This paper analyses futures prices of four energy commodities (crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using DCC multivariate GARCH models, it provides new evidence on four research questions: 1) Are macroeconomic factors relevant in explaining returns of energy and nonenergy commodities? 2) Is financial speculation significantly related to returns in futures markets? 3) Are there significant relationships among returns, either in their mean or variance, across different markets? 4) Is speculation in one market affecting returns in other markets? Results suggest that the S&P 500 index and the exchange rate significantly affect returns. Financial speculation, proxied by Working's T index, is poorly significant in modelling returns of commodities. Moreover, spillovers between commodities are present and the conditional correlations among energy and agricultural commodities display a spike around 2008. Copyright © 2013 by the IAEE. All rights reserved.

Manera, M., Nicolini, M., Vignati, I. (2013). Financial Speculation in Energy and Agriculture Futures Markets: a Multivariate GARCH Approach. THE ENERGY JOURNAL, 34, 55-81 [10.5547/01956574.34.3.4].

Financial Speculation in Energy and Agriculture Futures Markets: a Multivariate GARCH Approach

MANERA, MATTEO;
2013

Abstract

This paper analyses futures prices of four energy commodities (crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using DCC multivariate GARCH models, it provides new evidence on four research questions: 1) Are macroeconomic factors relevant in explaining returns of energy and nonenergy commodities? 2) Is financial speculation significantly related to returns in futures markets? 3) Are there significant relationships among returns, either in their mean or variance, across different markets? 4) Is speculation in one market affecting returns in other markets? Results suggest that the S&P 500 index and the exchange rate significantly affect returns. Financial speculation, proxied by Working's T index, is poorly significant in modelling returns of commodities. Moreover, spillovers between commodities are present and the conditional correlations among energy and agricultural commodities display a spike around 2008. Copyright © 2013 by the IAEE. All rights reserved.
Articolo in rivista - Articolo scientifico
Oil market; commodities markets; financial speculation; multivariate GARCH
English
2013
34
55
81
none
Manera, M., Nicolini, M., Vignati, I. (2013). Financial Speculation in Energy and Agriculture Futures Markets: a Multivariate GARCH Approach. THE ENERGY JOURNAL, 34, 55-81 [10.5547/01956574.34.3.4].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/51569
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