Dynamic Linkages between Global Oil Price Volatility and Fertilizer Stock Indices in China on Pre and during Covid-19 Pandemic

Binlin Li, Jie Ma, Shitao Wei

2022

Abstract

This study firstly detects the dynamic linkage between WTI oil price and Chinese fertilizer stock indices, namely potash, phosphorus, and nitrogen fertilizer, respectively. Results indicate a weak long-term interdependence and the time-varying pathway of connectedness between WTI oil price and fertilizer indices using a connectedness technique. Then, BEKK, CDCC, and GARCH models are used to display time-varying changes of dynamic conditional correlations on pre and during Covid-19 pandemic, and a significant increase of linkage can be identified at the beginning of the pandemic. Finally, response impulse and historical variance decomposition techniques are employed to analyze the response of fertilizer stock indices from the effect of the magnitude of oil price. Results help to diversify investment portfolios for investors.

Paper Citation

in Harvard Style

Li B., Ma J. and Wei S. (2022). Dynamic Linkages between Global Oil Price Volatility and Fertilizer Stock Indices in China on Pre and during Covid-19 Pandemic. In Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI; ISBN 978-989-758-620-0, SciTePress, pages 45-51. DOI: 10.5220/0011721700003607

in Bibtex Style

@conference{icpdi22,
author={Binlin Li and Jie Ma and Shitao Wei},
title={Dynamic Linkages between Global Oil Price Volatility and Fertilizer Stock Indices in China on Pre and during Covid-19 Pandemic},
booktitle={Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI},
year={2022},
pages={45-51},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0011721700003607},
isbn={978-989-758-620-0},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI
TI - Dynamic Linkages between Global Oil Price Volatility and Fertilizer Stock Indices in China on Pre and during Covid-19 Pandemic
SN - 978-989-758-620-0
AU - Li B.
AU - Ma J.
AU - Wei S.
PY - 2022
SP - 45
EP - 51
DO - 10.5220/0011721700003607
PB - SciTePress