Gateway to Think Tanks
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. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
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 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。