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Asymmetric Risk Connectedness between Crude Oil and Agricultural Commodity Futures in China before and after the COVID-19 Pandemic: Evidence from High-Frequency Data

Author

Listed:
  • Deyuan Zhang

    (School of Economics, Xihua University, Chengdu 610039, China)

  • Wensen She

    (School of Economics, Xihua University, Chengdu 610039, China)

  • Fang Qu

    (School of Economics, Xihua University, Chengdu 610039, China)

  • Chunyan He

    (School of Economics, Xihua University, Chengdu 610039, China)

Abstract

Based on the spillover index and an improved spillover asymmetric measure method, this paper studies the volatility spillover and its asymmetric effect between crude oil and agricultural commodity futures in pre- and post-outbreak of COVID-19. We find that the total volatility spillover is higher with pre-outbreak of COVID-19. In addition, the volatility spillover caused by China’s crude oil is more prominent than international crude oil around the COVID-19, which highlights the necessity of risk control through the establishment of an energy financial market in China. Finally, although the asymmetric effect of volatility spillover has always existed, crude oil was less impacted by good news post-outbreak of COVID-19, indicating that the outbreak of COVID-19 makes assets dominated by commodity attributes more sensitive to bad news. These findings are beneficial for investors to establish a cross-sector risk hedging portfolio, and provide empirical evidence for policymakers to ensure energy and food security.

Suggested Citation

  • Deyuan Zhang & Wensen She & Fang Qu & Chunyan He, 2023. "Asymmetric Risk Connectedness between Crude Oil and Agricultural Commodity Futures in China before and after the COVID-19 Pandemic: Evidence from High-Frequency Data," Energies, MDPI, vol. 16(16), pages 1-19, August.
    • Handle: RePEc:gam:jeners:v:16:y:2023:i:16:p:5898-:d:1213838
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    References listed on IDEAS

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