| dc.contributor | 財管系 | |
| dc.creator (作者) | 謝沛霖 | |
| dc.creator (作者) | Hsieh, Pei-Lin;Zhang, Lu;Chen, Haiqiang | |
| dc.date (日期) | 2023-12 | |
| dc.date.accessioned | 2024-09-11 | - |
| dc.date.available | 2024-09-11 | - |
| dc.date.issued (上傳時間) | 2024-09-11 | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/153749 | - |
| dc.description.abstract (摘要) | 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. | |
| dc.format.extent | 105 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Finance Research Letters, Vol.58, Part A, pp.103899 | |
| dc.subject (關鍵詞) | COVID-19; Epidemic; Commodity market; Commodity pricing premium; Commodity futures returns | |
| dc.title (題名) | COVID-19 and commodity pricing premium: evidence from the Chinese market | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1016/j.frl.2023.103899 | |
| dc.doi.uri (DOI) | https://doi.org/10.1016/j.frl.2023.103899 | |
