase moderately in both bearish and bullish markets. As for portfolio performance, metal commodities perform best; agricultural commodities second best, and energy commodities relatively poorly. Out-of-sample quantile hedging results are consistent with in-sample results. Therefore, participating in the futures market can effectively manage risk. The premise is that investors pay attention to market dynamics and adjust their portfolios promptly.commodity futures, extreme market, quantile hedging, quantile-on-quantile regression, safe haven | INTRODUCTIONIn recent years, uncertainties such as COVID-19, the Russia-Ukraine war, and African Swine fever have led to dramatic volatility in international commodity prices (Ji et al., 2020;Panagiotou, 2021) and extreme market conditions occur frequently. The price of a barrel of West Texas Intermediate (WTI), the benchmark for US oil, fell as low as −

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Section: Resultsmentioning

confidence: 99%

A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions

Huang

Xiong

2023

Journal of Futures Markets

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Margin buying activity and stock market trading in China: Is there a connection?

Hong,

Wu,

Zhang

2024

Int. J Fin Econ

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This paper examines the dynamic linkage between margin buying activity and stock market trading in China. Built upon a multivariate DCC‐GJRGARCH model and the spillover index method, the results highlight a high dynamic conditional correlation between margin buying activity and stock market trading which shows apparent time‐varying features. Furthermore, there is a two‐way risk‐spillover relationship, with stock market trading playing a dominant role in risk transmission. More importantly, the level of risk contagion actually varies over time due to certain large external shocks. Margin buying activity tends to be a mean risk‐spillover receiver most time, whereas it acts as both a volatility risk‐spillover transmitter and a receiver over the entire sample period. The analysis thus implies that margin buying activity does have a close interrelationship with stock market trading in China, which has important implications for both regulators and investors.

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Iron Ore Price Forecast based on a Multi-Echelon Tandem Learning Model

Pan,

Liu,

Kumral

et al. 2024

Nat Resour Res

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Multiscale nonlinear Granger causality and time-varying effect analysis of the relationship between iron ore futures and spot prices

Cited by 3 publications

References 50 publications

A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions

A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions

Margin buying activity and stock market trading in China: Is there a connection?

Iron Ore Price Forecast based on a Multi-Echelon Tandem Learning Model

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