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<p>Against the backdrop of deepening interconnectedness between global financial and commodity markets, this study examines the volatility linkage between China’s edible oil futures and financial markets by employing wavelet coherence analysis to assess time-domain and frequency-domain dynamics. Further, integrating a complex network perspective, we utilize a quantile time-frequency volatility spillover model to measure risk spillovers, capturing tail risk spillover effects across different shock magnitudes and time-frequency dimensions. Our findings reveal that the quantile-based spillover index effectively identifies tail risk transmission between China’s edible oil futures and financial markets under varying market conditions. Notably, spillover effects intensify significantly during extreme market states compared to normal conditions, exhibiting pronounced asymmetry. Moreover, frequency-domain analysis highlights cyclical variability in tail risk dependence between these markets. These insights provide valuable implications for policymakers seeking to mitigate systemic risk contagion from financial markets to China’s edible oil futures sector.</p>

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A Study on Tail Risk Contagion Between China’s Edible Oil Futures Market and Financial Markets: a Complex Network-Based Perspective

  • 期刊论文

  • 发表日期：

    2026年3月23日

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  • Tinghong Guo,
  • Xinyong Lu,
  • Yongjian Huang,
  • Shenglin Ma,
  • Qianqian Zhang

摘要

Against the backdrop of deepening interconnectedness between global financial and commodity markets, this study examines the volatility linkage between China’s edible oil futures and financial markets by employing wavelet coherence analysis to assess time-domain and frequency-domain dynamics. Further, integrating a complex network perspective, we utilize a quantile time-frequency volatility spillover model to measure risk spillovers, capturing tail risk spillover effects across different shock magnitudes and time-frequency dimensions. Our findings reveal that the quantile-based spillover index effectively identifies tail risk transmission between China’s edible oil futures and financial markets under varying market conditions. Notably, spillover effects intensify significantly during extreme market states compared to normal conditions, exhibiting pronounced asymmetry. Moreover, frequency-domain analysis highlights cyclical variability in tail risk dependence between these markets. These insights provide valuable implications for policymakers seeking to mitigate systemic risk contagion from financial markets to China’s edible oil futures sector.