Journal of Commodity Markets最新文献

筛选
英文 中文
The Fortune and crash of common risk factors in Chinese commodity markets 中国大宗商品市场常见风险因素的兴衰
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-15 DOI: 10.1016/j.jcomm.2023.100362
Hemei Li , Zhenya Liu , Yuqian Zhao
{"title":"The Fortune and crash of common risk factors in Chinese commodity markets","authors":"Hemei Li ,&nbsp;Zhenya Liu ,&nbsp;Yuqian Zhao","doi":"10.1016/j.jcomm.2023.100362","DOIUrl":"10.1016/j.jcomm.2023.100362","url":null,"abstract":"<div><p>This paper investigates the performance of nine commonly discussed market anomalies in the Chinese commodity market. By studying a data sample from 2005 to 2020, we find the common risk factors associated with term structure and momentum anomalies effectively explain the cross-sectional excess returns and generate profitable sorting portfolios. Meanwhile, we empirically demonstrate that the term structure and momentum risk factors significantly crash during periods of high market stress, although they bring overall good outperformance in out-of-sample. We attribute these crashes to high time-varying volatility. Inspired by the augmented momentum crash strategy of Daniel and Moskowitz (2016), we construct augmented term structure and momentum risk factors to improve their performances in the Chinese commodity futures market. The out-of-sample Sharpe ratios of the term structure and momentum risk factors increase from 0.75 to 1.08 and from 0.66 to 0.77, respectively. In particular, both risk factors exhibit over 100% increments in out-of-sample Sharpe ratios during bear markets.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100362"},"PeriodicalIF":4.2,"publicationDate":"2023-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135346821","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Exploring volatility of crude oil intraday return curves: A functional GARCH-X model 探讨原油日内收益曲线的波动性:一个函数GARCH-X模型
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-15 DOI: 10.1016/j.jcomm.2023.100361
Gregory Rice , Tony Wirjanto , Yuqian Zhao
{"title":"Exploring volatility of crude oil intraday return curves: A functional GARCH-X model","authors":"Gregory Rice ,&nbsp;Tony Wirjanto ,&nbsp;Yuqian Zhao","doi":"10.1016/j.jcomm.2023.100361","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100361","url":null,"abstract":"<div><p>Crude oil intraday return curves collected from commodity futures markets often appear to be serially uncorrelated and long-range conditionally heteroscedastic. We model this stylised feature with a newly proposed functional GARCH-X model and use it to forecast crude oil intraday volatility. The predicted intraday volatility provides important economic implications in crude oil commodity futures markets in both intraday risk management and utility benefits improvements. The functional GARCH-X model provides a remarkable correction to modelling crude oil volatility in terms of an in-sample fitting, although its out-of-sample performances in forecasting intraday risk measures do not appear to be significantly superior to that of the existing functional GARCH(1,1) model. However, the FGARCH-X model, with its flexibility to capture long-range dependence and potential seasonality, does confer substantial economic benefits by embedding inter-daily volatility forecasts. Methodologically, we show that the new model has a well-behaved stationary solution, and we also address the inherent and critical issues associated with the estimation of functional volatility models by introducing novel data-driven, non-negative and predictive basis functions in the estimation process.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100361"},"PeriodicalIF":4.2,"publicationDate":"2023-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49880682","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
What moves commodity terms-of-trade? Evidence from 178 countries 是什么影响了商品贸易条件?来自178个国家的证据
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-11 DOI: 10.1016/j.jcomm.2023.100359
Yousef Makhlouf , Neil M. Kellard , Dmitri Vinogradov
{"title":"What moves commodity terms-of-trade? Evidence from 178 countries","authors":"Yousef Makhlouf ,&nbsp;Neil M. Kellard ,&nbsp;Dmitri Vinogradov","doi":"10.1016/j.jcomm.2023.100359","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100359","url":null,"abstract":"<div><p>Despite the important impact of commodity terms-of-trade (CTOT) on GDP growth, child mortality rates and public debt, little is known about its determinants. Using data from 178 countries (grouped according to their commodity export-import structure) over the period 1962 to 2020, we examine the short-and long-run effects of global economic activity, OECD and emerging markets growth, the exchange rate of U.S. dollar, stock price volatility and real interest rates on CTOT growth. We demonstrate their typical asymmetric effect on exporters and importers, and show, for example, that the exchange rate of the U.S. dollar also exhibits opposite effects over the short and long run due to inelastic commodity demand. We find that the growth of emerging market economies provides the most universal and consistent effect across all of our subsamples (i.e., energy and non-energy exporters and importers) - this latter point underscores the contemporary global importance of developing countries' growth.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100359"},"PeriodicalIF":4.2,"publicationDate":"2023-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49880681","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Psychological price barriers, El Niño, La Niña: New insights for the case of coffee 心理价格壁垒、厄尔尼诺、拉尼娜现象:咖啡案例的新见解
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100350
Mark J. Holmes , Jesús Otero
{"title":"Psychological price barriers, El Niño, La Niña: New insights for the case of coffee","authors":"Mark J. Holmes ,&nbsp;Jesús Otero","doi":"10.1016/j.jcomm.2023.100350","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100350","url":null,"abstract":"<div><p>This paper investigates the possibility of psychological barriers in the price dynamics of seven types of coffee varieties over a twenty-year period. When prices are expressed in hundreds of cents, barriers surrounding the round number prices ending in 00 are confirmed for the high quality coffees. The dynamics of coffee price returns differ before and after breaches of hypothesised barriers. Using a novel model selection method based on multiple testing, there is further confirmation of price barriers insofar as positive and negative climate anomalies affect coffee price proximity to barriers.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100350"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50202672","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions? 原油和股票市场之间的动态联系:公司的偿付能力和盈利能力状况的影响是什么?
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100348
Faruk Balli , Hatice O Balli , Thi Thu Ha Nguyen
{"title":"Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?","authors":"Faruk Balli ,&nbsp;Hatice O Balli ,&nbsp;Thi Thu Ha Nguyen","doi":"10.1016/j.jcomm.2023.100348","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100348","url":null,"abstract":"<div><p>The paper aims to explore the presence of connectedness between oil price changes and stock returns of oil &amp; gas sector. The analysis, adopting the connectedness approach developed by and the frequency connectedness developed by demonstrates a high level of connectedness, especially during the extreme economic meltdown. The short-term (1–5 days) level of total connectedness is substantially higher than the medium-term (5–30 days) and long-term levels (30–262 days). In addition, when examining the impact of the sectors' financial characteristics on the extent of the connectedness, we found that sectors with greater solvency position (lower debt to asset ratio and higher interest coverage) are less connected with the oil price changes. The impact of sector's solvency position on connectedness (between stock return and oil prices) is even more obvious for financially more open markets. Also, change in oil prices have a less impact on the returns of sectors with higher profitability ratios. The paper, therefore, brings several implications to both policy makers and investors.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100348"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863228","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Carr and Wu’s (2020) framework in the oil ETF option market Carr和Wu(2020)在石油ETF期权市场中的框架
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100334
Xiaolan Jia , Xinfeng Ruan , Jin E. Zhang
{"title":"Carr and Wu’s (2020) framework in the oil ETF option market","authors":"Xiaolan Jia ,&nbsp;Xinfeng Ruan ,&nbsp;Jin E. Zhang","doi":"10.1016/j.jcomm.2023.100334","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100334","url":null,"abstract":"<div><p>This paper studies the information inferred from the Carr and Wu’s (2020) formula based on a new option pricing framework in the United States Oil Fund (USO) options. We first document the term structure and dynamics of the risk-neutral variance and covariance rates which lead to a “U”-shaped implied volatility smile with a positive curvature. We then investigate the return predictability of the innovations in the risk-neutral variance and covariance rates (<span><math><mrow><mi>D</mi><mi>R</mi><mi>N</mi><mi>V</mi></mrow></math></span> and <span><math><mrow><mi>D</mi><mi>R</mi><mi>N</mi><mi>C</mi></mrow></math></span>) and their term structures (<span><math><mrow><mi>T</mi><mi>R</mi><mi>N</mi><mi>V</mi></mrow></math></span> and <span><math><mrow><mi>T</mi><mi>R</mi><mi>N</mi><mi>C</mi></mrow></math></span>) and find that <span><math><mrow><mi>D</mi><mi>R</mi><mi>N</mi><mi>C</mi></mrow></math></span> is a significant and robust predictor to forecast daily, weekly and monthly USO excess returns in both statistical and economic terms based on in-sample and out-of-sample tests.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100334"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863222","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Trading time seasonality in electricity futures 电力期货交易时间的季节性
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2022.100291
Ståle Størdal , Christian-Oliver Ewald , Gudbrand Lien , Erik Haugom
{"title":"Trading time seasonality in electricity futures","authors":"Ståle Størdal ,&nbsp;Christian-Oliver Ewald ,&nbsp;Gudbrand Lien ,&nbsp;Erik Haugom","doi":"10.1016/j.jcomm.2022.100291","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100291","url":null,"abstract":"<div><p>Trading time seasonality reflects the seasonal behavior of futures prices with the same time of maturity. Hence, it differs from classical seasonality, which reflects seasonal behavior induced by the spot price observed for varying maturities. This type of seasonality is linked to the pricing kernel which in turn accounts for seasonal changes in preferences of agents and tied to risk aversion and thus the demand for hedging. In the present study we empirically examine trading time seasonality in yearly Nordic and German electricity futures contracts. Visual inspection of both average monthly futures prices and the futures backward curves provides strong indications of futures prices systematically varying over the trading year. On average both Nordic and German futures prices are lowest in first quarter and highest in third quarter trading months. This is confirmed by statistical tests of stochastic dominance. Exploiting this insight in a simple trading strategy induces positive and significant alphas in the sense of the capital asset pricing model. We relate the findings to potential seasonal risk preferences and hedging pressure in the electricity futures market.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100291"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863226","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Equilibrium and real options in the ethanol industry: Modeling and empirical evidence 乙醇工业中的均衡和实物期权:建模和经验证据
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2022.100292
Matt Davison , Nicolas Merener
{"title":"Equilibrium and real options in the ethanol industry: Modeling and empirical evidence","authors":"Matt Davison ,&nbsp;Nicolas Merener","doi":"10.1016/j.jcomm.2022.100292","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100292","url":null,"abstract":"<div><p>In the last twenty years a large number of ethanol firms have established operations in the US. Ethanol, produced from corn, is blended with pure gasoline to produce fuel. Producers hold an option to turn off unprofitable plants. Blenders choose to substitute ethanol for gasoline at or beyond the mandate set by the government. We propose an equilibrium model for blenders and producers that accounts for government measures and for real optionality embedded in the industry<span>. The model, driven by corn and gasoline prices, leads to analytical expressions for the price and output of ethanol, and to policy implications on the impacts of the mandate and blend credit. The model also leads to closed form valuation for an ethanol producer. Using data between 2000 and 2017 we confirm that, as in the model, ethanol was largely priced as the maximum of rescaled gasoline and corn prices. Historical output levels between the mandate and installed capacity were explained by our theory. Finally, the share price dynamics for the largest public ethanol producer in the US was consistent in some aspects with the value of a real option.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100292"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863227","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Wheat price volatility regimes over 140 years: An analysis of daily price ranges 140年来小麦价格波动机制:每日价格波动范围分析
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100346
Marco Haase , Heinz Zimmermann , Matthias Huss
{"title":"Wheat price volatility regimes over 140 years: An analysis of daily price ranges","authors":"Marco Haase ,&nbsp;Heinz Zimmermann ,&nbsp;Matthias Huss","doi":"10.1016/j.jcomm.2023.100346","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100346","url":null,"abstract":"<div><p>We analyze Chicago based daily wheat price volatility over more than 140 years using a novel data set of daily high and low futures prices starting in 1877. We identify five long-run regimes and find that volatility shifts between regimes are statistically more pronounced than fluctuations within regimes, even when conditioning on economic states. Historical volatility estimates derived from average commodity price data, a common practice in empirical studies, exhibit a regime-dependent upward bias between 0% and 22%. The magnitude of the bias and the importance of regimes potentially explain contradictory findings on volatility patterns in earlier studies.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100346"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863231","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Gold risk premium estimation with machine learning methods 基于机器学习方法的黄金风险溢价估计
IF 4.2 4区 经济学
Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2022.100293
Juan D. Díaz , Erwin Hansen , Gabriel Cabrera
{"title":"Gold risk premium estimation with machine learning methods","authors":"Juan D. Díaz ,&nbsp;Erwin Hansen ,&nbsp;Gabriel Cabrera","doi":"10.1016/j.jcomm.2022.100293","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100293","url":null,"abstract":"<div><p><span>This paper assesses the accuracy of several machine learning models’ predictions of the gold risk premium when using an extensive set of 186 predictors. We perform an out-of-sample evaluation and consider both statistical and portfolio metrics. Our results show that machine learning methods and forecast combinations have a limited ability to outperform the historical mean when predicting the gold risk premium. Slightly better results are obtained when predictors are used individually. More specifically, we find that several technical indicators (moving average and momentum series) have forecasting power during periods of expansion, while several business cycle variables and </span>geopolitical risk variables help predict the gold risk premium during recessions. An economic evaluation accounting for transaction costs shows that investors using machine learning methods to estimate expected returns on gold should anticipate limited portfolio gains.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100293"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50202670","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信