Factor Structure in Commodity Futures Return and Volatility

被引：40

作者：

Christoffersen, Peter ^{[1
,2
,3
]}

Lunde, Asger ^{[4
,5
]}

Olesen, Kasper, V ^{[4
,5
]}

机构：

[1] Univ Toronto, Rotman Sch Management, Toronto, ON, Canada

[2] Copenhagen Business Sch, Copenhagen, Denmark

[3] Ctr Res Econometr Anal Time Series CREATES, Aarhus, Denmark

[4] Aarhus Univ, Dept Econ & Business Econ, Aarhus, Denmark

[5] Aarhus Univ, CREATES, Aarhus, Denmark

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2019年 / 54卷 / 03期

基金：

新加坡国家研究基金会;

关键词：

CROSS-SECTION; RISK; FINANCIALIZATION; INVESTMENT; DETERMINANTS; PRICES; FLOWS;

D O I：

10.1017/S0022109018000765

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We uncover stylized facts of commodity futures' price and volatility dynamics in the post- financialization period and find a factor structure in daily commodity volatility that is much stronger than the factor structure in returns. The common factor in commodity volatility relates to stock market volatility as well as to the business cycle. Model-free realized commodity betas with the stock market were high during 2008-2010 but have since returned to the pre-crisis level, close to 0. While commodity markets appear segmented from the equity market when considering only returns, commodity volatility indicates a nontrivial degree of market integration.

引用

页码：1083 / 1115

页数：33

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