Jumps in commodity markets

Nguyen, D. B. B. and Prokopczuk, M. (2019) Jumps in commodity markets. Journal of Commodity Markets, 13. pp. 55-70. ISSN 2405-8513 doi: 10.1016/j.jcomm.2018.10.002

Abstract/Summary

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.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/81482
Identification Number/DOI	10.1016/j.jcomm.2018.10.002
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Elsevier
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