Intraday market momentum in coffee futures: Dynamics and drivers

IF 5.2 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2026-03-01 Epub Date: 2025-12-04 DOI:10.1016/j.jcomm.2025.100537

Anabelle Couleau , Andres Trujillo-Barrera , Xiaoli Etienne

引用次数: 0

Abstract

The Coffee ‘C’ futures contract traded on the InterContinental Exchange is recognized as the global benchmark for coffee pricing. Using high-frequency tick data from January 2010 to November 2021, we document the presence and drivers of intraday market momentum for the Coffee ‘C’ futures contract. Intraday market momentum is time-varying and emerges primarily during periods of elevated volatility and concentrated in the upper tails of the return distribution. Persistence tests indicate that early-day momentum linked to overnight and morning returns tends to carry over across days, consistent with gradual information incorporation and the late-informed trading hypothesis, while late-day momentum dissipates quickly, reflecting portfolio rebalancing and hedging pressures. Regression evidence suggests that stronger intraday momentum tend to coincide with faster quoting activity, greater opening liquidity demand, and lower speculative participation.

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咖啡期货的盘中市场动量：动态和驱动因素

在洲际交易所交易的咖啡“C”期货合约被认为是全球咖啡定价的基准。利用2010年1月至2021年11月的高频波动数据，我们记录了咖啡“C”期货合约盘中市场动量的存在和驱动因素。日内市场动量是时变的，主要出现在波动加剧的时期，集中在收益分布的上尾。持续性测试表明，与隔夜和上午回报相关的早盘势头往往会延续数天，这与逐步纳入信息和晚知交易假设相一致，而晚盘势头会迅速消散，反映出投资组合再平衡和对冲压力。回归证据表明，更强的盘中动量往往与更快的报价活动、更大的开盘流动性需求和更低的投机参与相吻合。

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

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.