Original scientific paper
https://doi.org/10.1080/1331677X.2022.2119425
The impacts of infectious disease pandemic on China’s edible vegetable oil futures markets: A long-term perspective
Yue Shang
Hongwen Cai
Yu Wei
Abstract
For the extremely important role of China in global edible vegetable
oil market and its decisive measures in the epidemic controlling
and stable economic recovery during the COVID-19
pandemic, the aim of this article is to inspect the quantitative
impacts of infectious disease pandemic on the returns, volatilities
and correlations of China’s edible vegetable oil futures markets by
using a DCC-MVGARCH-X model incorporating Baidu searching
index as the proxy of pandemic severity. Our empirical results
show that infectious disease pandemic does have significantly
positive impacts on the returns and volatilities of China’s soybean,
canola and palm oil futures markets. Second, there are significant
volatility spillover effects among the three vegetable oils, suggesting
strong contagion effect from one oil market to the others.
Third, soybean oil and palm oil show the largest correlation, while
the dependence between canola oil and palm oil is the smallest
one among the three pairwise correlations. Moreover, no matter
to consider epidemic situation in China or in global environment,
infectious disease pandemic has significant effects on these
correlations.
Keywords
Vegetable oil futures; infectious disease pandemic; COVID-19; Baidu index; DCC-MVGARCH
Hrčak ID:
306459
URI
Publication date:
31.3.2023.
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