The influence of uncertainty on commodity futures returns and trading behaviour

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance Pub Date : 2024-09-07 DOI:10.1016/j.qref.2024.101915

Joshua Laubsch , Lee A. Smales , Duc Vo

引用次数: 0

Abstract

We utilise measures of economic policy uncertainty (EPU) and geopolitical risk (GPR), as well as commitments of traders (COTs), to investigate the influence of uncertainty on commodity markets. We find that uncertainty has a significant influence on returns, but the direction of the response is due to whether uncertainty emanates from demand shocks (EPU) or supply shocks (GPR). Uncertainty is also positively related to volatility and trading volume. Importantly, we also find that the net positions of both commercial and non-commercial traders are influenced by uncertainty levels. Examination of high uncertainty and recessionary periods indicates that our results are state dependent.

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不确定性对商品期货收益和交易行为的影响

我们利用经济政策不确定性（EPU）和地缘政治风险（GPR）以及交易者承诺（COTs）的衡量标准来研究不确定性对商品市场的影响。我们发现，不确定性对收益率有重大影响，但影响的方向取决于不确定性是来自需求冲击（EPU）还是供应冲击（GPR）。不确定性还与波动性和交易量呈正相关。重要的是，我们还发现商业和非商业交易者的净头寸都受到不确定性水平的影响。对高不确定性和衰退期的研究表明，我们的结果与状态有关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Quarterly Review of Economics and Finance ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

118

期刊介绍： The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.