  In this study, empirical moments and the cointegration for all the liquid
commodity futures traded in the Chinese futures markets are analyzed for the
periods before and after Covid-19, which is important for trading strategies
such as pairs trading. The results show that the positive change in the average
returns of the products such as soybean, corn, corn starch, and iron ore
futures are significantly stronger than other products in the post Covid-19
era, whereas the volatility increased most for silver, petroleum asphalt and
egg futures after the pandemic started. The number of cointegrated pairs are
reduced after the pandemic indicating the differentiation in returns due to the
structural changes caused in the demand and supply conditions across
commodities.
