IDEAS home Printed from https://ideas.repec.org/a/bla/obuest/v82y2020i2p311-330.html
   My bibliography  Save this article

What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors?

Author

Listed:
  • Jun Ma
  • Andrew Vivian
  • Mark E. Wohar

Abstract

This paper examines the relationship between 43 commodity returns using a dynamic factor model with time varying stochastic volatility. The dynamic factor model decomposes each commodity return into a common (market), sector‐specific and commodity‐specific component. It enables the variance attributed to each component to be estimated at each point in time. We find the return variation explained by the common factor has increased substantially for the recent period and is statistically significant for the vast majority of commodities since 2004 (at each point in time) This phenomenon is the strongest for non‐perishable products. We link the amount of variation explained by the common factor to economic variables.

Suggested Citation

  • Jun Ma & Andrew Vivian & Mark E. Wohar, 2020. "What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(2), pages 311-330, April.
    • Handle: RePEc:bla:obuest:v:82:y:2020:i:2:p:311-330
    DOI: 10.1111/obes.12334
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/obes.12334
    Download Restriction: no
    File URL: https://libkey.io/10.1111/obes.12334?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Elgammal, Mohammed M. & Ahmed, Walid M.A. & Alshami, Abdullah, 2021. "Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 74(C).
    2. Liao, Wenting & Ma, Jun & Zhang, Chengsi, 2024. "Commodity returns co-movement, uncertainty shocks, and the US dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 143(C).
    3. Hussein Abdoh & Michael Chitavi, 2024. "The impact of deviations from soybean product crushing estimates on return and risk," Agricultural Economics, International Association of Agricultural Economists, vol. 55(2), pages 181-199, March.
    4. Philip Bertram & Teresa Flock & Jun Ma & Philipp Sibbertsen, 2022. "Real Exchange Rates and Fundamentals in a new Markov‐STAR Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(2), pages 356-379, April.
    5. Yingying Xu & Donald Lien, 2022. "Forecasting volatilities of oil and gas assets: A comparison of GAS, GARCH, and EGARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 259-278, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:82:y:2020:i:2:p:311-330. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfeixuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.