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Speculation, Returns, Volume and Volatility in Commodities Futures Markets

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Author Info

  • Andrea Bastianin

    (University of Milan-Bicocca, Fondazione Eni Enrico Mattei)

  • Matteo Manera

    (University of Milan-Bicocca, Fondazione Eni Enrico Mattei)

  • Marcella Nicolini

    (University of Pavia, Fondazione Eni Enrico Mattei)

  • Ilaria Vignati

    (Fondazione Eni Enrico Mattei)

Abstract

Our study contributes to the literature in two directions. First, we investigate the behaviour of futures prices returns for different energy and agricultural commodities, over the period 1986-2010. Second, we measure the market vulnerability to financial speculation for energy commodities over the period 1992-2010. We find that financial speculation is poorly significant in modelling returns in commodities futures, while macroeconomic and financial factors are relevant. Spillovers between commodities are present and correlations among commodities volatilities are large and time-varying. A higher degree of vulnerability to financial speculation characterizes the futures market for crude oil in the 2008 crisis.

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Bibliographic Info

Article provided by Fondazione Eni Enrico Mattei in its journal Review of Environment, Energy and Economics.

Volume (Year): (2012)
Issue (Month): (January)
Pages:

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Handle: RePEc:fem:femre3:2012.01-07

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Related research

Keywords: Energy; Commodities; Futures markets; Speculation; GARCH; Market depth; Volumes;

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Cited by:
  1. Janda, Karel & Krska, Stepan & Prusa , Jan, 2014. "Odhad nákladů na podporu české fotovoltaické energie
    [The Estimation of the Cost of Promotion of the Czech Photovoltaic Energy]
    ," MPRA Paper 54108, University Library of Munich, Germany.

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