Internet, noise trading and commodity futures prices

Massimo Peri, Daniela Vandone and Lucia Baldi

International Review of Economics & Finance, 2014, vol. 33, issue C, 82-89

Abstract: This paper relates to internet, noise trading and commodity futures prices. The theoretical framework is the Mixture Distribution Hypothesis (MDH) that posits a joint dependence of return volatility and information. We use two different proxies for the observed component of information flows, which allows to separate the effect of internet searches and information published in newspapers. We analyse the effect of information from the internet using the Internet Search Volume from Google Insight. Empirical results support the MDH and highlight that the search of information on internet by noise traders can amplify volatility.

Keywords: Noise trading; Corn price volatility; Information; Mixture Distribution Hypothesis; EGARCH (search for similar items in EconPapers)
JEL-codes: C32 G13 G14 Q11 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:33:y:2014:i:c:p:82-89

DOI: 10.1016/j.iref.2014.03.006

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