Dynamic correlation and volatility spillovers across Chinese stock and commodity futures markets

2020 ◽  
Vol 25 (2) ◽  
pp. 261-273 ◽  
Author(s):  
Sang Hoon Kang ◽  
Seong‐Min Yoon
Keyword(s):  
Futures Markets ◽  
Commodity Futures ◽  
Dynamic Correlation ◽  
Volatility Spillovers ◽  
Commodity Futures Markets

scholarly journals Volatility Transmission across Commodity Futures Markets

2018 ◽  
Author(s):  
Frankie Ho-Chi Chau
Keyword(s):  
Crude Oil ◽  
Futures Markets ◽  
Oil And Gas ◽  
Commodity Futures ◽  
Dynamic Interactions ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
Crude Oil Prices ◽  
Commodity Futures Markets ◽  
Copper Gold

Sharp movements in crude oil prices and their impact on other commodities have renewed interest in the assessment of dynamic interactions between commodity futures markets. This chapter examines this topic by investigating the intensity and direction of volatility transmission across three major classes of commodities, including agricultural products (corn, coffee, and soybeans), energy (crude oil and gas), and metals (copper, gold, and silver). Overall, the evidence suggests that important volatility episodes and fluctuations exist across major commodity markets; the total cross-market spillovers are limited until the onset of financial crisis of 2007–2008. As the crisis intensified, so too did the commodity volatility spillovers, with substantial stress carrying over from the energy and metal markets to others. These findings are important in understanding the level and transmission mechanism of risk across commodity futures markets and are relevant to regulators in formulating policies to tackle excessive volatility, particularly during turbulent periods.

Anomalies in Commodity Futures Markets: Risk or Mispricing?

2020 ◽  
Author(s):  
Fabian Hollstein ◽  
Marcel Prokopczuk ◽  
Björn Tharann
Keyword(s):  
Futures Markets ◽  
Commodity Futures ◽  
Commodity Futures Markets

Financialization of Commodity Markets

2018 ◽  
Author(s):  
Kyle J. Putnam
Keyword(s):  
Business Cycle ◽  
Futures Markets ◽  
Commodity Price ◽  
Commodity Markets ◽  
Commodity Futures ◽  
Futures Prices ◽  
Price Behavior ◽  
Risk And Return ◽  
Commodity Futures Markets ◽  
Asset Class

In the early 2000s, financial investors began pouring billions of dollars into the commodity futures markets seeking the unique investment benefits of this distinct asset class. This “financialization” process has called into question the fundamental risk and return properties of commodity futures as evidence has emerged favoring the idea that the massive increase in investor flows caused a rise in futures prices, volatility, and intra- and intermarket return correlations. However, a contrarian line of research contends that the effects of the new “speculative” capital on the futures markets are unsubstantiated and the increased participation of financial investors poses little consequence to the economics of the marketplace. This latter line of literature maintains that the investment benefits of commodity futures have not been diminished and that fundamental factors and business cycle variations can explain the observed changes in commodity price behavior.

Anomalies in Commodity Futures Markets

2021 ◽  
Author(s):  
Fabian Hollstein ◽  
Marcel Prokopczuk ◽  
Björn Tharann
Keyword(s):  
Factor Structure ◽  
Futures Markets ◽  
Commodity Markets ◽  
Commodity Futures ◽  
Idiosyncratic Volatility ◽  
Large Set ◽  
Jump Risk ◽  
Commodity Futures Markets

In recent years, commodity markets have become increasingly popular among financial investors. While previous studies document a factor structure, not much is known about how prominent anomalies are priced in commodity futures markets. We examine a large set of such anomaly variables. We identify sizable premia for jump risk, momentum, skewness, and volatility-of-volatility. Other prominent variables, such as downside beta, idiosyncratic volatility, and MAX, are not priced in commodity futures markets. Commodity investors should rebalance their portfolios regularly. Returns for annual holding periods are substantially weaker than for monthly rebalancing.

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