Anomalies in Commodity Futures Markets

Quarterly Journal of Finance ◽

10.1142/s2010139221500178 ◽

2021 ◽

Author(s):

Fabian Hollstein ◽

Marcel Prokopczuk ◽

Björn Tharann

Keyword(s):

Factor Structure ◽

Futures Markets ◽

Commodity Markets ◽

Commodity Futures ◽

Idiosyncratic Volatility ◽

Large Set ◽

Jump Risk ◽

Commodity Futures Markets

In recent years, commodity markets have become increasingly popular among financial investors. While previous studies document a factor structure, not much is known about how prominent anomalies are priced in commodity futures markets. We examine a large set of such anomaly variables. We identify sizable premia for jump risk, momentum, skewness, and volatility-of-volatility. Other prominent variables, such as downside beta, idiosyncratic volatility, and MAX, are not priced in commodity futures markets. Commodity investors should rebalance their portfolios regularly. Returns for annual holding periods are substantially weaker than for monthly rebalancing.

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Financialization of Commodity Markets

10.1093/oso/9780190656010.003.0025 ◽

2018 ◽

Author(s):

Kyle J. Putnam

Keyword(s):

Business Cycle ◽

Futures Markets ◽

Commodity Price ◽

Commodity Markets ◽

Commodity Futures ◽

Futures Prices ◽

Price Behavior ◽

Risk And Return ◽

Commodity Futures Markets ◽

Asset Class

In the early 2000s, financial investors began pouring billions of dollars into the commodity futures markets seeking the unique investment benefits of this distinct asset class. This “financialization” process has called into question the fundamental risk and return properties of commodity futures as evidence has emerged favoring the idea that the massive increase in investor flows caused a rise in futures prices, volatility, and intra- and intermarket return correlations. However, a contrarian line of research contends that the effects of the new “speculative” capital on the futures markets are unsubstantiated and the increased participation of financial investors poses little consequence to the economics of the marketplace. This latter line of literature maintains that the investment benefits of commodity futures have not been diminished and that fundamental factors and business cycle variations can explain the observed changes in commodity price behavior.

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Razvijeni oblik trgovine na robnim berzama - trziste robnih fjucersa -

Economic Annals ◽

10.2298/eka0358007e ◽

2003 ◽

Vol 44 (158) ◽

pp. 7-43 ◽

Cited By ~ 2

Author(s):

Milan Eremic

Keyword(s):

Complex System ◽

Futures Markets ◽

Commodity Markets ◽

Commodity Futures ◽

Futures Contracts ◽

Commodity Trade ◽

Commodity Exchange ◽

Commodity Futures Markets ◽

The World ◽

The Usa

At the very beginning of this paper, we stress the fact that capitalism, during a very long period of its emergence and development, was based on simple forms of commodity trading. It is true that capital left its mark on these simple forms. However, it did not change its simple character. Several centuries were to pass in for capital to build its own autochthonous forms of commodity exchange, the forms inherent in capitalism. The early forms of commodity futures, as the basic instrument of this developed commodity exchange, are thought to have been introduced on the Chicago Board of Trade - CBOT in 1985. The introduction of commodity futures contracts into commodity exchange enabled commodity markets to be divided into physical commodity markets and contract markets. This was the beginning of a complex system of commodity trade, the emergence of new economic entities in commodity markets and the development of a very complex system of trading, settlement and trade clearing through commodity futures contracts. The construction of this new system of commodity trade has lasted more than a century and during its gradual development a tremendous construct has been created, a market structure of extraordinary internal complexity and a solid logical design. The process of creating commodity futures market in the USA was outlined only in the early 1970s. We can say that it is an almost perfectly developed system, being today a dominant system in the world. Almost 100 percent of all commodity futures markets in the world are based on the commodity futures markets in the USA. The only exception is the London Metal Exchange, which is, although not being any less perfect, essentially different from the American exchanges.

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