The objective of the contribution is to test whether the investing activity in the future markets of different commodities (grains, softs, livestock) can be identified as a source of the increasing level and volatility of agricultural commodity prices. The causal link between trading activity and market factors (returns, volatility) can be investigated using weekly data, usually derived from the Commitment of Traders Reports released by the CFTC, or daily data as the ratio of volume to open interest (VOIR). To increase the power of the estimation process and to investigate the role of causality variables to determine the trends of all the market factors, we tested the estimates obtained by seemingly unrelated regression (SUR). One innovation is represented by the evaluation of the inverse relationships between market factors and causal variables. The market factors have been tested also as causal variables, avoiding giving priority to only one sense of the relationship according to the Granger’s causality. The lack of significance revealed by the Granger causality test on weekly models could be due to the inappropriate frequency of the information. The ratio of volume to open interest in futures contracts performs better than other parameters extensively adopted in literature. The reason probably depends on the daily frequency of this parameter which gives statistical evidence to phenomena which conclude their effect in weekly intervals. The estimations for the daily model give statistical evidence of a mutual relationship only between trading activity and realized volatility. No causal relationships has been found for returns. The behaviour of all the twelve futures markets examined is quite similar and uniform respect to the scale of the coefficients and their temporal profile.

Volatilità e transazioni finanziarie nei mercati future delle commodity agricole / Zuppiroli, Marco; Donati, Michele; Riani, Marco; Verga, Giovanni. - In: AGRIREGIONIEUROPA. - ISSN 1828-5880. - 42(2015), pp. 45-49.

Volatilità e transazioni finanziarie nei mercati future delle commodity agricole

ZUPPIROLI, Marco;DONATI, Michele;RIANI, Marco;VERGA, Giovanni
2015

Abstract

The objective of the contribution is to test whether the investing activity in the future markets of different commodities (grains, softs, livestock) can be identified as a source of the increasing level and volatility of agricultural commodity prices. The causal link between trading activity and market factors (returns, volatility) can be investigated using weekly data, usually derived from the Commitment of Traders Reports released by the CFTC, or daily data as the ratio of volume to open interest (VOIR). To increase the power of the estimation process and to investigate the role of causality variables to determine the trends of all the market factors, we tested the estimates obtained by seemingly unrelated regression (SUR). One innovation is represented by the evaluation of the inverse relationships between market factors and causal variables. The market factors have been tested also as causal variables, avoiding giving priority to only one sense of the relationship according to the Granger’s causality. The lack of significance revealed by the Granger causality test on weekly models could be due to the inappropriate frequency of the information. The ratio of volume to open interest in futures contracts performs better than other parameters extensively adopted in literature. The reason probably depends on the daily frequency of this parameter which gives statistical evidence to phenomena which conclude their effect in weekly intervals. The estimations for the daily model give statistical evidence of a mutual relationship only between trading activity and realized volatility. No causal relationships has been found for returns. The behaviour of all the twelve futures markets examined is quite similar and uniform respect to the scale of the coefficients and their temporal profile.
Volatilità e transazioni finanziarie nei mercati future delle commodity agricole / Zuppiroli, Marco; Donati, Michele; Riani, Marco; Verga, Giovanni. - In: AGRIREGIONIEUROPA. - ISSN 1828-5880. - 42(2015), pp. 45-49.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11381/2801511
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