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- W4361294242 abstract "This study examines the predictability of positive and negative price bubbles of the Chinese agricultural commodity futures with the log-periodic power law singularity (LPPLS) confidence multi-scale indicators application. To measure the bubble risks of these commodity futures, the duration, the frequency and the magnitude of the price bubble are adopted as the evaluation indicators. The results found that the Chinese agricultural commodity futures with higher bubble risks are soybean, soybean oil, soybean meal, white sugar, cotton and corn futures. Furthermore, the price bubbles of Chinese agricultural commodity futures are affected by the investor sentiment and the overall degree of macroeconomic factors. Economic growth, money supply, and inflation have positive effects on the occurrences of the positive bubbles, while currency appreciation and interest rate have negative effects and vice versa on the occurrences of the negative bubbles. Financialization has positive effects on both occurrences of the positive and negative bubbles. Overall, this study provides new insights for the policy makers and market participants to monitor the occurrence of price bubbles." @default.
- W4361294242 created "2023-03-31" @default.
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- W4361294242 date "2023-06-01" @default.
- W4361294242 modified "2023-09-28" @default.
- W4361294242 title "Positive and negative price bubbles of Chinese agricultural commodity futures" @default.
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- W4361294242 doi "https://doi.org/10.1016/j.eap.2023.03.023" @default.
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