Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item

    Commodity market volatility in the presence of U.S. and Chinese macroeconomic news

    Access Status
    Fulltext not available
    Authors
    Smales, Lee
    Date
    2017
    Type
    Journal Article
    
    Metadata
    Show full item record
    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
    DOI
    10.1016/j.jcomm.2017.06.002
    ISSN
    2405-8513
    School
    Curtin Graduate School of Business
    URI
    http://hdl.handle.net/20.500.11937/63518
    Collection
    • Curtin Research Publications
    Abstract

    © 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.

    Related items

    Showing items related by title, author, creator and subject.

    • Behaviour and performance of key market players in the US futures markets
      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 ...
    • A numerical study for a mining project using real options valuation under commodity price uncertainty
      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 ...
    • Time-varying relationship of news sentiment, implied volatility and stock returns
      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 ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.