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
High–low volatility spillover network between economic policy uncertainty and commodity futures markets
Sign Up to like & getrecommendations! Published in 2024 at "Journal of Futures Markets"
DOI: 10.1002/fut.22511
Abstract: Based on the formation and evolution of systemic risk, we study the high‐low volatility spillovers between economic policy uncertainty (EPU) and commodity futures and identify the source of risk accumulation and risk outbreak, as well… read more here.
Keywords: low volatility; risk; volatility; high low ... See more keywords
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions
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DOI: 10.1002/fut.22557
Abstract: We apply the regression‐based affine term structure model to estimate the term structure of commodity futures. This model is advantageous in that it has a simple and fast algorithm, can accommodate a variety of observable… read more here.
Keywords: term structure; risk; term; commodity futures ... See more keywords
Commodity Futures Deliveries: Theory and Evidence From the US Corn Market
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DOI: 10.1002/fut.22585
Abstract: For corn futures, deliveries facilitate convergence by allowing for arbitrage between physical and “paper” markets. We explain the delivery process in detail, including the key role of Shipping Certificates. We investigate what drives deliveries and… read more here.
Keywords: market; corn; delivery; futures deliveries ... See more keywords
Evaluating Trend‐Based Strategies in Chinese Commodity Futures Markets
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DOI: 10.1002/fut.70033
Abstract: We examine the performance of trend‐based strategies in Chinese commodity futures markets, using a data set of 64 commodity futures from 2003 to 2023. We find that TSMOM strategies generate high returns. The performance is… read more here.
Keywords: based strategies; futures markets; trend based; commodity futures ... 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
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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