Time-to-maturity and commodity futures return volatility: The role of time-varying asymmetric information

被引：4

作者：

Phan, Hoang-Long ^{[1
]}

Zurbruegg, Ralf ^{[2
]}

Brockman, Paul ^{[2
,3
]}

Yu, Chia-Feng ^{[2
]}

机构：

[1] Univ Danang, Sch Econ, Da Nang, Vietnam

[2] Univ Adelaide, Business Sch, Adelaide, SA, Australia

[3] Lehigh Univ, Bethlehem, PA 18015 USA

来源：

JOURNAL OF COMMODITY MARKETS | 2022年 / 26卷

关键词：

Futures; Hedging; Financialization; Commodity futures; Information asymmetry; Price elasticity; BID-ASK SPREAD; PRICE; FINANCIALIZATION; DETERMINANTS; IMPACT; VOLUME; MODEL; VARIABILITY; COMPONENTS; LIQUIDITY;

D O I：

10.1016/j.jcomm.2021.100191

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the impact that information asymmetry has on the relationship between commodity futures contracts' time-to-maturity and return volatility. Using mediation analysis, we find strong evidence that time-varying asymmetric information plays a significant role in influencing the time-to-maturity pattern of commodity futures return volatility. We argue that these results are partly a consequence of the financialization of commodity markets that has led to significant trading activity by uninformed hedgers as contracts mature.

引用

页数：19

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