Details
| Original language | English |
|---|---|
| Pages (from-to) | 55-70 |
| Number of pages | 16 |
| Journal | Journal of Commodity Markets |
| Volume | 13 |
| Early online date | 17 Oct 2018 |
| Publication status | Published - Mar 2019 |
Abstract
This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show high jump correlations while jumps of meats and softs commodities are barely correlated. Looking at cross-market correlations, we find that returns of commodities co-move with the stock market, while jumps can be diversified. Most commodities are strong hedges for U.S. Dollar returns but weak hedges for U.S. Dollar jumps. Most commodities act as both return and jump hedges for Treasury notes.
Keywords
- Commodities, Hedge, Jump risk, Tail risk
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Journal of Commodity Markets, Vol. 13, 03.2019, p. 55-70.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Jumps in commodity markets
AU - Nguyen, Duc Binh Benno
AU - Prokopczuk, Marcel
PY - 2019/3
Y1 - 2019/3
N2 - This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show high jump correlations while jumps of meats and softs commodities are barely correlated. Looking at cross-market correlations, we find that returns of commodities co-move with the stock market, while jumps can be diversified. Most commodities are strong hedges for U.S. Dollar returns but weak hedges for U.S. Dollar jumps. Most commodities act as both return and jump hedges for Treasury notes.
AB - This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show high jump correlations while jumps of meats and softs commodities are barely correlated. Looking at cross-market correlations, we find that returns of commodities co-move with the stock market, while jumps can be diversified. Most commodities are strong hedges for U.S. Dollar returns but weak hedges for U.S. Dollar jumps. Most commodities act as both return and jump hedges for Treasury notes.
KW - Commodities
KW - Hedge
KW - Jump risk
KW - Tail risk
UR - http://www.scopus.com/inward/record.url?scp=85058054995&partnerID=8YFLogxK
U2 - 10.1016/j.jcomm.2018.10.002
DO - 10.1016/j.jcomm.2018.10.002
M3 - Article
AN - SCOPUS:85058054995
VL - 13
SP - 55
EP - 70
JO - Journal of Commodity Markets
JF - Journal of Commodity Markets
SN - 2405-8513
ER -