Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach

53 Pages Posted: 17 Apr 2012

See all articles by Matteo Manera

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: April 17, 2012

Abstract

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying.

Keywords: energy, commodities, futures markets, financial speculation, multivariate GARCH

JEL Classification: C32, G13, Q11, Q43

Suggested Citation

Manera, Matteo and Nicolini, Marcella and Vignati, Ilaria, Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach (April 17, 2012). FEEM Working Paper No. 23.2012. Available at SSRN: https://ssrn.com/abstract=2041177 or http://dx.doi.org/10.2139/ssrn.2041177

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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