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Information Flow, Trading Activity and Commodity Futures Volatility
Author(s) -
Clements Adam E.,
Todorova Neda
Publication year - 2016
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.21724
Subject(s) - futures contract , volatility (finance) , economics , odds , financial economics , information flow , econometrics , crude oil , financial market , implied volatility , futures market , monetary economics , mathematics , finance , statistics , logistic regression , linguistics , philosophy , petroleum engineering , engineering
Abstract Based on unique news data relating to gold and crude oil, we investigate how news volume and sentiment, shocks in trading activity, market depth and trader positions unrelated to information flow covary with realized volatility. Positive shocks to the rate of news arrival, and negative shocks to news sentiment exhibit the largest effects. After controlling for the level of news flow and cross‐correlations, net trader positions play only a minor role. These findings are at odds with those of [Wang (2002a). The Journal of Futures Markets , 22, 427–450; Wang (2002b). The Financial Review , 37, 295–316], but are consistent with the previous literature which doesn't find a strong link between volatility and trader positions. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:88–104, 2016