Speculation or actual demand? The return spillover effect between stock and commodity markets

Wang, Shu; Zhou, Baicheng; Gao, Tianshu

doi:10.1016/j.jcomm.2022.100308

Cited by 9 publications

(4 citation statements)

References 40 publications

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“…To assess the spillover effects of each carbon market pilot in China, Wang Qian and Gao [21] utilised VAR-GARCH-BEKK. Wang and Yang [22] determined a connection between the carbon market, commodity market, and financial market through their exploration using VAR and D-Y model studies.…”

Section: Literature Reviewmentioning

confidence: 99%

Research on Public Opinion of "Double Carbon" Policy and Spillover Effect of Futures Index of Three Major Sectors——Evidence from China

Wu,

Ding,

Dong

et al. 2024

Proceedings of the 4th International Conference on Economic Management and Big Data Applications, ICEMBDA 2023, October 27–29,

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To supplement the empirical research on the impact of "double carbon" policy on social economy from the perspective of online public opinion, the "double carbon" policy public opinion index is constructed with the help of search engine Baidu and the VAR-BEKK(DCC)-GARCH(1,1)model is used to scientifically quantify the spillover effect of "double carbon" policy public opinion and metal, chemical and agricultural futures index. The results show that there are one-way mean spillovers and volatility spillovers on the metal index and agricultural index of the "double carbon" policy public opinion index, and the impact of the "double carbon" policy public opinion has a shortterm amplification effect, but the long-term effect is not significant. There are one-way mean spillovers and two-way volatility spillovers between the energy index and the public opinion index of the "two-carbon" policy, indicating that the energy index is most closely related to the public opinion of the "double carbon" policy, and it has strong pricing power. At the same time, it has the function of transmitting public opinion signals to traders. Based on the above findings, from the two levels of government and enterprise, suggestions are put forward, such as "stability first" macro policy, avoiding "sports" carbon reduction, and doing a good job of public opinion monitoring related to "double carbon" policy, and using it to monitor and predict the changes of related indexes.

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Section: Literature Reviewmentioning

confidence: 99%

Research on Public Opinion of "Double Carbon" Policy and Spillover Effect of Futures Index of Three Major Sectors——Evidence from China

Wu,

Ding,

Dong

et al. 2024

Proceedings of the 4th International Conference on Economic Management and Big Data Applications, ICEMBDA 2023, October 27–29,

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“…Under the background of the deepening of risk shock in the postcrisis era, it is of great practical significance to examine volatility spillovers and risk contagion effect within commodity futures markets. To this end, in our research objectives, following the important studies of Li et al (2023), Wang et al (2023), Palazzi et al (2024), and Nekhili et al (2021), this study selects a representative price series of each commodity futures according to the integrity, availability, and relevance principles of data sample. Consequently, our data set comprises the daily closing prices from 20 commodity futures: precious metal (gold, silver, platinum, and palladium), industrial metal (aluminum, copper, zinc, tin, lead, and nickel), energy (WTI crude oil, Brent crude oil, and natural gas), agriculture (wheat, corn, soybean, and cotton), livestock (lean hogs, live cattle, and feeder cattle).…”

Section: Data Set and Preliminary Analysismentioning

confidence: 99%

High–low volatility spillover network between economic policy uncertainty and commodity futures markets

Xiang,

Borjigin

2024

Journal of Futures Markets

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Based on the formation and evolution of systemic risk, we study the high‐low volatility spillovers between economic policy uncertainty (EPU) and commodity futures and identify the source of risk accumulation and risk outbreak, as well as the corresponding contagion mechanisms. Upon comparing topological characteristics on each volatility layer, our results demonstrate that high and low volatility spillover networks have different network characteristics and evolution behaviors. At the system level, high volatility spillovers are relatively stronger than spillovers in in low volatility network, while the risk propagation efficiency in the low volatility network is higher. At the market level, EPU is not only an important risk‐emitter but also a risk‐recipient most of the time. Additionally, compared with high volatility network, low volatility network characteristics have greater predictive ability for risk spillover among commodity futures, which means that it contains additional information and provides early warning signals for financial stress.

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“…The carbon market can be connected to the stock market through two transmission channels, i.e., return spillover (Kodres and Pritsker 2002 ) and volatility spillover (Acharya and Pedersen 2005 ). Effective demand first affects price movements in different markets, which in turn affects the transmission of price information (Wang et al 2023 ). The return spillover effect emphasizes the changing trend of information transfer between the three markets.…”

Section: Introductionmentioning

confidence: 99%

Green or grey stocks? Dynamic effects of carbon markets based on Chinese practices

2023

Empir Econ

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Carbon trading and new energy markets are two key mechanisms for carbon reduction. However, theoretical analysis cannot reveal the complex links between carbon, green, and grey markets. Therefore, this study resorts to the frequency spillover index to explore the overall and directional connectedness of carbon-energy systems in China. The spillover effect indicates the cross-market propagation of information shocks and the potential ripple effects of specific shocks on system-wide changes. Dynamic spillovers suggest that the role of a certain market is not unchanged. In the time domain, both the overall and directional spillovers are closely related with the trading of carbon allowances and tend to show jumps at the beginning and end of the cycle. In the frequency domain, the short-term effects are much stronger than the medium- and long-term effects on all dimensions of the spillover effect. Comparatively, the grey energy is the main information transmitter at the high frequency, whereas it is the green energy playing such a role at medium and low frequencies. Comparing the overall spillovers on carbon markets, the effect of grey energy exceeds that of green energy. Even so, the carbon market plays an important role in the carbon-energy system with extremely significant effects on green and grey energy stocks at certain periods. The results provide profound implications for the management of carbon markets and portfolio optimization.

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Speculation or actual demand? The return spillover effect between stock and commodity markets

Cited by 9 publications

References 40 publications

Research on Public Opinion of "Double Carbon" Policy and Spillover Effect of Futures Index of Three Major Sectors——Evidence from China

Research on Public Opinion of "Double Carbon" Policy and Spillover Effect of Futures Index of Three Major Sectors——Evidence from China

High–low volatility spillover network between economic policy uncertainty and commodity futures markets

Green or grey stocks? Dynamic effects of carbon markets based on Chinese practices

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