Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach

Matteo Manera (matteo.manera@unimib.it), Marcella Nicolini and Ilaria Vignati
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Ilaria Vignati: Fondazione Eni Enrico Mattei, Milan

No 2012.23, Working Papers from Fondazione Eni Enrico Mattei

Abstract: This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying.

Keywords: Energy; Commodities; Futures Markets; Financial Speculation; Multivariate GARCH (search for similar items in EconPapers)
JEL-codes: C32 G13 Q11 Q43 (search for similar items in EconPapers)
Date: 2012-04
New Economics Papers: this item is included in nep-agr, nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Related works:
Working Paper: Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach (2012)
Working Paper: Returns in commodities futures markets and financial speculation: a multivariate GARCH approach (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:fem:femwpa:2012.23

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