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Marginal speculation and hedging in commodity markets

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  • Ulusoy, Veysel
  • Onbirler, Özgür Ünal

Abstract

This paper provides a different new approach to analyze the significance of financial speculation and hedging activities in the returns of the commodities by utilizing univariate and DCC multivariate GARCH models with the new marginal hedge and speculation indices The paper investigates futures prices of commodities of two energy commodities (WTI crude oil, heating oil), five agricultural commodities (corn, sugar, cotton, coffee and wheat) and two metal commodities (gold and copper) over the period 2000–2014.

Suggested Citation

  • Ulusoy, Veysel & Onbirler, Özgür Ünal, 2017. "Marginal speculation and hedging in commodity markets," Finance Research Letters, Elsevier, vol. 23(C), pages 269-282.
    • Handle: RePEc:eee:finlet:v:23:y:2017:i:c:p:269-282
    DOI: 10.1016/j.frl.2017.07.020
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    Cited by:

    1. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Financial Speculation Impact on Agricultural and Other Commodity Return Volatility: Implications for Sustainable Development and Food Security," Agriculture, MDPI, vol. 12(11), pages 1-27, November.
    2. Dejan Živkov & Petra Balaban & Boris Kuzman, 2021. "How to combine precious metals with corn in a risk-minimizing two-asset portfolio?," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 67(2), pages 60-69.

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