Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.12540/770
Title: How can Chinese Commodity Futures Hedge the US Stock Markets Risk during the Covid-19 pandemic
Authors: Lou, Tingting 
Issue Date: 2022
Source: Lou, T. (2022). How can Chinese Commodity Futures Hedge the US Stock Markets Risk during the Covid-19 pandemic [Unpublished bachelor's thesis]. Wenzhou-Kean University.
Abstract: Due to the significant damage of Covid-19 on global financial markets, investors are considering diversifying risk and taking the hedging strategy based on commodity futures. This paper carried out a preliminary analysis of the S&P 500 daily price and returns to define the sample period from January 3 to June 30 in 2020. Then, the descriptive analysis on the S&P 500 and 35 Chinese commodity futures is conducted. Finally, the dynamic correlations of the US stock market and Chinese commodity futures are found through the DCC GARCH model. This paper finds that although Chinese commodity markets are negatively affected by the Covid-19, there are three futures that have stable and positive returns to diversify risks, including Corn, Corn Starch, and Polished Round-grained Rice. Also, among different correlation results, Rb negatively correlates with the US stock index during the whole sample period, which is suitable for hedge strategy.
URI: https://hdl.handle.net/20.500.12540/770
Appears in Collections:Theses and Dissertations

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