Volatility persistence and asymmetry under the microscope: the role of information demand for gold and oil

Bampinas, Georgios; Panagiotidis, Theodore; Rouska, Christina

doi:10.1111/sjpe.12177

Cited by 12 publications

(10 citation statements)

References 75 publications

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“…Following the dot.com crash in 2001 and fuelled by the high diversification opportunities, low correlations with stocks and bonds, and the ‘safe haven’ characteristics they offered (Ali, Bouri, Czudaj, & Shahzad, 2020; Boyd, Harris, & Li, 2018; Brooks, Prokopczuk, & Wu, 2015; Erb & Harvey, 2006), commodities became a popular asset class for the broad investment community (Andreasson, Bekiros, Nguyen, & Uddin, 2016; Bampinas, Panagiotidis, & Rouska, 2019; Bessler & Wolff, 2015; Mensi, Beljid, Boubaker, & Managi, 2013; Rouwenhorst & Tang, 2012). The ‘financialisation’ of commodity markets started.…”

Section: Introductionmentioning

confidence: 99%

Fast & furious: Do psychological and legal factors affect commodity price volatility?

Algieri

2020

World Economy

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Section: Introductionmentioning

confidence: 99%

Fast & furious: Do psychological and legal factors affect commodity price volatility?

Algieri

2020

World Economy

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“…Bampinas et al . () find that higher information demand increases conditional volatility in gold and oil spot market returns. The evidence shows that information flows from Google SVIs reduce the proportion of the significant volatility asymmetry produced by negative shocks in both commodity markets.…”

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confidence: 95%

“…Against this background, Bampinas et al . () explore the relationship between Google search activity and the conditional volatility of oil and gold spot market returns. By aggregating the volume of queries related to the two commodity markets, they construct a weekly Searching Volume Index (SVI) for each market as proxy of households and investors information demand.…”

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confidence: 99%

An empirical assessment of recent challenges in today's financial markets

Beckmann

Czudaj

Koop

2019

Scottish J Political Eco

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The broad range of methods and topics covered in these papers reflects the aim of the workshop and the annual conference to bring together young econometricians and economists. Essentially, all papers deal with important aspects of today's financial markets and relate them to issues faced by policymakers.The lead article contributed by Thornton (2019) deals with two of the most important puzzles in international finance relating to exchange rates: the unbiasedness puzzle -the finding of a marked difference in the conclusion about the forward rate unbiasedness hypothesis depending on whether the hypothesis is tested using the forward rate equation or forward premium equationand the forward premium puzzle-the fact that more often than not the forward premium incorrectly predicts the direction of the subsequent change in the spot rate. Thornton (2019) proposes a solution to both puzzles by highlighting the important of persistence in spot exchange rates and a potential small sample bias for the obtained test results.Most papers in this special issue are devoted to the analysis of up-to-date policy issues. While Thornton (2019) contributes to the debate on the wellestablished link between interest rate and exchange rates, Gehringer and Mayer (2019) investigate the factors determining long-term interest rates using cointegration techniques. They find that central banks have actually had a key influence on the level of long-term interest rates. Gehringer and Mayer (2019) argue that the Austrian school of economics explanation in the model of Wicksell-Mises-Hayek of the credit and business cycle adequately describes recent developments. They also point to a misalignment of market rates due to a lack of necessary knowledge and foresight to set market rates to levels consistent with economic fundamentals.Belke and Osowski (2019) deal with an important policy issue in the context of fiscal policy. They identify and measure fiscal spillovers in EU countries empirically using a global vector autoregression (GVAR) model. To account for effects on financial markets, the set of variables also includes 10year interest yields and exchange rates. Their empirical setting contains

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“…A relevant feature of the new millennium has been the high volatility of commodity spot prices (Liu et al, 2018;Bampinas et al, 2019). Significant price fluctuations are dangerous since they generate uncertainty with adverse impacts on income and consumption.…”

Section: Introductionmentioning

confidence: 99%

Efficiency and Forecast Performance of Commodity Futures Markets

Algieri¹,

Kalkuhl²

2019

American Journal of Economics and Business Administration

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The present study empirically investigates market efficiency and the potential factors of inefficiency in the main non-energy commodity futures markets: maize, soybeans and wheat. With efficient markets, futures prices can be used as commodity price forecasts, with inefficient markets futures prices are not able to predict spot prices. Technically, exploring the drivers of inefficiency means to assess the determinants of forecast errors, i.e. the factors affecting the difference between realized spot prices and predicted future spot prices. The analysis is carried out using first a traditional test of efficiency for spot and futures prices and then implementing a more sophisticated GARCH analysis at a daily and weekly frequency. The results show that maize, soybeans and wheat markets are not informationally efficient. The realized price volatility of futures markets, the time to maturity, open interest, trading volumes and speculative measures are significant factors explaining forecast errors. In particular, short-term speculation (scalping activity) increases the noise in the information formation process. Similarly, price volatility, lack of liquidity and long contract maturity horizon raise forecast errors, while long-term speculation and speculative pressure reduce errors. The analysis suggests that knowing the causes of forecast errors, would allow to control for such factors and therefore to ameliorate the forecast accuracy of commodity prices.

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Volatility persistence and asymmetry under the microscope: the role of information demand for gold and oil

Cited by 12 publications

References 75 publications

Fast & furious: Do psychological and legal factors affect commodity price volatility?

Fast & furious: Do psychological and legal factors affect commodity price volatility?

An empirical assessment of recent challenges in today's financial markets

Efficiency and Forecast Performance of Commodity Futures Markets

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