Similar Search Results

Futures price volatility in commodities markets : the role of short term vs long term speculation

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2013

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 …

Persistent link: https://www.econbiz.de/10009756298

The effects of margin changes on commodity futures markets

Daskalaki, Charoula; Skiadopoulos, George - 2014 - This draft: 24 October 2014

In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases decrease the rate at which prices change, yet they...

Persistent link: https://www.econbiz.de/10010472794

How is volatility in commodity markets linked to oil price shocks?

Ahmadi, Maryam; Behmiri, Niaz Bashiri; Manera, Matteo - 2015

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities. To achieve this goal, we decompose an oil price shock to its underlying components, including macroeconomics and oil specific shocks. The applied methodology is the structural...

Persistent link: https://www.econbiz.de/10011438674

The role of storage in commodity markets : indirect inference based on grains data

Gouel, Christophe; Legrand, Nicolas - 2022

Persistent link: https://www.econbiz.de/10013482176

Commodity futures hedge ratios : a meta-analysis

Białkowski, Je̜drzej; Bohl, Martin T.; Perera, Devmali - 2022

Persistent link: https://www.econbiz.de/10013545700

Returns in commodities futures markets and financial speculation : a multivariate GARCH approach

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012

CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in … ; Futures Markets ; Financial Speculation ; Multivariate GARCH …

Persistent link: https://www.econbiz.de/10009535531

Does the tail wag the dog? : evidence from fund flow to VIX ETFs and ETNs

Białkowski, Je̜drzej; Dang, Huong; Wei, Xiaopeng - 2017

Persistent link: https://www.econbiz.de/10011886575

On the links between stock and commodity markets’ volatility

Creti, Anna; Joëts, Marc; Mignon, Valérie - 2012

Persistent link: https://www.econbiz.de/10009665291

Internet, noise trading and commodity prices

Peri, Massimo; Vandone, Daniela; Baldi, Lucia - 2012

Persistent link: https://www.econbiz.de/10011759934

Informed trading in oil-futures market

Rousse, Olivier; Sévi, Benoît - 2016

The weekly release of the U.S. inventory level by the DOE-EIA is known as the market mover in the U.S. oil futures market and to be a significant piece of information for all world oil markets in which the WTI is a price benchmark. We uncover suspicious trading patterns in the WTI futures...

Persistent link: https://www.econbiz.de/10011591602