Are there common factors in individual commodity futures returns?

Charoula Daskalaki, Alexandros Kostakis and George Skiadopoulos

Journal of Banking & Finance, 2014, vol. 40, issue C, 346-363

Abstract: We explore whether there are common factors in the cross-section of individual commodity futures returns. We test various asset pricing models which have been employed for the equities market as well as models motivated by commodity pricing theories. The use of these families of models allows us also to test whether the commodities and equities market are integrated. In addition, we employ principal components factor models which do not require à priori specification of factors. We find that none of the models is successful. Our results imply that commodity markets are segmented from the equities market and they are considerably heterogeneous per se.

Keywords: Common factors; Commodity-specific factors; Hedging pressure; Inventories; Market segmentation; Principal components analysis (search for similar items in EconPapers)
JEL-codes: G12 G13 G21 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (84)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S037842661300455X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:40:y:2014:i:c:p:346-363

DOI: 10.1016/j.jbankfin.2013.11.034

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().