EconPapers    
Economics at your fingertips  
 

Dynamic convergence of commodity futures: Not all types of commodities are alike

Ahmet Sensoy, Erk Hacihasanoglu and Duc Khuong Nguyen

Resources Policy, 2015, vol. 44, issue C, 150-160

Abstract: We analyze the dynamic comovement of commodity futures returns within each category (energy, precious metals, industrial metals, and agriculture) from 1997 to 2013 under the effects of the financialization of commodity markets. Our findings from the dynamic equicorrelation GARCH model of Engle and Kelly (2012) show evidence of convergence for precious and industrial metal commodity futures since mid-2000s. On the other hand, there is no sign of convergence across the agricultural commodity futures, with most of them moving in a unrelated manner. Finally, a relatively high level of convergence is found for energy commodity futures, except for natural gas futures which expectedly behave significantly different from the other energy commodity futures. As a whole, our results suggest some potential for diversification benefits within commodity-specific categories, but at the same time the predominance of physical supply/demand balance as the main driving force of the commodity futures price dynamics rather than global financial conditions.

Keywords: Commodity futures; Dynamic convergence; Dynamic equicorrelation (search for similar items in EconPapers)
JEL-codes: C58 G11 L61 Q02 Q14 Q40 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420715000264
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:jrpoli:v:44:y:2015:i:c:p:150-160

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-04-26
Handle: RePEc:eee:jrpoli:v:44:y:2015:i:c:p:150-160