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A Shot in the Arm: The Effect of COVID-19 Vaccine News on Financial and Commodity Markets 一针强心针:COVID-19疫苗新闻对金融和商品市场的影响
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2021-05-24 DOI: 10.2139/ssrn.3852364
O. Kucher, A. Kurov, M. Wolfe
{"title":"A Shot in the Arm: The Effect of COVID-19 Vaccine News on Financial and Commodity Markets","authors":"O. Kucher, A. Kurov, M. Wolfe","doi":"10.2139/ssrn.3852364","DOIUrl":"https://doi.org/10.2139/ssrn.3852364","url":null,"abstract":"We analyze the impact of vaccine news announcements by leading vaccine companies on the financial and commodity markets from January to December 2020. We show that the vaccine announcements moved stock prices of the leading vaccine companies, stock markets in the U.S. and Europe (but not in Asia and Australia), interest rates, transportation commodities (but not construction commodities), and foreign exchange markets with an especially strong impact on commodity currencies. We also show that important announcements about successful initiation and completion of the research and discovery stage, three phases of clinical development, regulatory approvals, and government funding and supply agreements moved the markets more than other vaccine announcements. The impact was stronger during the bear market (mainly from February through April 2020) than the bull market.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115918962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
The Distributional Dimension of the Resource Curse: Commodity Price Shocks and Income Inequality 资源诅咒的分配维度:商品价格冲击与收入不平等
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2020-12-07 DOI: 10.2139/ssrn.3742722
Soran Mohtadi, David Castells‐Quintana
{"title":"The Distributional Dimension of the Resource Curse: Commodity Price Shocks and Income Inequality","authors":"Soran Mohtadi, David Castells‐Quintana","doi":"10.2139/ssrn.3742722","DOIUrl":"https://doi.org/10.2139/ssrn.3742722","url":null,"abstract":"How does high dependence on natural resources affect income inequality? Surprisingly little is known about the impact of high dependence on primary goods on income distribution. Building on insights from the resource curse literature, this paper studies the relationship between income shocks through changes in commodity prices and income inequality in a panel of 80 countries from 1990 to 2016. We analyze the differentiated effects of commodity price shocks depending on the type of commodity (labor vs. capital-intensive). We also study differences across world regions and explore potential mechanisms by looking at different types of inequality (pay vs. capital rents). Results show that commodity price shocks have an impact on income inequality. However, this impact depends on the type of commodity and inequality.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127577361","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Financialization and Commodity Market Serial Dependence 金融化与商品市场序列依赖
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2020-10-31 DOI: 10.2139/ssrn.3285541
Zhi Da, Ke Tang, Yubo Tao, Liyan Yang
{"title":"Financialization and Commodity Market Serial Dependence","authors":"Zhi Da, Ke Tang, Yubo Tao, Liyan Yang","doi":"10.2139/ssrn.3285541","DOIUrl":"https://doi.org/10.2139/ssrn.3285541","url":null,"abstract":"Recent financialization in commodity markets makes it easier for institutional investors to trade a portfolio of commodities via various commodity-indexed products. We present several pieces of novel causal evidence that daily exposure to such index trading results in price overshoots and reversals, as reflected in negative daily return autocorrelations, only among commodities in that index. This is because index trading propagates nonfundamental noise to all indexed commodities. We present direct evidence for such noise propagation using commodity news sentiment data. This paper was accepted by Bruno Biais, finance. Funding: Z. Da acknowledges financial support from the Beijing Outstanding Young Scientist Program [Grant BJJWZYJH01201910034034] and the 111 Project [Grant B20094]. K. Tang acknowledges financial support from the National Natural Science Foundation of China [Grants 71973075 and 72192802]. Y. Tao acknowledges financial support from the Start-up Research Grant of University of Macau [Grant SRG2022-00016-FSS]. L. Yang acknowledges the Social Sciences and Humanities Research Council of Canada for financial support [Grants 430-2018-00173 and 435-2021-0040]. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2023.4797 .","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"138 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133538637","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Commodity Futures Return Predictability and Intertemporal Asset Pricing 商品期货收益可预测性与跨期资产定价
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2020-10-09 DOI: 10.2139/ssrn.3710435
J. Cotter, Emmanuel Eyiah-Donkor, Valerio Potì
{"title":"Commodity Futures Return Predictability and Intertemporal Asset Pricing","authors":"J. Cotter, Emmanuel Eyiah-Donkor, Valerio Potì","doi":"10.2139/ssrn.3710435","DOIUrl":"https://doi.org/10.2139/ssrn.3710435","url":null,"abstract":"We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor. Commodity return forecasts are closely linked to the real economy. Return predictability is countercyclical, and the combination forecasts of commodity returns have significantly positive predictive power for future economic activity. Two-factor models featuring innovations in each of the combination forecasts and the market factor explain a substantial proportion of the cross-sectional variation of commodity and equity returns. The associated positive risk prices are consistent with the Intertemporal Capital Asset Pricing Model (ICAPM) of Merton (1973), given how the predictors forecast an increase in future economic activity in the time-series. Overall, combination fore- casts act as state variables within the ICAPM, thus resurrecting a central role for macroeconomic risk in determining expected returns.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122129629","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Fear Propagation and Return Dynamics 恐惧传播和回报动力学
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2020-09-29 DOI: 10.2139/ssrn.3701727
Yulong Sun, Kai Wang
{"title":"Fear Propagation and Return Dynamics","authors":"Yulong Sun, Kai Wang","doi":"10.2139/ssrn.3701727","DOIUrl":"https://doi.org/10.2139/ssrn.3701727","url":null,"abstract":"In this paper, we show that fear can propagate across international financial markets. International investors become more concerned about the local market tail risks when they see that the U.S. economy steps into contractions. Consistent with the rare disaster theory, risk-averse investors would require higher risk premiums, corresponding to lower stock market prices. By considering precious metals, in particular the log gold-to-platinum ratio justified by Huang and Kilic (2019), as the global market fears proxy, we show that the fear propagation shapes the return dynamics at the international level. We find the return predictability stems from the periods when the U.S. economy is in contractions while the ratio has no economic significance when the U.S. economy is in good state. The evidence is robust across different business cycle definitions, and the pattern holds at multiple-horizons from one week to one year. Further evidence shows that the predictive power of this ratio during bad states is not due to the U.S. stock market spillover effect, and not subsumed by macroeconomic fundamentals and financial variables. Overall, the out-of-sample performance suggests the important implications of the proxy for international return predictability during the bad economic states.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"115 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132593721","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Copula-Based Local Dependence Among Energy, Agriculture and Metal Commodities Markets 能源、农业和金属商品市场基于copula的地方依赖
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2020-03-09 DOI: 10.2139/ssrn.3530758
§. C. Albulescu, A. Tiwari, Qiang Ji
{"title":"Copula-Based Local Dependence Among Energy, Agriculture and Metal Commodities Markets","authors":"§. C. Albulescu, A. Tiwari, Qiang Ji","doi":"10.2139/ssrn.3530758","DOIUrl":"https://doi.org/10.2139/ssrn.3530758","url":null,"abstract":"This paper studies the extreme dependencies among energy, agriculture and metal commodities markets, with an emphasis on local co-movements. By applying a novel, copula-based, local Kendall's tau approach to measure nonlinear local dependence in regions, we identified asymmetric co-movements in and between bull and bear markets, as well as the changing trend in the degree of co-movements. Starting from a non-parametric mixture copula, we found that commodities markets' co-movements increase in extreme situations. In addition, we found a stronger dependence between energy and other commodities markets at lower tails. Therefore, we showed that the energy market can offer diversification solutions for risk management in the case of extreme bull market events.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123415954","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 48
Factor Based Commodity Investing 基于要素的商品投资
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2020-03-01 DOI: 10.2139/ssrn.3178371
Athanasios Sakkas, N. Tessaromatis
{"title":"Factor Based Commodity Investing","authors":"Athanasios Sakkas, N. Tessaromatis","doi":"10.2139/ssrn.3178371","DOIUrl":"https://doi.org/10.2139/ssrn.3178371","url":null,"abstract":"Abstract A multi-factor commodity portfolio combining the momentum, basis, basis-momentum, hedging pressure and value commodity factor portfolios outperforms significantly, economically and statistically, widely used commodity benchmarks. We find evidence that a variance timing strategy applied to commodity factor portfolios generates timing gains for the commodity momentum factor but not the other commodity factors. Dynamic commodities strategies based on commodity factor return prediction models provide little value added.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124943722","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 19
Downside Uncertainty Shocks in the Oil and Gold Markets 石油和黄金市场的下行不确定性冲击
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2020-03-01 DOI: 10.2139/ssrn.3553676
Tai‐Yong Roh, S. Byun, Yahua Xu
{"title":"Downside Uncertainty Shocks in the Oil and Gold Markets","authors":"Tai‐Yong Roh, S. Byun, Yahua Xu","doi":"10.2139/ssrn.3553676","DOIUrl":"https://doi.org/10.2139/ssrn.3553676","url":null,"abstract":"Abstract We construct downside variance risk premiums from the crude oil and gold option data and use them as proxies for market downside uncertainty risks. We find that these downside variance risk premiums contain commodity market-specific pricing information. Furthermore, the gold market's exposure to downside uncertainty shocks is cross-sectionally priced in the stock market while its crude oil market counterpart is not. This implies that the downside uncertainty for the gold market may be a key state variable representing investment opportunity sets under the Intertemporal Capital Asset Pricing Model (ICAPM).","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115002451","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Forecasting Commodity Markets Volatility: HAR or Rough? 预测商品市场波动:HAR还是粗糙?
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2020-02-29 DOI: 10.2139/ssrn.3520500
Mesias Alfeus, Christina Sklibosios Nikitopoulos
{"title":"Forecasting Commodity Markets Volatility: HAR or Rough?","authors":"Mesias Alfeus, Christina Sklibosios Nikitopoulos","doi":"10.2139/ssrn.3520500","DOIUrl":"https://doi.org/10.2139/ssrn.3520500","url":null,"abstract":"Commodity is one of the most volatile markets and forecasting its volatility is an issue of paramount importance. We study the dynamics of the commodity markets volatility by employing fractional stochastic volatility and heterogeneous autoregressive (HAR) models. Based on a high-frequency futures price dataset of 22 commodities, we confirm that the volatility of commodity markets is rough and volatility components over different horizons are economically and statistically significant. Long memory with anti-persistence is evident across all commodities, with weekly volatility dominating in most commodity markets and daily volatility for oil and gold markets. HAR models display a clear advantage in forecasting performance compared to fractional volatility models.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"217 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122186477","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Institutional Gold! 机构黄金!
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2019-11-01 DOI: 10.2139/ssrn.3761181
Harsh Parikh
{"title":"Institutional Gold!","authors":"Harsh Parikh","doi":"10.2139/ssrn.3761181","DOIUrl":"https://doi.org/10.2139/ssrn.3761181","url":null,"abstract":"We find that gold has not performed particularly well compared to other assets. However, there is a place for gold-related assets in institutional portfolios separate from commodities and energy equities. The role for gold lies in its diversification and macroeconomic hedging benefits. We examine the potential role of gold in institutional portfolios, analyzing this question from three perspectives – as a hedge against inflation, a hedge against slow economic growth, and as a portfolio diversifier within a portfolio of financial assets (e.g., stocks and bonds). Gold’s correlation with other financial assets and macroeconomic variables is sensitive to the investor’s horizon and time period, which explains why there are often conflicting views on gold in institutional portfolios. We discuss the difficulties of estimating correlations, especially for long horizons. We highlight the importance of measuring estimation uncertainty and how it can be incorporated into the portfolio construction process.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126951829","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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