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<p>Using the TVP-VAR-DY and TVP-VAR-SV approach, this study investigates the spillover relationships among the key edible oil and oil-seed futures in China and worldwide, as well as the factors that influence them. To such end, the volatility of the daily closing prices of 13 commodities’ main continuous contracts has been considered from January 2013 to December 2023. The findings are as follows: there are strong linkages among such futures, exhibiting obvious time-varying characteristics and high sensitivity to major risk events. In addition, while foreign varieties remain the main risk transmitters most of the time, during the Sino-US trade war, the influence of all China’s related futures has generally risen. Finally, since the impact of the global economic policy uncertainty and the investor sentiment on the risk resonance effect are generally positive, the Chinese policymakers should pay more attention to lowering the economic policy uncertainty, enhancing policy transparency, strengthening investor education and promoting rational investment concepts.</p>

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The role of China’s edible oil and oil-seed futures in world related futures market: a look at the impact of extreme shocks

  • 期刊论文

  • 发表日期：

    2026年5月19日

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  • Xiaoyi Zhang,
  • Tamat Sarmidi,
  • Yongxu Chai,
  • Abdul Hafiz Mohd Azam,
  • Muhammad Faliq Abd Razak

摘要

Using the TVP-VAR-DY and TVP-VAR-SV approach, this study investigates the spillover relationships among the key edible oil and oil-seed futures in China and worldwide, as well as the factors that influence them. To such end, the volatility of the daily closing prices of 13 commodities’ main continuous contracts has been considered from January 2013 to December 2023. The findings are as follows: there are strong linkages among such futures, exhibiting obvious time-varying characteristics and high sensitivity to major risk events. In addition, while foreign varieties remain the main risk transmitters most of the time, during the Sino-US trade war, the influence of all China’s related futures has generally risen. Finally, since the impact of the global economic policy uncertainty and the investor sentiment on the risk resonance effect are generally positive, the Chinese policymakers should pay more attention to lowering the economic policy uncertainty, enhancing policy transparency, strengthening investor education and promoting rational investment concepts.