Internet, noise trading and commodity prices
AbstractWe study the effect of an increased noise trading caused by easier access to information on agricultural futures prices. The theoretical framework is the Mixture Distribution Hypothesis (MDH), that posits a joint dependence of return volatility and information. We use two different proxies for the observed component of information flows, which allows to separate the effect of supply and demand of information. We analyse the effect of information demand using the Internet Search Volume from Google Insight. Empirical results support the MDH and highlight that the search of information on internet by noise traders can amplify volatility.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano in its series Departmental Working Papers with number 2012-07.
Date of creation: 01 Jun 2012
Date of revision:
Noise trading; commodity futures prices; information; mixture distribution hypothesis; egarch;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (DEMM Working Papers) The email address of this maintainer does not seem to be valid anymore. Please ask DEMM Working Papers to update the entry or send us the correct address.
If references are entirely missing, you can add them using this form.