COVID-19 pandemic-related news and Chinese commodities futures: Time-frequency connectedness and causality-in-quantiles approaches

• Published in: Energy (Oxford) 2024-01, Vol.286, p.129610, Article 129610
• Main Authors: Chen, Yanan, Qi, Haozhi
• Format: Article
• Language: English
• Subjects: Causality-in-quantiles; Chinese commodities futures; Connectedness; COVID-19 pandemic-related news
• ISSN: 0360-5442
• DOI: 10.1016/j.energy.2023.129610

The COVID-19 pandemic has had a significant impact on the global economy and commodity markets, making it essential to study its effects. We aim to learn the dynamic spillovers between COVID-19 pandemic-related news and Chinese commodities futures (Energy, Petrochemical, Non-ferrous metals, Oil & Fats, and Softs) using time-frequency connectedness and causality-in-quantiles approaches. To capture the diverse impacts of different types of COVID-19 news, we utilize a range of COVID-19 news-related indices based on media news data from January 2, 2020, to October 28, 2022. Based on static connectedness data, it is evident that Petrochemical and Energy futures commodities are the primary contributors and recipients in our research samples. The short- and long-term data sets consistently demonstrate that COVID-19 uncertainty is the main recipient, and they have heterogeneous effects on the commodities. Interestingly, the Coronavirus Panic Index and Coronavirus Media Hype Index show the greatest influence on commodities. Dynamic data reveals that the level of connectedness among the markets fluctuates significantly over time, and short-term connectedness is higher than that in the long term. The non-parametric Granger causality test shows that COVID-19 uncertainty can significantly impact commodities futures in China. Specifically, the results remain robust even when utilizing various uncertainty measures and distinct quantiles. •Dynamics between COVID-19 pandemic-related news and Chinese commodity prices are examined.•We use the time-frequency connectedness and causality-in-quantiles approaches.•Petrochemicals and Energy futures commodities are the largest contributor and recipient.•COVID-19 uncertainty can Granger cause the commodities in China.