The impact of data frequency on market efficiency tests of commodity futures prices
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21912
Abstract: We investigate the impacts of sampling frequency and model specification uncertainty on the outcome of unit root tests, commonly employed as market efficiency tests, using a new, robust Bayesian test on seven commodity futures prices… read more here.
Keywords: frequency; futures prices; commodity futures; market efficiency ... See more keywords
Speculation and volatility-A time-varying approach applied on Chinese commodity futures markets
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21984
Abstract: Experts have long discussed and empirically investigated whether speculative activity increases volatility on commodity futures markets. Little empirical research, however, analyzes the role of speculators on commodity futures markets in China. Using time‐varying vector autoregression… read more here.
Keywords: speculation; volatility; futures markets; time ... See more keywords
How about selling commodity futures losers?
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Futures Markets"
DOI: 10.1002/fut.22051
Abstract: This paper explores the benefits of extending the investment universe to commodity futures, from the perspective of momentum traders. We find that the growth-optimal portfolio includes negative (positive) weights on commodity futures losers (stock winners).… read more here.
Keywords: commodity futures; momentum; selling commodity; commodity ... See more keywords
Permanent and transitory price shocks in commodity futures markets and their relation to speculation
Sign Up to like & getrecommendations! Published in 2019 at "Empirical Economics"
DOI: 10.1007/s00181-017-1387-2
Abstract: This paper takes an innovative look at the relationship between commodity futures prices and speculation. Contrary to other studies, we analyze the effect of speculation on temporary and permanent futures price shocks estimated from a… read more here.
Keywords: speculation; permanent transitory; price shocks; commodity futures ... See more keywords
Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?
Sign Up to like & getrecommendations! Published in 2020 at "Annals of Operations Research"
DOI: 10.1007/s10479-020-03515-w
Abstract: The aim of this paper is to assess whether three well-known commodity-specific variables (basis, hedging pressure, and momentum) may improve the predictive power for commodity futures returns of models otherwise based on macroeconomic factors. We… read more here.
Keywords: futures returns; commodity specific; forecasting commodity; commodity futures ... See more keywords
Volatility forecasting in the Chinese commodity futures market with intraday data
Sign Up to like & getrecommendations! Published in 2017 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-016-0570-4
Abstract: Given the unique institutional regulations in the Chinese commodity futures market as well as the characteristics of the data it generates, we utilize contracts with three months to delivery, the most liquid contract series, to systematically… read more here.
Keywords: volatility; chinese commodity; volatility forecasting; commodity futures ... See more keywords
The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns
Sign Up to like & getrecommendations! Published in 2021 at "Energy Economics"
DOI: 10.1016/j.eneco.2021.105377
Abstract: Abstract This paper is the first to examine the dynamic impact of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns. Using a quantile regression approach, we report that temperature anomaly exerts a significant… read more here.
Keywords: temperature anomaly; futures returns; commodity futures; agricultural commodity ... See more keywords
Effects of investor attention on commodity futures markets
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DOI: 10.1016/j.frl.2017.10.014
Abstract: Abstract China has recently seen surging retail investor participation in commodity futures markets and rapid adoption of mobile Internet interface. We study two questions with these developments using search frequency from Baidu, the leading Chinese… read more here.
Keywords: futures markets; attention; investor attention; commodity futures ... See more keywords
Direction-of-change forecasting in commodity futures markets
Sign Up to like & getrecommendations! Published in 2021 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2021.101677
Abstract: Abstract This paper examines direction-of-change predictability in commodity futures markets using a variety of binary probabilistic techniques. As well as traditional techniques, we apply Variable Length Markov Chain (VLMC) analysis, an innovative technique popularised in… read more here.
Keywords: direction change; direction; futures markets; commodity futures ... See more keywords
Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets
Sign Up to like & getrecommendations! Published in 2020 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2019.101145
Abstract: Abstract We present the results of two efficiency measures that include intraday return predictability measure based on order imbalance and measures of several variance ratio tests on intraday subsamples of nine major Indian agricultural commodity… read more here.
Keywords: seed; futures markets; market; commodity futures ... See more keywords
Intraday momentum in Chinese commodity futures markets
Sign Up to like & getrecommendations! Published in 2020 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2020.101278
Abstract: Abstract In this paper, we study whether the intraday momentum exists in Chinese commodity futures markets. We first construct an open-interest-weighted index with the high-frequency data of all commodity futures traded and then examine the… read more here.
Keywords: futures markets; chinese commodity; half hour; commodity futures ... See more keywords