Commodity market volatility in the presence of U.S. and Chinese macroeconomic news
Access Status
Fulltext not available
Authors
Smales, Lee
Date
2017Collection
Type
Journal Article
Metadata
Show full item recordAbstract
© 2017 Elsevier B.V. Utilising a comprehensive sample of U.S. and Chinese macroeconomic news announcements, we determine that volatility in commodity prices is significantly impacted by news that conveys information regarding prospective demand for commodities. This includes news regarding U.S. employment and economic output together with the purchasing intentions of Chinese manufacturers. Commodity price volatility is also closely related to the cost of credit. Much of this effect appears to be driven by volatility in the Energy markets. During the 2007-09 crisis, commodity markets appear to pay more attention to forward-looking macroeconomic news, such as PMI surveys.
Citation
Smales, L. 2017. Commodity market volatility in the presence of U.S. and Chinese macroeconomic news. Journal of Commodity Markets. 7: pp. 15-27.
Source Title
Journal of Commodity Markets
Department
Curtin Graduate School of Business
Related items
Showing items related by title, author, creator and subject.
-
Gurrib, Muhammad Ikhlaas (2008)This study gives an insight into the behaviour and performance of large speculators and large hedgers in 29 US futures markets. Using a trading determinant model and priced risk factors such as net positions and sentiment ...
-
Haque, M; Topal, Erkan; Lilford, Eric (2014)Commodity price is an important factor for mining companies, as price volatility is a key parameter for mining project evaluation and investment decision making. The conventional discounted cash flow (DCF) methods are ...
-
Smales, Lee (2016)I examine the relationship between aggregate news sentiment, S&P 500 index (SPX) returns, and changes in the implied volatility index (VIX). I find a significant negative contemporaneous relationship between changes in ...