The Determinants of Convenience Yields

42 Pages Posted: 30 Dec 2013 Last revised: 3 Nov 2014

See all articles by Marcel Prokopczuk

Marcel Prokopczuk

Leibniz Universität Hannover - Faculty of Economics and Management; University of Reading - ICMA Centre

Yingying Wu

Xi'an Jiaotong Liverpool University

Date Written: August 30, 2013

Abstract

In this study, we investigate the determinants of convenience yields across a broad range of commodities. We find that the convenience yields of commodities are exposed to both commodity-specific and systematic factors, but to a different extent. The difference in explanatory power of these factors for each commodity sheds light on the heterogeneity of commodity markets. One main difference between commodity sectors lies in their different sensitivities towards the state of the economy.

Keywords: Commodity futures; Convenience yield

JEL Classification: G13

Suggested Citation

Prokopczuk, Marcel and Wu, Yingying, The Determinants of Convenience Yields (August 30, 2013). Available at SSRN: https://ssrn.com/abstract=2372838 or http://dx.doi.org/10.2139/ssrn.2372838

Marcel Prokopczuk

Leibniz Universität Hannover - Faculty of Economics and Management ( email )

Koenigsworther Platz 1
Hannover, 30167
Germany

University of Reading - ICMA Centre ( email )

Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom

Yingying Wu (Contact Author)

Xi'an Jiaotong Liverpool University ( email )

111 Ren’ai Road,
Suzhou Lake Higher Education Town,
Suzhou, Jiangsu 215123
China
(+86) (0)512-81884826 (Phone)
(+86) (0)512-88161730 (Fax)

Register to save articles to
your library

Register

Paper statistics

Downloads
203
Abstract Views
2,209
rank
148,780
PlumX Metrics