Associate Professor Chuanhai Zhang, a researcher of the base, has published a collaborative paper titled "Asymmetric multi-scale systemic risk spillovers across international commodity futures markets: The role of infectious disease uncertainty" in Journal of Commodity Markets.

JCM is a peer-reviewed journal dedicated to publishing research across all economic and financial fields related to commodity markets, with an emphasis on originality, quality, and clarity of presentation.

Abstract:

This paper investigates the role of infectious disease uncertainty on multi-scale risk spillovers and portfolio implications across 12 international commodity futures markets from January 2006 to August 2022. We use wavelet packet decomposition and a novel risk spillover network topology approach based on a smooth transition vector autoregression model. The main findings are summarized as follows. First, there is an obvious asymmetry in spillover effects, i.e., the intensity of risk spillovers increases significantly during periods of high infectious disease uncertainty, and clear evidence of time-varying total spillovers across various regimes and frequencies. Second, cross-category risk spillovers are more pronounced in high-uncertainty regimes, while risk networks tend to cluster within the same category during low-uncertainty regimes. Third, the role of commodity futures in the risk spillover networks varies across different time scales and regimes, with gold consistently acting as a stable net risk transmitter. We also develop optimal portfolio strategies across commodity futures markets at different time scales and regimes based on the risk spillover analysis.

Keywords：Infectious disease uncertainty; Commodity futures; Wavelet packet decomposition; Asymmetric risk spillover effects; Network topology

Link：https://doi.org/10.1016/j.jcomm.2024.100443

Teacher profile

Zhang Chuanhai, PhD, Associate Professor, School of Finance, Zhongnan University of Economics and Law. His research interests include financial markets, financial measurement and financial risk, as well as Fintech and big data. His research papers have been published in: Economic Research, Systems Engineering Theory and Practice, Journal of Management Engineering, Mathematical Statistics and Management, Journal of Econometrics, Quantitative Finance, Pacific-Basin Finance Journal, Finance Research Letters, International Review of Financial Analysis and Economic Modelling and other domestic and foreign journals.