EconPapers    
Economics at your fingertips  
 

Examining the Common Dynamics of Commodity Futures Prices

Christian Gross ()

No 6317, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: We investigate the extent and dynamic nature of co-movement in daily futures prices of 18 non-energy commodities over the period 1994-2016. Our analysis provides evidence that co-movement between individual commodities and between commodities and outside financial markets varies strongly over time and that economic events play a key role in shaping the dynamics of co-movement. Our main findings suggest a steady rise in the co-movement of commodity returns between 2004 and 2010, with clear peaks during the period of global financial turmoil, but a steep decline in co-movement after 2013. We also find that overall connectedness of commodity futures markets to shocks in financial markets shows an increasing trend after 2004. Using several risk measures we show that financial investors' risk aversion affects the systematic component of commodity futures returns.

Keywords: Commodity futures markets; connectedness; co-movement; financialization; common factors (search for similar items in EconPapers)
JEL-codes: E44 F30 G12 G13 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2017-07
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.wiwi.uni-muenster.de/cqe/sites/cqe/fil ... r/cqe_wp_63_2017.pdf Version of July 2017 (application/pdf)

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:cqe:wpaper:6317

Access Statistics for this paper

More papers in CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster Am Stadtgraben 9, 48143 Münster, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Susanne Deckwitz ().

 
Page updated 2019-04-15
Handle: RePEc:cqe:wpaper:6317