Hollstein, Fabian, Prokopczuk, Marcel, Tharann, Bjoern and Simen, Chardin Wese
(2021)
Predictability in commodity markets: Evidence from more than a century.
JOURNAL OF COMMODITY MARKETS, 24.
p. 100171.
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Abstract
Using more than 140 years of data, we comprehensively analyze the predictive power of a broad set of business cycle variables for risk and return in commodity spot markets. We find that industrial production growth and inflation are the strongest predictors for future commodity returns. Several further variables help predict future commodity volatilities. The introduction of derivatives generally reduces the predictability in the most active commodity markets but increases the predictability in others. Thus, derivatives likely make markets more efficient, but also attract most of the price discovery activity. Commodity spot volatilities generally rise after futures introduction.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Business cycle, Commodities, Derivatives introduction, Return predictability, Volatility predictability |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 25 Nov 2022 12:20 |
| Last Modified: | 16 Feb 2023 09:15 |
| DOI: | 10.1016/j.jcomm.2021.100171 |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3166384 |
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