Trading commodity ETFs: Price behavior, investment insights, and performance analysis
Author
Abstract
Suggested Citation
DOI: 10.1002/fut.22509
Download full text from publisher
References listed on IDEAS
- Antonakakis, Nikolaos & Chang, Tsangyao & Cunado, Juncal & Gupta, Rangan, 2018.
"The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis,"
Finance Research Letters, Elsevier, vol. 24(C), pages 1-9.
- Nikolaos Antonakakis & Tsangyao Chang & Juncal Cunado & Rangan Gupta, 2016. "The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis," Working Papers 201619, University of Pretoria, Department of Economics.
- Shaen Corbet & Cian Twomey, 2014. "Have Exchange Traded Funds Influenced Commodity Market Volatility?," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 323-335.
- Bakas, Dimitrios & Triantafyllou, Athanasios, 2018.
"The impact of uncertainty shocks on the volatility of commodity prices,"
Journal of International Money and Finance, Elsevier, vol. 87(C), pages 96-111.
- Dimitrios Bakas & Athanasios Triantafyllou, 2017. "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," Working Paper series 17-31, Rimini Centre for Economic Analysis.
- Dimitrios Bakas & Athanasios Triantafyllou, 2018. "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," NBS Discussion Papers in Economics 2018/02, Economics, Nottingham Business School, Nottingham Trent University.
- Zhang, Xinxin & Bouri, Elie & Xu, Yahua & Zhang, Gongqiu, 2022. "The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market," Energy Economics, Elsevier, vol. 109(C).
- Vladyslav Sushko & Grant Turner, 2018. "The implications of passive investing for securities markets," BIS Quarterly Review, Bank for International Settlements, March.
- Ivan Indriawan & Donald Lien & Tai-Yong Roh & Yahua Xu, 2020. "Bad volatility is not always bad: evidence from the commodity markets," Applied Economics, Taylor & Francis Journals, vol. 52(40), pages 4384-4402, August.
- Lombardi, Marco J. & Ravazzolo, Francesco, 2016.
"On the correlation between commodity and equity returns: Implications for portfolio allocation,"
Journal of Commodity Markets, Elsevier, vol. 2(1), pages 45-57.
- Marco Jacopo Lombardi, 2013. "On the correlation between commodity and equity returns: implications for portfolio allocation," BIS Working Papers 420, Bank for International Settlements.
- Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall," International Review of Financial Analysis, Elsevier, vol. 70(C).
- Xu, Yahua & Bouri, Elie & Saeed, Tareq & Wen, Zhuzhu, 2020. "Intraday return predictability: Evidence from commodity ETFs and their related volatility indices," Resources Policy, Elsevier, vol. 69(C).
- Martin Lettau & Ananth Madhavan, 2018.
"Exchange-Traded Funds 101 for Economists,"
Journal of Economic Perspectives, American Economic Association, vol. 32(1), pages 135-154, Winter.
- Lettau, Martin & Madhavan, Ananth, 2018. "Exchange Traded Funds 101 For Economists," CEPR Discussion Papers 12629, C.E.P.R. Discussion Papers.
- Martin Lettau & Ananth Madhavan, 2018. "Exchange Traded Funds 101 For Economists," NBER Working Papers 24250, National Bureau of Economic Research, Inc.
- Bakas, Dimitrios & Triantafyllou, Athanasios, 2020.
"Commodity price volatility and the economic uncertainty of pandemics,"
Economics Letters, Elsevier, vol. 193(C).
- Dimitrios Bakas & Athanasios Triantafyllou, 2020. "Commodity Price Volatility and the Economic Uncertainty of Pandemics," Working Paper series 20-12, Rimini Centre for Economic Analysis.
- Bakas, Dimitrios & Triantafyllou, Athanasios, 2020. "Commodity Price Volatility and the Economic Uncertainty of Pandemics," Essex Finance Centre Working Papers 27364, University of Essex, Essex Business School.
- He, Xie & Hamori, Shigeyuki, 2021. "Is volatility spillover enough for investor decisions? A new viewpoint from higher moments," Journal of International Money and Finance, Elsevier, vol. 116(C).
- L Christopher Plantier, 2013. "Commodity Markets and Commodity Mutual Funds," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 48(4), pages 231-245, October.
- Pankaj K Agarwal & H. K. Pradhan, 2019. "Mutual fund performance in changing economic conditions: Evidence from an emerging economy," Cogent Economics & Finance, Taylor & Francis Journals, vol. 7(1), pages 1687072-168, January.
- Greenwood-Nimmo, Matthew & Nguyen, Viet Hoang & Rafferty, Barry, 2016.
"Risk and return spillovers among the G10 currencies,"
Journal of Financial Markets, Elsevier, vol. 31(C), pages 43-62.
- Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Barry Rafferty, 2016. "Risk and Return Spillovers among the G10 Currencies," Melbourne Institute Working Paper Series wp2016n04, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Chunpeng Yang & Jun Chi, 2023. "Investor sentiment and volatility of exchange‐traded funds: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 668-680, January.
- Chaiyuth Padungsaksawasdi & Robert T. Daigler, 2014. "The Return‐Implied Volatility Relation for Commodity ETFs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(3), pages 261-281, March.
- Huayun Jiang & Neda Todorova & Eduardo Roca & Jen-Je Su, 2019. "Agricultural commodity futures trading based on cross-country rolling quantile return signals," Quantitative Finance, Taylor & Francis Journals, vol. 19(8), pages 1373-1390, August.
- Ferson, Wayne E & Schadt, Rudi W, 1996. "Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-461, June.
- Naeem, Muhammad Abubakr & Peng, Zhe & Bouri, Elie & Hussain Shahzad, Syed Jawad & Karim, Sitara, 2022. "Examining the asymmetries between equity and commodity ETFs during COVID-19," Resources Policy, Elsevier, vol. 79(C).
- Yun‐Huan Lee & Tzu‐Hsiang Liao & Hsiu‐Chuan Lee, 2022. "Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1114-1134, June.
- Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998.
"Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance,"
The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 111-142.
- Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc.
- Elton, Edwin J. & Gruber, Martin J. & Blake, Christopher R., 2011. "Holdings Data, Security Returns, and the Selection of Superior Mutual Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(2), pages 341-367, April.
- Arunanondchai, Panit & Sukcharoen, Kunlapath & Leatham, David J., 2020. "Dealing with tail risk in energy commodity markets: Futures contracts versus exchange-traded funds," Journal of Commodity Markets, Elsevier, vol. 20(C).
- Itzhak Ben‐David & Francesco Franzoni & Rabih Moussawi, 2018.
"Do ETFs Increase Volatility?,"
Journal of Finance, American Finance Association, vol. 73(6), pages 2471-2535, December.
- Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi, 2014. "Do ETFs Increase Volatility?," NBER Working Papers 20071, National Bureau of Economic Research, Inc.
- Acerbi, Carlo & Tasche, Dirk, 2002.
"On the coherence of expected shortfall,"
Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
- Carlo Acerbi & Dirk Tasche, 2001. "On the coherence of Expected Shortfall," Papers cond-mat/0104295, arXiv.org, revised May 2002.
- Finta, Marinela Adriana & Aboura, Sofiane, 2020. "Risk premium spillovers among stock markets: Evidence from higher-order moments," Journal of Financial Markets, Elsevier, vol. 49(C).
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013.
"The Fundamentals of Commodity Futures Returns,"
Review of Finance, European Finance Association, vol. 17(1), pages 35-105.
- Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2007. "The Fundamentals of Commodity Futures Returns," NBER Working Papers 13249, National Bureau of Economic Research, Inc.
- repec:iae:iaewps:wp2016n4 is not listed on IDEAS
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
- Gurdip Bakshi & Nikunj Kapadia & Dilip Madan, 2003. "Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options," The Review of Financial Studies, Society for Financial Studies, vol. 16(1), pages 101-143.
- Balli, Faruk & Naeem, Muhammad Abubakr & Shahzad, Syed Jawad Hussain & de Bruin, Anne, 2019. "Spillover network of commodity uncertainties," Energy Economics, Elsevier, vol. 81(C), pages 914-927.
- Scott H. Irwin & Dwight R. Sanders, 2011.
"Index Funds, Financialization, and Commodity Futures Markets,"
Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 1-31.
- Scott H. Irwin & Dwight R. Sanders, 2011. "Index Funds, Financialization, and Commodity Futures Markets," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 1-31.
- Bouri, Elie & Lucey, Brian & Saeed, Tareq & Vo, Xuan Vinh, 2021. "The realized volatility of commodity futures: Interconnectedness and determinants#," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 139-151.
- Bouri, Elie & Lei, Xiaojie & Jalkh, Naji & Xu, Yahua & Zhang, Hongwei, 2021. "Spillovers in higher moments and jumps across US stock and strategic commodity markets," Resources Policy, Elsevier, vol. 72(C).
- Baur, Dirk G. & Dimpfl, Thomas, 2018. "The asymmetric return-volatility relationship of commodity prices," Energy Economics, Elsevier, vol. 76(C), pages 378-387.
- Qian Shen & Andrew C. Szakmary & Subhash C. Sharma, 2007. "An examination of momentum strategies in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(3), pages 227-256, March.
- Fuertes, Ana-Maria & Miffre, Joëlle & Rallis, Georgios, 2010. "Tactical allocation in commodity futures markets: Combining momentum and term structure signals," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2530-2548, October.
- Prokopczuk, Marcel & Stancu, Andrei & Symeonidis, Lazaros, 2019. "The economic drivers of commodity market volatility," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
- Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Scholarly Articles 2624460, Harvard University Department of Economics.
- Amy K. Edwards & Lawrence E. Harris & Michael S. Piwowar, 2007. "Corporate Bond Market Transaction Costs and Transparency," Journal of Finance, American Finance Association, vol. 62(3), pages 1421-1451, June.
- Chau, Frankie & Deesomsak, Rataporn & Lau, Marco C.K., 2011. "Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 292-305.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Naeem, Muhammad Abubakr & Peng, Zhe & Bouri, Elie & Hussain Shahzad, Syed Jawad & Karim, Sitara, 2022. "Examining the asymmetries between equity and commodity ETFs during COVID-19," Resources Policy, Elsevier, vol. 79(C).
- Bouri, Elie & Lei, Xiaojie & Xu, Yahua & Zhang, Hongwei, 2023. "Connectedness in implied higher-order moments of precious metals and energy markets," Energy, Elsevier, vol. 263(PB).
- Xu Zhang & Xian Yang & Jianping Li & Jun Hao, 2023. "Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 705-733, June.
- Zhang, Xinxin & Bouri, Elie & Xu, Yahua & Zhang, Gongqiu, 2022. "The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market," Energy Economics, Elsevier, vol. 109(C).
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, March.
- Pham, Linh & Kamal, Javed Bin, 2024. "Blessings or curse: How do media climate change concerns affect commodity tail risk spillovers?," Journal of Commodity Markets, Elsevier, vol. 34(C).
- Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007. "Forward-Looking Betas," CREATES Research Papers 2007-39, Department of Economics and Business Economics, Aarhus University.
- Alomari, Mohammed & Selmi, Refk & Mensi, Walid & Ko, Hee-Un & Kang, Sang Hoon, 2024. "Dynamic spillovers in higher moments and jumps across ETFs and economic and financial uncertainty factors in the context of successive shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 210-228.
- Farid, Saqib & Naeem, Muhammad Abubakr & Paltrinieri, Andrea & Nepal, Rabindra, 2022. "Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities," Energy Economics, Elsevier, vol. 109(C).
- Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2023. "The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Pankaj K. Agarwal & H. K. Pradhan, 2018. "Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 157-184, August.
- Dimitrios G. Konstantinides & Georgios C. Zachos, 2019. "Exhibiting Abnormal Returns Under a Risk Averse Strategy," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 551-566, June.
- Łukasz Dopierała & Magdalena Mosionek-Schweda & Daria Ilczuk, 2020. "Does the Asset Allocation Policy Affect the Performance of Climate-Themed Funds? Empirical Evidence from the Scandinavian Mutual Funds Market," Sustainability, MDPI, vol. 12(2), pages 1-23, January.
- Wayne E. Ferson & Jerchern Lin, 2013. "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," NBER Working Papers 19349, National Bureau of Economic Research, Inc.
- repec:wyi:journl:002108 is not listed on IDEAS
- Fracasso, Laís Martins & Müller, Fernanda Maria & Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2023. "Is there a risk premium? Evidence from thirteen measures," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 182-199.
- Zaremba, Adam & Mikutowski, Mateusz & Szczygielski, Jan Jakub & Karathanasopoulos, Andreas, 2021. "The alpha momentum effect in commodity markets," Energy Economics, Elsevier, vol. 93(C).
- Zhang, Yunhan & Gabauer, David & Gupta, Rangan & Ji, Qiang, 2024.
"How connected is the oil-bank network? Firm-level and high-frequency evidence,"
Energy Economics, Elsevier, vol. 136(C).
- Yunhan Zhang & Qiang Ji & David Gabauer & Rangan Gupta, 2024. "How Connected is the Oil-Bank Network? Firm-Level and High-Frequency Evidence," Working Papers 202405, University of Pretoria, Department of Economics.
- Cui, Jinxin & Maghyereh, Aktham & Goh, Mark & Zou, Huiwen, 2022. "Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments," Energy, Elsevier, vol. 238(PB).
- G. Hübner & M. Lambert & N. Papageorgiou, 2015. "Higher†moment Risk Exposures in Hedge Funds," European Financial Management, European Financial Management Association, vol. 21(2), pages 236-264, March.
- Wayne Ferson & Junbo L Wang, 2021. "A Panel Regression Approach to Holdings-Based Fund Performance Measures [Multiperiod performance persistence analysis of hedge funds]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 11(4), pages 695-734.
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:wly:jfutmk:v:44:y:2024:i:7:p:1257-1276. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: http://www.interscience.wiley.com/jpages/0270-7314/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.