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Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test

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  • Algieri, Bernardina
  • Leccadito, Arturo

Abstract

The present study investigates the relation between different measures of price volatility (conditional, historical and implied) and different types of speculation (short-run, long-run and excessive) in futures commodity markets for the period 2000–2015. To this purpose, we first use a pairwise Granger causality analysis for 28 individual commodities belonging to energy, agricultural and metal markets. Then, we implement a novel combination of combinations of p-values test to assess whether lead-lag relations exist between speculation and price volatility for broad categories of commodities. The results of both testing procedures show that the majority of significant relations refer to agricultural commodities and that tendentially short-run speculation leads volatility. This means that noise trading has a leading power on market volatility and scalpers are a class of volatility-drivers.

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  • Algieri, Bernardina & Leccadito, Arturo, 2019. "Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 40-54.
    • Handle: RePEc:eee:jocoma:v:13:y:2019:i:c:p:40-54
    DOI: 10.1016/j.jcomm.2018.05.008
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    Cited by:

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    2. Bernardina Algieri & Matthias Kalkuhl, 2019. "Efficiency and Forecast Performance of Commodity Futures Markets," American Journal of Economics and Business Administration, Science Publications, vol. 11(1), pages 19-34, June.
    3. 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.
    4. Adrian Fernandez-Perez & Ana-Maria Fuertes & Joëlle Miffre, 2023. "The Negative Pricing of the May 2020 WTI Contract," The Energy Journal, , vol. 44(1), pages 119-142, January.
    5. Bernardina Algieri, 2021. "Fast & furious: Do psychological and legal factors affect commodity price volatility?," The World Economy, Wiley Blackwell, vol. 44(4), pages 980-1017, April.
    6. Rıdvan Karacan & Mehmet Emin Yardımcı, 2024. "Free market economy: Is the market or prices free? Theory and evidence from the United States," American Journal of Economics and Sociology, Wiley Blackwell, vol. 83(1), pages 59-74, January.
    7. Mathias Tessmann & Carlos Carrasco-Gutierrez & Omar Khodr & Luiz Augusto Magalhães & Marcelo Passos, 2024. "Volatility Transmission and Market Connectivity of Metals and Energy Commodities: Insights from the Spillover Index," International Journal of Energy Economics and Policy, Econjournals, vol. 14(3), pages 609-618, May.
    8. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Short-Term Speculation Effects on Agricultural Commodity Returns and Volatility in the European Market Prior to and during the Pandemic," Agriculture, MDPI, vol. 12(5), pages 1-26, April.
    9. Chang, Chiu-Lan, 2024. "Extreme events, economic uncertainty and speculation on occurrences of price bubbles in crude oil futures," Energy Economics, Elsevier, vol. 130(C).
    10. Zhao, Lu-Tao & Liu, Hai-Yi & Chen, Xue-Hui, 2024. "How does carbon market interact with energy and sectoral stocks? Evidence from risk spillover and wavelet coherence," Journal of Commodity Markets, Elsevier, vol. 33(C).
    11. Pradhan, Rudra P. & Hall, John H. & du Toit, Elda, 2021. "The lead–lag relationship between spot and futures prices: Empirical evidence from the Indian commodity market," Resources Policy, Elsevier, vol. 70(C).

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    More about this item

    Keywords

    Combination of combinations of p-values; Speculation; Volatility;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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