The influence of the COVID-19 pandemic on the short- and long-term interactions in the agricultural market: Evidence from a connectedness network approach.

Abstract

This study employs a bivariate GARCH model to examine the influence of the COVID-19 pandemic on the interactions of the commodities in the agricultural market via a connectedness network approach. Empirical results show that this pandemic alters the commodities' roles-the activators, net transmitters, and net receivers-in the volatility and return connectedness but not for the activators in the correlation connectedness. Moreover, this pandemic enhances the interactive degree of the unidirectional negative return spillovers and the bidirectional distinct-sign volatility spillovers but doesn't for the interactive degree of correlation. Thus, the COVID-19 pandemic, a short-term drastic event, can influence short-term interactions like volatility and return spillovers but can't affect one long-term interaction like the correlation. Nevertheless, this pandemic raises the intensity of the correlation as well as volatility and return spillovers. The findings provide policymakers to make short- and long-term investment strategies in the agriculture market.