Chen Jilong, Xu Liao, Xu Hao
Collaborative Innovation Center of Statistical Data Engineering Technology & Application and International Business School, Zhejiang Gongshang University, Hangzhou, China.
International Business School and School of Economics, Zhejiang Gongshang University, Hangzhou, China.
Econ Model. 2022 Nov;116:105998. doi: 10.1016/j.econmod.2022.105998. Epub 2022 Aug 23.
Considering the severe economic impact of COVID-19, this study examines COVID-19's influence on the Chinese commodity market. The literature shows that COVID-19's influence in China during its abatement period has not been well investigated. We address this issue by the intraday analysis of the volatility from 16 commodity options contracts in the Chinese commodity options market over the period 2019-2021. We demonstrate that while the pandemic eased in China after its initial outbreak, it still significantly affected the volatility of Chinese agricultural commodities options. In contrast, its impacts on the volatility of options for petrochemicals, ores, and metals are negligible. This pattern reflects the role of pandemic-led supply disruptions affecting agricultural commodity prices as necessities, contributing to higher price volatility relative to non-agricultural commodities, which are less volatile.
考虑到新冠疫情的严重经济影响，本研究考察了新冠疫情对中国商品市场的影响。文献表明，新冠疫情在中国缓解期的影响尚未得到充分研究。我们通过对2019 - 2021年期间中国商品期权市场16份商品期权合约的日内波动率分析来解决这一问题。我们证明，尽管疫情在中国首次爆发后有所缓解，但它仍然显著影响了中国农产品期权的波动率。相比之下，其对石化、矿石和金属期权波动率的影响可以忽略不计。这种模式反映了疫情导致的供应中断对作为必需品的农产品价格的影响，导致相对于波动性较小的非农产品而言，农产品价格波动性更高。
