A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions
研究了中国15种商品期货在极端市场条件下的对冲特性，发现多数期货产品能有效对冲现货价格风险，其中金属商品表现最佳，农业次之，能源较差。
Abstract Using a proposed quantile‐based hedging analysis framework, this paper analyzes the hedging properties and portfolio performance of 15 commodities futures in China, especially under extreme market conditions. Quantile‐on‐quantile regression results show that the dependency structures of most spot and futures prices exhibit an almost similar shape with positive coefficients, which indicates that most futures products are good hedges and safe havens for the corresponding spot prices. Quantile hedge ratios vary with the quantiles, displaying a U‐shape, so the hedge ratios of most commodities should increase moderately in both bearish and bullish markets. As for portfolio performance, metal commodities perform best; agricultural commodities second best, and energy commodities relatively poorly. Out‐of‐sample quantile hedging results are consistent with in‐sample results. Therefore, participating in the futures market can effectively manage risk. The premise is that investors pay attention to market dynamics and adjust their portfolios promptly.