Trading behaviour connectedness across commodity markets: Evidence from the hedgers’ sentiment perspective

Qiang Ji, Walid Bahloul, Jiang-Bo Geng and Rangan Gupta

Research in International Business and Finance, 2020, vol. 52, issue C

Abstract: This paper analyses the connectedness network for commercial traders’ sentiment across agriculture, energy, metals and livestock futures markets. The findings find that: (a) producer/merchant/processor/user (PMPU) in agricultural and energy markets are mainly engaged in cross-hedging in the futures market, and most of them would avoid risks in these markets by operating in the metal markets, which can be considered safe for PMPU traders, and that the cross-hedging strategies may play the role of PMPU sentiment spillover across futures markets; (b) as index traders, the swap dealers operate more in two markets, namely between the agricultural and metal markets, or between the agricultural and energy markets; (c) the influence of geopolitical risks in some countries can affect the stability of energy markets, which in turn can cause PMPU system-wide connectedness.

Keywords: Investor sentiment; Commodity market; Connectedness; Spillover effect (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919308578

DOI: 10.1016/j.ribaf.2019.101114

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