# Effects of Covid-19 Pandemic on Chinese Commodity Futures Markets

**Authors:** Ahmet Goncu  
**arXiv:** [2106.09250](https://arxiv.org/abs/2106.09250)  
**Date:** 2021-06-17  
**Summary page:** https://www.summarizepaper.com/en/paper/2106.09250v1/

## Key points

- The study analyzes the effects of Covid-19 on Chinese commodity futures markets.
- There was a significant positive change in average returns for soybean, corn, corn starch, and iron ore futures after Covid-19.
- Silver, petroleum asphalt, and egg futures experienced an extreme increase in volatility after Covid-19.
- The number of cointegrated pairs decreased after the pandemic due to structural changes caused by demand and supply conditions across commodities.
- Almost all commodities in Chinese markets showed an upward shift in their average returns after the pandemic.
- Corn exhibited significantly higher skewness due to supply shock while most other products' skewness decreased after Covid-19.
- Volatility of corn, hot rolled coil, coke, and screw steel went down significantly more than other products while most commodities showed higher volatility after the pandemic.
- Sample kurtosis of corn and egg decreased significantly after the pandemic while it increased for coal.
- Some pairs rejected null hypotheses before Covid-19 but not afterward in terms of cointegration between time series processes where two assets' price series follow an equilibrium relationship.
- -The study provides valuable insights into how different commodities performed during and after Covid-19 in Chinese futures markets which can be useful for trading strategies such as pairs trading as well as understanding how global pandemics affect financial markets.

## Summary

This study examines the effects of the Covid-19 pandemic on Chinese commodity futures markets by analyzing empirical moments and cointegration for all liquid commodity futures traded in these markets before and after the pandemic. The results reveal that there was a significant positive change in average returns for products such as soybean, corn, corn starch, and iron ore futures in the post-Covid-19 era. However, silver, petroleum asphalt, and egg futures experienced an extreme increase in volatility relative to other products. Additionally, the number of cointegrated pairs decreased after the pandemic due to structural changes caused by demand and supply conditions across commodities. The study also found that almost all commodities in Chinese markets showed an upward shift in their average returns after the pandemic. Corn exhibited significantly higher skewness due to supply shock while most other products' skewness decreased after Covid-19. Furthermore, volatility of corn, hot rolled coil, coke, and screw steel went down significantly more than other products while most commodities showed higher volatility after the pandemic. Finally, sample kurtosis of corn and egg decreased significantly after the pandemic while it increased for coal. The analysis of cointegration between all pairs in the dataset revealed that there were possible long-term relationships between time series processes where two assets' price series follow an equilibrium relationship. Engle-Granger cointegration tests showed that some pairs rejected null hypotheses before Covid-19 but not afterward. Overall, this study provides valuable insights into how different commodities performed during and after Covid-19 in Chinese futures markets which can be useful for trading strategies such as pairs trading as well as understanding how global pandemics affect financial markets.