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Information Flow, Trading Activity and Commodity Futures Volatility

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  • Adam E. Clements
  • Neda Todorova

Abstract

Based on unique news data relating to gold and crude oil, we investigate how news volume and sentiment, shocks in trading activity, market depth and trader positions unrelated to information flow covary with realized volatility. Positive shocks to the rate of news arrival, and negative shocks to news sentiment exhibit the largest effects. After controlling for the level of news flow and cross‐correlations, net trader positions play only a minor role. These findings are at odds with those of [Wang (2002a). The Journal of Futures Markets, 22, 427–450; Wang (2002b). The Financial Review, 37, 295–316], but are consistent with the previous literature which doesn't find a strong link between volatility and trader positions. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:88–104, 2016

Suggested Citation

  • Adam E. Clements & Neda Todorova, 2016. "Information Flow, Trading Activity and Commodity Futures Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(1), pages 88-104, January.
  • Handle: RePEc:wly:jfutmk:v:36:y:2016:i:1:p:88-104
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    1. repec:eee:intfin:v:53:y:2018:i:c:p:50-75 is not listed on IDEAS
    2. repec:eee:appene:v:196:y:2017:i:c:p:152-161 is not listed on IDEAS
    3. repec:eee:jrpoli:v:58:y:2018:i:c:p:111-124 is not listed on IDEAS
    4. Ahmed, Walid M.A., 2017. "The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience," Research in International Business and Finance, Elsevier, vol. 40(C), pages 61-77.
    5. Füss, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael, 2018. "Something in the air: Information density, news surprises, and price jumps," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 50-75.

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