Dynamic Spillover Effects and its Influencing Factors in Commodity Futures Markets Under Major Shocks: Evidence from China’s Edible Oils and Oil-seeds Futures

The nation's food security, economic security, and social stability are all impacted by the fluctuations in edible oils and oil-seeds commodities, while the spot market is now significantly impacted by futures prices due to advancements in the price discovery function. This study assesses the intensity and direction of the time-varying spillover impact as well as the factors influencing its change by using the TVP-VAR-DY and TVP-VAR-SV models to construct a thorough research system on all 9 of China's edible oils and oil-seeds futures. The findings are as follows: During the whole sample period, the spillover effect among such futures in China is substantial, exhibiting obvious time-varying characteristics and a high sensitivity to major risk shocks. Additionally, most of the net spillover direction and the structural features have altered under the impact of risk shocks, indicating that an independent and objective analysis should be carried out at the onset of each risk event. Furthermore, since it has been found that Chinese investor sentiment and Chinese geopolitical risk are the major influencing factors on the spillover effect between such variables, in addition to being cautious of the impact of significant risk shocks, the Chinese government should also strengthen investor education and advocate rational investment concept, and strengthen the real-time monitoring of potential geopolitical risks, effectively prevent and resolve international and domestic geopolitical conflicts, and minimize its negative impact on the risk contagion.