Seminars & webinars
29 September 2011

Does speculation affect returns in commodities futures markets?


Where: Milan
Location:

Fondazione Eni Enrico Mattei
Corso Magenta 63
20123 Milan

***
Video-conference
at FEEM Venice

How to reach: Google map
Event's Timetable:


h. 12.00 Seminar
h. 13.00 Light Lunch

Information:

Seminars Office, seminars@feem.it

Speakers:

Marcella Nicolini, Fondazione Eni Enrico Mattei

Abstract

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.

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Does speculation affect returns in commodities futures markets?

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