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Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test
- Source :
- Journal of Commodity Markets. 13:40-54
- Publication Year :
- 2019
- Publisher :
- Elsevier BV, 2019.
-
Abstract
- The present study investigates the relation between different measures of price volatility (conditional, historical and implied) and different types of speculation (short-run, long-run and excessive) in futures commodity markets for the period 2000–2015. To this purpose, we first use a pairwise Granger causality analysis for 28 individual commodities belonging to energy, agricultural and metal markets. Then, we implement a novel combination of combinations of p-values test to assess whether lead-lag relations exist between speculation and price volatility for broad categories of commodities. The results of both testing procedures show that the majority of significant relations refer to agricultural commodities and that tendentially short-run speculation leads volatility. This means that noise trading has a leading power on market volatility and scalpers are a class of volatility-drivers.
- Subjects :
- 040101 forestry
Economics and Econometrics
Agricultural commodity
050208 finance
Granger causality analysis
05 social sciences
04 agricultural and veterinary sciences
ComputingMilieux_GENERAL
0502 economics and business
Economics
Econometrics
0401 agriculture, forestry, and fisheries
Pairwise comparison
Volatility (finance)
Speculation
Futures contract
Finance
Subjects
Details
- ISSN :
- 24058513
- Volume :
- 13
- Database :
- OpenAIRE
- Journal :
- Journal of Commodity Markets
- Accession number :
- edsair.doi...........f28957d0d31c1929e643c2dbdfe6927e