Time-to-maturity and commodity futures return volatility: The role of time-varying asymmetric information

Hoàng Long Phan, Ralf Zurbruegg, Paul Brockman and Chia-Feng (Jeffrey) Yu ()

Journal of Commodity Markets, 2022, vol. 26, issue C

Abstract: We examine the impact that information asymmetry has on the relationship between commodity futures contracts’ time-to-maturity and return volatility. Using mediation analysis, we find strong evidence that time-varying asymmetric information plays a significant role in influencing the time-to-maturity pattern of commodity futures return volatility. We argue that these results are partly a consequence of the financialization of commodity markets that has led to significant trading activity by uninformed hedgers as contracts mature.

Keywords: Futures; Hedging; Financialization; Commodity futures; Information asymmetry; Price elasticity (search for similar items in EconPapers)
JEL-codes: C22 G13 G15 Q14 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000258

DOI: 10.1016/j.jcomm.2021.100191

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