This paper investigates the problem of identifying the strength of the incoming of news in the financial market. With the support of a microstructure model we are able to derive a simple formula that, based only on trade data, estimates the likelihood of having news for any given tradable asset in a particular time period. The formula can be easily implemented and takes just one input, the probability of a zero trade price difference conditional on the incoming of consecutive same sign trades. In the empirical part of the paper we investigate the properties of this proposed estimator of news intensity for twenty stocks from the Brazilian equity market, covering two full years from 2010 to 2012. The results are very encouraging and consistent across assets. First we find that the strength of news have a common component across all assets. We attribute that to the fact that the incoming of new information regarding the Brazilian economy will affect all stocks. We also see that the likelihood of news is strongly and positively related to volatility of price differences and negatively related to trade volume. The first can be explained by the fact that volatility is a bi-product of news and the second by the presence of traders avoiding the disclosure of private information by trading smaller volumes. In the empirical section we are also able to show that the intensity of news has a intraday pattern, with higher values at the beginning of the trading day and lower values at the end. This result is consistent with the view that the beginning of the trading day is the time when accumulated overnight information reaches the market, therefore increasing news intensity.
{"title":"Estimating the Intensity of News Based on Trade Data","authors":"M. Perlin","doi":"10.2139/ssrn.2055262","DOIUrl":"https://doi.org/10.2139/ssrn.2055262","url":null,"abstract":"This paper investigates the problem of identifying the strength of the incoming of news in the financial market. With the support of a microstructure model we are able to derive a simple formula that, based only on trade data, estimates the likelihood of having news for any given tradable asset in a particular time period. The formula can be easily implemented and takes just one input, the probability of a zero trade price difference conditional on the incoming of consecutive same sign trades. In the empirical part of the paper we investigate the properties of this proposed estimator of news intensity for twenty stocks from the Brazilian equity market, covering two full years from 2010 to 2012. The results are very encouraging and consistent across assets. First we find that the strength of news have a common component across all assets. We attribute that to the fact that the incoming of new information regarding the Brazilian economy will affect all stocks. We also see that the likelihood of news is strongly and positively related to volatility of price differences and negatively related to trade volume. The first can be explained by the fact that volatility is a bi-product of news and the second by the presence of traders avoiding the disclosure of private information by trading smaller volumes. In the empirical section we are also able to show that the intensity of news has a intraday pattern, with higher values at the beginning of the trading day and lower values at the end. This result is consistent with the view that the beginning of the trading day is the time when accumulated overnight information reaches the market, therefore increasing news intensity.","PeriodicalId":423680,"journal":{"name":"ERN: Econometric Studies of Commodity Markets (Topic)","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133894581","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
By virtue of its intrinsic properties, copper is used extensively in many manufacturing industries, from the production of power cables to consumer electronics. Statistics from the World Bureau of Metal Statistics (2012) reveal that global refined copper consumption reached over 19.5 million metric tonnes in 2011, with China accounting for 40% of the total. Between 2000 and 2011, Chinese demand grew by 13.5% each year, five times faster than the world average. Much of this growth was derived from the power generation sector, which now makes up 46% of total end-use demand in China, followed by household appliances and transportation. Over the last decade, this industrial metal’s cash price has risen from USD 1,800 per metric tonne to the current USD 8,000, attracting the attention of both institutional and retail investors. Until recently, the main vehicles for investing in the copper market have been equities and futures contracts. However, investors can now gain direct exposure to copper by choosing products that are linked to the newly-launched SP An introduction to the SP The practical applications of the index; How copper returns are related to economic activity; The inflation properties of the index; Whether an allocation to the S&P GSCI Cash Copper index has historically offered any diversification benefits.
由于其固有的特性，铜被广泛应用于许多制造业，从电力电缆的生产到消费电子产品。世界金属统计局(World Bureau of Metal Statistics, 2012)的数据显示，2011年全球精炼铜消费量超过1950万吨，其中中国占40%。2000年至2011年间，中国的需求以每年13.5%的速度增长，是世界平均水平的5倍。这一增长大部分来自发电行业，目前占中国最终用途总需求的46%，其次是家用电器和交通运输。在过去的十年中，这种工业金属的现金价格从每公吨1800美元上涨到目前的8000美元，吸引了机构和散户投资者的注意。直到最近，投资铜市场的主要工具一直是股票和期货合约。不过，投资者现在可以通过选择与新推出的标普指数挂钩的产品，直接投资于铜。铜的回报与经济活动的关系;指数的通货膨胀性质;对标普GSCI现金铜指数的配置是否在历史上提供了任何分散收益。
{"title":"Taking a Shine to Copper: The Physical-Based S&P GSCI Cash Copper Index","authors":"Daniel Ung","doi":"10.2139/ssrn.2155628","DOIUrl":"https://doi.org/10.2139/ssrn.2155628","url":null,"abstract":"By virtue of its intrinsic properties, copper is used extensively in many manufacturing industries, from the production of power cables to consumer electronics. Statistics from the World Bureau of Metal Statistics (2012) reveal that global refined copper consumption reached over 19.5 million metric tonnes in 2011, with China accounting for 40% of the total. Between 2000 and 2011, Chinese demand grew by 13.5% each year, five times faster than the world average. Much of this growth was derived from the power generation sector, which now makes up 46% of total end-use demand in China, followed by household appliances and transportation. Over the last decade, this industrial metal’s cash price has risen from USD 1,800 per metric tonne to the current USD 8,000, attracting the attention of both institutional and retail investors. Until recently, the main vehicles for investing in the copper market have been equities and futures contracts. However, investors can now gain direct exposure to copper by choosing products that are linked to the newly-launched SP An introduction to the SP The practical applications of the index; How copper returns are related to economic activity; The inflation properties of the index; Whether an allocation to the S&P GSCI Cash Copper index has historically offered any diversification benefits.","PeriodicalId":423680,"journal":{"name":"ERN: Econometric Studies of Commodity Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130515957","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper extends the maximal affine models of single assets to a multi-commodity setup. We show that the correlated version of maximal affine models for a single commodity is no longer maximal for multiple commodities. In the maximal model, the convenience yield of a certain commodity could depend on the prices of other commodities, which is consistent with the structural model in our companion paper Casassus, Liu, and Tang (2012). Furthermore, the maximal model can offer a new feedback (error-correction) effect among commodity prices, which is consistent with many empirical studies.
本文将单一资产的最大仿射模型推广到多商品模型。我们证明了单个商品的最大仿射模型的相关版本不再是多个商品的最大。在最大模型中，某一商品的便利收益可以依赖于其他商品的价格，这与我们的同伴论文Casassus, Liu, and Tang(2012)中的结构模型一致。此外，极大值模型可以提供一种新的商品价格之间的反馈(误差修正)效应，这与许多实证研究一致。
{"title":"Maximal Affine Models for Multiple Commodities: A Note","authors":"J. Casassus, Peng Liu, Ke Tang","doi":"10.2139/ssrn.2143561","DOIUrl":"https://doi.org/10.2139/ssrn.2143561","url":null,"abstract":"This paper extends the maximal affine models of single assets to a multi-commodity setup. We show that the correlated version of maximal affine models for a single commodity is no longer maximal for multiple commodities. In the maximal model, the convenience yield of a certain commodity could depend on the prices of other commodities, which is consistent with the structural model in our companion paper Casassus, Liu, and Tang (2012). Furthermore, the maximal model can offer a new feedback (error-correction) effect among commodity prices, which is consistent with many empirical studies.","PeriodicalId":423680,"journal":{"name":"ERN: Econometric Studies of Commodity Markets (Topic)","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132305888","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Gold has been a store of value for centuries and a safe haven for investors in the past decades. However, the increased investment in gold for speculative or hedging purposes has changed the safe haven property. We demonstrate theoretically and empirically that investor behaviour has the potential to destroy the safe haven property of gold. The results suggest that an asset cannot be both an investment asset and an effective safe haven asset. This finding has important implications for financial stability since assets are more likely to exhibit excess comovement and volatility in the absence of a safe haven.
{"title":"The Destruction of a Safe Haven Asset?","authors":"D. Baur, K. Glover","doi":"10.2139/ssrn.2142283","DOIUrl":"https://doi.org/10.2139/ssrn.2142283","url":null,"abstract":"Gold has been a store of value for centuries and a safe haven for investors in the past decades. However, the increased investment in gold for speculative or hedging purposes has changed the safe haven property. We demonstrate theoretically and empirically that investor behaviour has the potential to destroy the safe haven property of gold. The results suggest that an asset cannot be both an investment asset and an effective safe haven asset. This finding has important implications for financial stability since assets are more likely to exhibit excess comovement and volatility in the absence of a safe haven.","PeriodicalId":423680,"journal":{"name":"ERN: Econometric Studies of Commodity Markets (Topic)","volume":"121 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128259435","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This research provides evidence and challenges the idea that stocks and commodity exchanges are not correlated. The correlation between stocks and commodities is very important for investors. This study was done to find out the relationship between PMEX Pakistan Mercantile Exchange Commodity index and Karachi Stock Exchange KSE-100 index. This research clearly indicates that both exchanges have strong correlation between them. Unfortunately, the time period is too short to draw a conclusion, but for now financial investors have to keep in mind the sensitivity of commodities with other asset classes like Equity market in Pakistan.
{"title":"Relationship between Pakistan Mercantile Exchange Commodity Index and KSE-100 Index","authors":"Ahad Khan","doi":"10.2139/ssrn.2137263","DOIUrl":"https://doi.org/10.2139/ssrn.2137263","url":null,"abstract":"This research provides evidence and challenges the idea that stocks and commodity exchanges are not correlated. The correlation between stocks and commodities is very important for investors. This study was done to find out the relationship between PMEX Pakistan Mercantile Exchange Commodity index and Karachi Stock Exchange KSE-100 index. This research clearly indicates that both exchanges have strong correlation between them. Unfortunately, the time period is too short to draw a conclusion, but for now financial investors have to keep in mind the sensitivity of commodities with other asset classes like Equity market in Pakistan.","PeriodicalId":423680,"journal":{"name":"ERN: Econometric Studies of Commodity Markets (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121969907","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
It has recently been suggested that speculation is now playing an important role in daily price movements of global oil prices. This raises the question: what are important drivers of price changes given this new 'speculative' regime? We identify new factors of the oil market related to speculation by fitting Subset Vector Autoregression models with Exogenous variable (SVARX) and rank them by importance. Further, to account for model uncertainty and to obtain robust parameter estimation in this exploratory study, we apply a bootstrap model selection procedure.
{"title":"Determining New Oil Market Predictors Under Model Uncertainty","authors":"L. Ryan, Dale O. Roberts","doi":"10.2139/ssrn.2079348","DOIUrl":"https://doi.org/10.2139/ssrn.2079348","url":null,"abstract":"It has recently been suggested that speculation is now playing an important role in daily price movements of global oil prices. This raises the question: what are important drivers of price changes given this new 'speculative' regime? We identify new factors of the oil market related to speculation by fitting Subset Vector Autoregression models with Exogenous variable (SVARX) and rank them by importance. Further, to account for model uncertainty and to obtain robust parameter estimation in this exploratory study, we apply a bootstrap model selection procedure.","PeriodicalId":423680,"journal":{"name":"ERN: Econometric Studies of Commodity Markets (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122654197","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper we investigate the relationship between commodity price volatility and market fundamentals comparing the 1920s with the present decade and focusing on cotton and tin. The theory of storage provides the theoretical reference for the analysis. Our first result is to find that the series have widely different properties which reflect the speedier diffusion of information in the markets today. This emerges both in the order of autocorrelation of the VECMs used to analyze the dynamics of the spot and futures returns and in the structure of the GARCH parameterization. Our second finding is to show that, based on full sample correlations, the theory of storage seems to capture the dynamics of data with the exception of historical tin. Rolling correlations, however, qualify this result and show that dynamic correlation for historical tin largely corroborate the theory of reference while recent inroads of financial agents in commodity markets seem to have affected the cotton market, giving prominence to financial risk factors.
{"title":"An Assessment of the Theory of Storage: Has the Relationship between Commodity Price Volatility and Market Fundamentals Changed Over Time?","authors":"G. Cifarelli, P. Paesani","doi":"10.2139/ssrn.2075514","DOIUrl":"https://doi.org/10.2139/ssrn.2075514","url":null,"abstract":"In this paper we investigate the relationship between commodity price volatility and market fundamentals comparing the 1920s with the present decade and focusing on cotton and tin. The theory of storage provides the theoretical reference for the analysis. Our first result is to find that the series have widely different properties which reflect the speedier diffusion of information in the markets today. This emerges both in the order of autocorrelation of the VECMs used to analyze the dynamics of the spot and futures returns and in the structure of the GARCH parameterization. Our second finding is to show that, based on full sample correlations, the theory of storage seems to capture the dynamics of data with the exception of historical tin. Rolling correlations, however, qualify this result and show that dynamic correlation for historical tin largely corroborate the theory of reference while recent inroads of financial agents in commodity markets seem to have affected the cotton market, giving prominence to financial risk factors.","PeriodicalId":423680,"journal":{"name":"ERN: Econometric Studies of Commodity Markets (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114500054","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Stocks of German renewable energy companies have commonly been regarded as lucrative investment opportunities. Their innovative line of business initially seemed to promise considerable future earnings. As shown by two powerful bubble tests, the positive sentiment for renewable energy stocks even led to explosive price behavior in the mid-2000s. However, intense sector competition and the economic downturn following the global financial crisis erased profit margins to a large extent. As a result, the former fad stocks have recently turned into losers, loading negatively on price momentum and delivering significantly negative Carhart four-factor alphas. The radical shift in Germany's energy policy following the 2011 Fukushima nuclear disaster in Japan could thus only temporarily halt the continuing decline in alternative energy stock prices.
{"title":"From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks","authors":"Martin T. Bohl, P. Kaufmann, Patrick M. Stephan","doi":"10.2139/ssrn.2022314","DOIUrl":"https://doi.org/10.2139/ssrn.2022314","url":null,"abstract":"Stocks of German renewable energy companies have commonly been regarded as lucrative investment opportunities. Their innovative line of business initially seemed to promise considerable future earnings. As shown by two powerful bubble tests, the positive sentiment for renewable energy stocks even led to explosive price behavior in the mid-2000s. However, intense sector competition and the economic downturn following the global financial crisis erased profit margins to a large extent. As a result, the former fad stocks have recently turned into losers, loading negatively on price momentum and delivering significantly negative Carhart four-factor alphas. The radical shift in Germany's energy policy following the 2011 Fukushima nuclear disaster in Japan could thus only temporarily halt the continuing decline in alternative energy stock prices.","PeriodicalId":423680,"journal":{"name":"ERN: Econometric Studies of Commodity Markets (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126898006","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We study the joint responses of commodity future prices and positions of various trader groups to changes of the CBOE Volatility Index (VIX) before and after the recent financial crisis. Financial traders reduced their net long positions during the crisis in response to market distress, whereas hedgers facilitated this by reducing their net short positions as prices fell. This "convective risk flow" induced by the greater distress of financial institutions led to a change in the allocation of risk with hedgers holding more risk than they did previously. The presence of such a risk flow confirms the market impact of financial traders conditional on trades they initiate.
{"title":"Convective Risk Flows in Commodity Futures Markets","authors":"Ing-Haw Cheng, A. Kirilenko, Wei Xiong","doi":"10.2139/ssrn.2018037","DOIUrl":"https://doi.org/10.2139/ssrn.2018037","url":null,"abstract":"We study the joint responses of commodity future prices and positions of various trader groups to changes of the CBOE Volatility Index (VIX) before and after the recent financial crisis. Financial traders reduced their net long positions during the crisis in response to market distress, whereas hedgers facilitated this by reducing their net short positions as prices fell. This \"convective risk flow\" induced by the greater distress of financial institutions led to a change in the allocation of risk with hedgers holding more risk than they did previously. The presence of such a risk flow confirms the market impact of financial traders conditional on trades they initiate.","PeriodicalId":423680,"journal":{"name":"ERN: Econometric Studies of Commodity Markets (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116945962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2012-02-21DOI: 10.1504/IJFERM.2013.053714
T. Soni
This study tests for the presence of nonlinear dependence in the rate of returns series for four Indian multi commodity exchange indices. Six different tests for detecting nonlinearity were employed and the statistics were estimated using both the asymptotic theory and the bootstrap. The analysis of results reveals that there is a consensus in favour of nonlinearity for Metal and Energy indices even after removing linear serial correlations from the data, hence, contradicting the unpredictable criterion of weak-form efficient market hypothesis. Further the results from additional BDS test on the standardised AR(P)-GARCH(1,1) residuals imply that conditional heteroskedasticity is the main source of nonlinearity in metal indices and could be captured by the ARCH-type models. On the other hand in case of energy indices results indicate non-linear dependence of an unknown form in the data. The results have important implications on the earlier work on Indian commodity derivative markets which have relied on conventional statistical techniques which may have lead to biased and highly misleading results.
{"title":"Nonlinearity in the Indian Commodity Markets: Evidence from a Battery of Tests","authors":"T. Soni","doi":"10.1504/IJFERM.2013.053714","DOIUrl":"https://doi.org/10.1504/IJFERM.2013.053714","url":null,"abstract":"This study tests for the presence of nonlinear dependence in the rate of returns series for four Indian multi commodity exchange indices. Six different tests for detecting nonlinearity were employed and the statistics were estimated using both the asymptotic theory and the bootstrap. The analysis of results reveals that there is a consensus in favour of nonlinearity for Metal and Energy indices even after removing linear serial correlations from the data, hence, contradicting the unpredictable criterion of weak-form efficient market hypothesis. Further the results from additional BDS test on the standardised AR(P)-GARCH(1,1) residuals imply that conditional heteroskedasticity is the main source of nonlinearity in metal indices and could be captured by the ARCH-type models. On the other hand in case of energy indices results indicate non-linear dependence of an unknown form in the data. The results have important implications on the earlier work on Indian commodity derivative markets which have relied on conventional statistical techniques which may have lead to biased and highly misleading results.","PeriodicalId":423680,"journal":{"name":"ERN: Econometric Studies of Commodity Markets (Topic)","volume":"2014 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133911845","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：