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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/153749

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/153749

Title:	COVID-19 and commodity pricing premium: evidence from the Chinese market
Authors:	謝沛霖 Hsieh, Pei-Lin;Zhang, Lu;Chen, Haiqiang
Contributors:	財管系
Keywords:	COVID-19;Epidemic;Commodity market;Commodity pricing premium;Commodity futures returns
Date:	2023-12
Issue Date:	2024-09-11
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.
Relation:	Finance Research Letters, Vol.58, Part A, pp.103899
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.frl.2023.103899
DOI:	10.1016/j.frl.2023.103899
Appears in Collections:	[財務管理學系] 期刊論文

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