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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. [ABSTRACT FROM AUTHOR]

This paper attempts to test whether the Covid-19 pandemic has an impact on the linkages of the metal futures market of India and China. Taking Daily closing prices from 4 Jun 2016 to 23 Apr 2021 for the seven metals, including copper, aluminum, zinc, lead, nickel, gold, and silver, have been included in the study in the pre-announcement and post-announcement of covid-19 as a pandemic. The autoregressive distributed lag (ARDL) bound test and Johansen cointegration test report no cointegrating relationship between the markets for all the metal futures before the covid period. There is no change in the absence of cointegration in the post-announcement period of Covid-19. Similarly, Granger causality results report no change in the short-run relationship between the metal futures markets except for silver futures. The results have implications for portfolio managers and investors looking to reshuffle their portfolios in the light of changes in the market due to the covid-19 pandemic. [ABSTRACT FROM AUTHOR]

The COVID-19 pandemic is having a strong influence in all areas of society, like wealth, economy, travel, lifestyle habits, and, amongst many others, financial and energy markets. The influence in standard energies, like crude oil, and renewable energies markets has been twofold: from one side, the predictability of volatility has strongly decreased; secondly, the linkages of the price time series have been modified. In this paper, by using DCC-GARCH and Price Leadership Share methodology, we can investigate the changes in the influences between standard energies and renewable energies markets by analyzing one-minute time series of West Texas Intermediate crude oil futures contract (WTI), the Brent crude oil futures contract (BRENT), the STOXX Europe 600 oil & gas index (SXEV), and the European renewable energy index (ERIX). Our results confirm volatility spillover between the time series. However, when assessing the accuracy of the predictability of the DCC-GARCH model, the results show that the model fails its prediction in the period of higher instability. Besides, we found that price leadership has been strongly influenced by the virus spreading stages. These results have been obtained by dividing the period between September 2019 and January 2021 into 6 subperiods according to the pandemic stages. [ABSTRACT FROM AUTHOR]

This study examines the relation between the COVID‐19 pandemic and hedge efficiency in commodities futures markets. In particular, we first evaluate the informational content of commodity futures by investigating whether futures prices are accurate and unbiased predictors of future–spot prices, and then we identify key financial and real economy transmission channels associated with the pandemic. We use data of all contracts from all commodities traded at Brazilian futures markets from 2018 to 2020. We document market inefficiency and bias for all commodities. We also find that COVID‐19 has a negative correlation with hedge efficiency, and that liquidity, economic activity, export, and agriculture's employment share are transmission channels to hedge efficiency. [ABSTRACT FROM AUTHOR]

This paper investigates the multidimensional risk spillovers among crude oil, the US and Chinese stock markets during the COVID-19 epidemic through a GARCHSK-Mixed Copula-CoVaR-Network method. Firstly, we find that during the COVID-19 period, the oil-stock risk spillovers are obviously stronger than those during the normal period. And there are significant risk spillovers from the US and Chinese stock markets to the oil markets. It is also discovered that the oil markets are greatly influenced by the second board stock markets, also known as the growth enterprise markets, especially during the COVID-19 outbreak. Furthermore, the bidirectional China-oil risk spillovers during the COVID-19 pandemic have rapidly increased. Besides, it is reported that the relationships across oil futures, main board and second board stock markets in the US and China are stable under different TSI levels and extreme events. Finally, the GARCHSK-Mixed Copula-CoVaR-Network outperforms the control groups in terms of marginal distribution and dependence structure. Our study not only offers new method and insight into the oil-stock relationship, but also has economic implications for investors and policymakers. • The multidimensional oil-stock risk spillovers during the COVID-19 pandemic are investigated. • There are significant risk spillovers from the stock markets to the oil markets. • Oil markets receive high risk spillovers from second board markets. • The bidirectional risk spillovers between Chinese stocks and oil have rapidly increased. • The relationships across oil and stocks are stable under most situations. [ABSTRACT FROM AUTHOR]

The COVID-19 pandemic has already disrupted large swathes of the global economy, threatening the growth models of major oil and gas producer countries like Russia. A collapse in oil prices, triggered by the pandemic, once again exposed Russia's enduring susceptibility to sharp falls in oil and gas prices. We argue that this decline in oil prices came at a time when tectonic shifts in global energy markets had already threatened to reduce the value of future oil and gas revenues. These structural changes were accelerated by the collapse in demand caused by the pandemic. Because the Russian leadership had done little to address the threat posed by the emergence of a new energy order, the economy remained highly dependent on oil and gas sales as the primary source of growth. While measures undertaken since 2014 to reduce the government's fiscal dependence on high oil prices will help Russia avoid a worst-case outcome of a fiscal or financial crisis, the dependence of other branches of the economy on the energy sector remains high. This has left Russia set once again to experience a deeper recession than that forecast for other energy exporting economies. [ABSTRACT FROM AUTHOR]

The COVID-19 pandemic has shocked commodities markets in general and base metals markets in particular. The market turmoil made it very difficult to act in the physical market, given the impossibility of establishing or maintaining physical and/or financial positions in a context of high uncertainty. This has happened both in different moments of the development of the pandemic and in geographically different frames. That is why this contribution tries to explain the evolution of warehouses and copper price structure and its utility for hedging in the context of an extreme event. To that end, Granger causality has been used to test whether, during the COVID-19 first wave, the pandemic evolution is cointegrated on one hand with copper futures price structure and, on the other, with the incremental levels of copper stocks. Using 102 official copper prices on London Metal Exchange (LME) trading days, between 13 January 2020 and 5 June 2020 (once the most severe effects of the first wave had been overcome), it was demonstrated that, during the first COVID-19 wave in Europe, the weekly death index variation was cointegrated with the copper future price structure. It has been proven that, in this timelapse, contango in futures price structure has increased its value, and the incremental levels of stock in copper LME warehouses are linked with a stable contango structure. In short, we find that fundamental market effects predominate, in a context in which commodities used to be more financialized. This leads market players, such as traders, miners, and transformers, to move exposures in their hedging structures, under such extreme event situations, in favor of or against either contango or backwardation, so as to derive value from them. [ABSTRACT FROM AUTHOR]