全球智库信息集成服务系统(G2TT): Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation

G2TT

来源类型	FEEM working papers "Note di lavoro" series
规范类型	论文
	Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation
	Matteo Manera; Marcella Nicolini; Ilaria Vignati
发表日期	2013
出处	Energy: Resources and Markets
出版年	2013
语种	英语
摘要	This paper evaluates how different types of speculation affect the volatility of commodities’ futures prices. We adopt four indexes of speculation: Working’s T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets, which proxy for long term speculation, and scalping, which proxies for short term speculation. We consider four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and seven non-energy commodities (cocoa, coffee, corn, oats, soybean oil, soybeans and wheat) over the period 1986-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative effect. The robustness exercise shows that: i) scalping is positive and significant also at higher and lower data frequencies; ii) results remain unchanged through different model specifications (GARCH-in-mean, EGARCH, and TARCH); iii) results are robust to different specifications of the mean equation.
特色分类	C32;G13;Q11;Q43
关键词	Commodities Futures Markets Speculation Scalping Working’s T Data Frequency GARCH Models
URL	https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/futures-price-volatility-in-commodities-markets-the-role-of-short-term-vs-long-term-speculation/
来源智库	Fondazione Eni Enrico Mattei (Italy)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/118169
推荐引用方式 GB/T 7714	Matteo Manera,Marcella Nicolini,Ilaria Vignati. Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation. 2013.

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20135161137571Nota_d（71KB）	智库出版物		限制开放	CC BY-NC-SA	浏览
2013516113874NDL2013（1227KB）	智库出版物		限制开放	CC BY-NC-SA	浏览