TY - JOUR
T1 - The influence of uncertainty on commodity futures returns and trading behaviour
AU - Laubsch, Joshua
AU - Smales, Lee A.
AU - Vo, Duc
N1 - Publisher Copyright:
© 2024 The Authors
PY - 2024/12
Y1 - 2024/12
N2 - We utilise measures of economic policy uncertainty (EPU) and geopolitical risk (GPR), as well as commitments of traders (COTs), to investigate the influence of uncertainty on commodity markets. We find that uncertainty has a significant influence on returns, but the direction of the response is due to whether uncertainty emanates from demand shocks (EPU) or supply shocks (GPR). Uncertainty is also positively related to volatility and trading volume. Importantly, we also find that the net positions of both commercial and non-commercial traders are influenced by uncertainty levels. Examination of high uncertainty and recessionary periods indicates that our results are state dependent.
AB - We utilise measures of economic policy uncertainty (EPU) and geopolitical risk (GPR), as well as commitments of traders (COTs), to investigate the influence of uncertainty on commodity markets. We find that uncertainty has a significant influence on returns, but the direction of the response is due to whether uncertainty emanates from demand shocks (EPU) or supply shocks (GPR). Uncertainty is also positively related to volatility and trading volume. Importantly, we also find that the net positions of both commercial and non-commercial traders are influenced by uncertainty levels. Examination of high uncertainty and recessionary periods indicates that our results are state dependent.
KW - CFTC commitment of traders
KW - Commodity futures
KW - Economic policy uncertainty (EPU)
KW - Geopolitical risk (GPR)
KW - Trading behaviour
UR - http://www.scopus.com/inward/record.url?scp=85203412867&partnerID=8YFLogxK
U2 - 10.1016/j.qref.2024.101915
DO - 10.1016/j.qref.2024.101915
M3 - Article
AN - SCOPUS:85203412867
SN - 1062-9769
VL - 98
JO - Quarterly Review of Economics and Finance
JF - Quarterly Review of Economics and Finance
M1 - 101915
ER -