Common industry exposure in seemingly unrelated commodities

Chng, Michael T. 2009, Common industry exposure in seemingly unrelated commodities, Review of futures markets, vol. 18, no. 1, pp. 7-38.

Attached Files
Name Description MIMEType Size Downloads

Title Common industry exposure in seemingly unrelated commodities
Author(s) Chng, Michael T.
Journal name Review of futures markets
Volume number 18
Issue number 1
Start page 7
End page 38
Total pages 32
Publisher Kent State University
Place of publication Kent, Ohio
Publication date 2009
ISSN 1933-7116
Keyword(s) volatility
volume
cross-market
trading dynamics
VAR
commodity futures
Summary We propose and document robust evidence of cross-market return, volatility, and volume interactions among futures contracts written seemingly unrelated commodities exposed to a common industry. On the Tokyo Commodity Exchange, we find such evidence in natural rubber (NR), aluminum (AL) and gasoline (GA) futures markets, which are complementary commodities heavily consumed by Japan's automobile industry. Our VAR results indicate that (i) for shorter dynamics, NR and GA volatility both influence AL volatility; GA volume affects NR volatility and volume; the GA market is immune to both NR and AL trading activities; (ii) for longer dynamics, AL volume affects both NR volume and GA volatility; NR volume influences GA volume. These results are robust to lag-specifications, volatility measures and are consistent with full BEKK-GARCH estimates. Further analysis using the silver contract, TOCOM and TOPIX transportation indices, shows that a commodity market factor cannot explain our result. Our results offer insights into how commodity and equity markets relate at an industry level.
Language eng
Field of Research 150201 Finance
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2009, Kent State University
Persistent URL http://hdl.handle.net/10536/DRO/DU:30022990

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Access Statistics: 419 Abstract Views, 6 File Downloads  -  Detailed Statistics
Created: Tue, 09 Feb 2010, 15:25:13 EST by Katrina Fleming

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.