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How do commodity futures respond to macroeconomic news?

Citations

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Cited by:

  1. Tarek Chebbi, 2021. "The response of precious metal futures markets to unconventional monetary surprises in the presence of uncertainty," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1897-1916, April.
  2. Marc Bohmann & Vinay Patel, 2020. "Information Leakage in Energy Derivatives around News Announcements," Published Paper Series 2020-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  3. Yingli Wang & Xiaoguang Yang, 2018. "Asymmetric response to PMI announcements in China's stock returns," Papers 1806.04347, arXiv.org.
  4. Smimou, K., 2017. "Does gold Liquidity learn from the greenback or the equity?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 461-479.
  5. Paiardini, Paola, 2014. "The impact of economic news on bond prices: Evidence from the MTS platform," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 302-322.
  6. Andrew Phiri, 2018. "Has the South African Reserve Bank responded to equity returns since the sub-prime crisis? An asymmetric convergence approach," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 10(3), pages 205-225.
  7. Ye, Wuyi & Guo, Ranran & Jiang, Ying & Liu, Xiaoquan & Deschamps, Bruno, 2019. "Professional macroeconomic forecasts and Chinese commodity futures prices," Finance Research Letters, Elsevier, vol. 28(C), pages 130-136.
  8. Roache, Shaun K. & Rossi, Marco, 2010. "The effects of economic news on commodity prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 377-385, August.
  9. Mr. Shaun K. Roache & Mr. Marco Rossi, 2009. "The Effects of Economic News on Commodity Prices: Is Gold Just Another Commodity?," IMF Working Papers 2009/140, International Monetary Fund.
  10. Aymen Belgacem & Anna Creti & Khaled Guesmi & Amine Lahiani, 2015. "Volatility spillovers and macroeconomic announcements: evidence from crude oil markets," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2974-2984, June.
  11. Smales, L.A. & Lucey, B.M., 2019. "The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 19-38.
  12. Charlot, Philippe & Marimoutou, Vêlayoudom, 2014. "On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree," Energy Economics, Elsevier, vol. 44(C), pages 456-467.
  13. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2017. "Macro News and Commodity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(1), pages 68-80, January.
  14. Elder, John & Miao, Hong & Ramchander, Sanjay, 2012. "Impact of macroeconomic news on metal futures," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 51-65.
  15. Kevin Krieger & Nathan Mauck & Denghui Chen, 2012. "VIX changes and derivative returns on FOMC meeting days," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(3), pages 315-331, September.
  16. Xiangyu Chen & Jittima Tongurai, 2021. "The Relationship Between China’s Real Estate Market and Industrial Metals Futures Market: Evidence from Non-price Measures of the Real Estate Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 527-561, December.
  17. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  18. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2021. "Economic news and the cross-section of commodity futures returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
  19. Bahloul, Walid & Gupta, Rangan, 2018. "Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures," International Economics, Elsevier, vol. 156(C), pages 247-253.
  20. Emrah İ. Çevik & Turhan Korkmaz & Erdal Atukeren, 2012. "Business confidence and stock returns in the USA: a time-varying Markov regime-switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 22(4), pages 299-312, February.
  21. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).
  22. Kirkulak-Uludag, Berna & Lkhamazhapov, Zorikto, 2016. "The volatility dynamics of spot and futures gold prices: Evidence from Russia," Research in International Business and Finance, Elsevier, vol. 38(C), pages 474-484.
  23. Phiri, Andrew, 2017. "Has the South African Reserve Bank responded to equity prices since the sub-prime crisis? An asymmetric convergence approach," MPRA Paper 76542, University Library of Munich, Germany.
  24. Akihiro Omura & Neda Todorova, 2019. "The quantile dependence of commodity futures markets on news sentiment," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 818-837, July.
  25. Libo Yin & Liyan Han, 2016. "Macroeconomic impacts on commodity prices: China vs. the United States," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 489-500, March.
  26. Aharon, David Y. & Qadan, Mahmoud, 2018. "What drives the demand for information in the commodity market?," Resources Policy, Elsevier, vol. 59(C), pages 532-543.
  27. Dimpfl Thomas & Kleiman Vladislav, 2019. "Investor Pessimism and the German Stock Market: Exploring Google Search Queries," German Economic Review, De Gruyter, vol. 20(1), pages 1-28, February.
  28. Smales, Lee A. & Yang, Yi, 2015. "The importance of belief dispersion in the response of gold futures to macroeconomic announcements," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 292-302.
  29. Haidong Cai & Shamim Ahmed & Ying Jiang & Xiaoquan Liu, 2020. "The impact of US macroeconomic news announcements on Chinese commodity futures," Quantitative Finance, Taylor & Francis Journals, vol. 20(12), pages 1927-1966, December.
  30. Dimpfl, Thomas, 2011. "The impact of US news on the German stock market—An event study analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 389-398.
  31. Radoslaw Kurach, 2012. "Stocks, Commodities And Business Cycle Fluctuations – Seeking The Diversification Benefits," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 7(4), pages 101-116, December.
  32. Yingli Wang & Chang Lu & Xiaoguang Yang & Qingpeng Zhang, 2023. "Asymmetric responses to Purchasing Managers' Index announcements in China's stock returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2937-2955, July.
  33. Smales, L.A., 2017. "Commodity market volatility in the presence of U.S. and Chinese macroeconomic news," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 15-27.
  34. Radoslaw Sobko & Maria Klonowska-Matynia, 2021. "The Relationship between the Purchasing Managers’ Index (PMI) and Economic Growth: The Case for Poland," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 198-219.
  35. Sun Young Kim & Kyung Yoon Kwon, 2021. "Does economic uncertainty matter in international commodity futures markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 849-869, January.
  36. Ferdinand Graf, 2011. "Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets," Working Paper Series of the Department of Economics, University of Konstanz 2011-18, Department of Economics, University of Konstanz.
  37. Smales, L.A., 2019. "Slopes, spreads, and depth: Monetary policy announcements and liquidity provision in the energy futures market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 234-252.
  38. Ye, Wuyi & Guo, Ranran & Deschamps, Bruno & Jiang, Ying & Liu, Xiaoquan, 2021. "Macroeconomic forecasts and commodity futures volatility," Economic Modelling, Elsevier, vol. 94(C), pages 981-994.
  39. Goyal, Raghav & Steinbach, Sandro, 2023. "Agricultural commodity markets in the wake of the black sea grain initiative," Economics Letters, Elsevier, vol. 231(C).
  40. repec:ipg:wpaper:2014-050 is not listed on IDEAS
  41. Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2017_1714, CEMFI.
  42. Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2018_1714, CEMFI.
  43. Atri, Hanen & Kouki, Saoussen & Gallali, Mohamed imen, 2021. "The impact of COVID-19 news, panic and media coverage on the oil and gold prices: An ARDL approach," Resources Policy, Elsevier, vol. 72(C).
  44. Nikolay Gospodinov & Ibrahim Jamali, 2018. "Monetary policy uncertainty, positions of traders and changes in commodity futures prices," European Financial Management, European Financial Management Association, vol. 24(2), pages 239-260, March.
  45. Crego, Julio A., 2020. "Why does public news augment information asymmetries?," Journal of Financial Economics, Elsevier, vol. 137(1), pages 72-89.
  46. Kuruppuarachchi, Duminda & Premachandra, I.M., 2016. "Information spillover dynamics of the energy futures market sector: A novel common factor approach," Energy Economics, Elsevier, vol. 57(C), pages 277-294.
  47. Stefan Erdorf & Nicolas Heinrichs, 2011. "Co-movement of revenue: structural changes in the business cycle," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 411-433, December.
  48. Chiou-Wei, Song-Zan & Chen, Sheng-Hung & Zhu, Zhen, 2020. "Natural gas price, market fundamentals and hedging effectiveness," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 321-337.
  49. Liu, Yanqiong & Guo, Yaoqi & Wei, Qing, 2024. "Time-varying and multi-scale analysis of copper price influencing factors based on LASSO and EMD methods," Journal of Commodity Markets, Elsevier, vol. 34(C).
  50. Chen, Xiangyu & Tongurai, Jittima, 2022. "Spillovers and interdependency across base metals: Evidence from China's futures and spot markets," Resources Policy, Elsevier, vol. 75(C).
  51. Chen, Xiangyu & Tongurai, Jittima, 2021. "Cross-commodity hedging for illiquid futures: Evidence from China's base metal futures market," Global Finance Journal, Elsevier, vol. 49(C).
  52. Vortelinos, Dimitrios I. & Koulakiotis, Athanasios & Tsagkanos, Athanasios, 2017. "Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 150-168.
  53. Imlak Shaikh & Puja Padhi, 2013. "Macroeconomic Announcements and the Implied Volatility Index: Evidence from India VIX," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 7(4), pages 417-442, November.
  54. Filimonov, Vladimir & Bicchetti, David & Maystre, Nicolas & Sornette, Didier, 2014. "Quantification of the high level of endogeneity and of structural regime shifts in commodity markets," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 174-192.
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