Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test

Bernardina Algieri and Arturo Leccadito

Journal of Commodity Markets, 2019, vol. 13, issue C, 40-54

Abstract: The present study investigates the relation between different measures of price volatility (conditional, historical and implied) and different types of speculation (short-run, long-run and excessive) in futures commodity markets for the period 2000–2015. To this purpose, we first use a pairwise Granger causality analysis for 28 individual commodities belonging to energy, agricultural and metal markets. Then, we implement a novel combination of combinations of p-values test to assess whether lead-lag relations exist between speculation and price volatility for broad categories of commodities. The results of both testing procedures show that the majority of significant relations refer to agricultural commodities and that tendentially short-run speculation leads volatility. This means that noise trading has a leading power on market volatility and scalpers are a class of volatility-drivers.

Keywords: Combination of combinations of p-values; Speculation; Volatility (search for similar items in EconPapers)
JEL-codes: C12 G15 Q02 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:13:y:2019:i:c:p:40-54

DOI: 10.1016/j.jcomm.2018.05.008

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