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The influence of uncertainty on commodity futures returns and trading behaviour

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  • Laubsch, Joshua
  • Smales, Lee A.
  • Vo, Duc

Abstract

We utilise measures of economic policy uncertainty (EPU) and geopolitical risk (GPR), as well as commitments of traders (COTs), to investigate the influence of uncertainty on commodity markets. We find that uncertainty has a significant influence on returns, but the direction of the response is due to whether uncertainty emanates from demand shocks (EPU) or supply shocks (GPR). Uncertainty is also positively related to volatility and trading volume. Importantly, we also find that the net positions of both commercial and non-commercial traders are influenced by uncertainty levels. Examination of high uncertainty and recessionary periods indicates that our results are state dependent.

Suggested Citation

  • Laubsch, Joshua & Smales, Lee A. & Vo, Duc, 2024. "The influence of uncertainty on commodity futures returns and trading behaviour," The Quarterly Review of Economics and Finance, Elsevier, vol. 98(C).
    • Handle: RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001212
    DOI: 10.1016/j.qref.2024.101915
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    More about this item

    Keywords

    Commodity futures; Geopolitical risk (GPR); Economic policy uncertainty (EPU); Trading behaviour; CFTC commitment of traders;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G40 - Financial Economics - - Behavioral Finance - - - General

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