Does speculation affect returns in commodities futures markets?
12:00 - 13:30
Fondazione Eni Enrico Mattei
Corso Magenta 63
at FEEM Venice
h. 12.00 Seminar
h. 13.00 Light Lunch
Seminars Office, email@example.com
Marcella Nicolini, Fondazione Eni Enrico Mattei
Authors: Matteo Manera, Marcella Nicolini and Ilaria Vignati (FEEM)
We discuss two different papers which investigate if and how financial speculation affects commodities futures prices over the period 1986-2010. First, we find weak evidence of speculation affecting commodities returns. Second, this evidence is further weakened if we compare results using different data frequencies. Third, a multivariate GARCH approach shows that spillovers in volatility are present.