Speculation, Returns, Volume and Volatility in Commodities Futures Markets

11 Pages Posted: 28 Mar 2012

See all articles by Andrea Bastianin

Andrea Bastianin

Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS); Università degli Studi di Milano-Bicocca - Center for European Studies (CefES)

Matteo Manera

University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS); Fondazione Eni Enrico Mattei (FEEM), Milan, Italy

Marcella Nicolini

University of Pavia - Department of Economics and Management

Ilaria Vignati

Fondazione Eni Enrico Mattei (FEEM)

Date Written: January 20, 2012

Abstract

Our study contributes to the literature in two directions. First, we investigate the behaviour of futures prices returns for different energy and agricultural commodities, over the period 1986-2010. Second, we measure the market vulnerability to financial speculation for energy commodities over the period 1992-2010. We find that financial speculation is poorly significant in modelling returns in commodities futures, while macroeconomic and financial factors are relevant. Spillovers between commodities are present and correlations among commodities volatilities are large and time-varying. A higher degree of vulnerability to financial speculation characterizes the futures market for crude oil in the 2008 crisis.

Keywords: Energy, Commodities, Futures markets, Speculation, GARCH, Market depth, Volumes

JEL Classification: E32, G13

Suggested Citation

Bastianin, Andrea and Manera, Matteo and Nicolini, Marcella and Vignati, Ilaria, Speculation, Returns, Volume and Volatility in Commodities Futures Markets (January 20, 2012). FEEM (Fondazione Eni Enrico Mattei), Review of Environment, Energy and Economics (Re3), January 2012. Available at SSRN: https://ssrn.com/abstract=2029589

Andrea Bastianin

Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) ( email )

Piazza dell'Ateneo Nuovo, 1
Milan, 20126
Italy

Università degli Studi di Milano-Bicocca - Center for European Studies (CefES)

U6 Building
Viale Piero e Alberto Pirelli, 22
Milano, 20126
Italy

Matteo Manera (Contact Author)

University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS) ( email )

Via Bicocca degli Arcimboldi, 8
Milan, 20126
Italy
+39 02 6448 5819 (Phone)
+39 02 6448 5878 (Fax)

HOME PAGE: http://www.matteomanera.it

Fondazione Eni Enrico Mattei (FEEM), Milan, Italy ( email )

Corso Magenta, 63
Milan, 20123
Italy
+39 02 520 36944 (Phone)

HOME PAGE: http://www.feem.it

Marcella Nicolini

University of Pavia - Department of Economics and Management ( email )

Strada Nuova, 65
Pavia, 27100
Italy

Ilaria Vignati

Fondazione Eni Enrico Mattei (FEEM) ( email )

C.so Magenta 63
Milano, 20123
Italy

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