Speculation, Returns, Volume and Volatility in Commodities Futures Markets
AbstractOur 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 InfoArticle provided by Fondazione Eni Enrico Mattei in its journal Review of Environment, Energy and Economics.
Volume (Year): (2012)
Issue (Month): (January)
Energy; Commodities; Futures markets; Speculation; GARCH; Market depth; Volumes;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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