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- W3123056475 abstract "We analyze the dynamic comovement of commodity futures returns within each category (energy, precious metals, industrial metals, and agriculture) from 1997 to 2013 under the e ects of the nancialization of commodity markets. Our findings from the dynamic equicorrelation GARCH model of ? show evidence of convergence for precious and industrial metal commodity futures since mid-2000s. On the other hand, there is no sign of convergence across the agricultural commodity futures, with most of them moving in a unrelated manner. Finally, a relatively high level of convergence is found for energy commodity futures, except for natural gas futures which expectedly behave significantly different from the other energy commodity futures. As a whole, our results suggest some potential for diversification benefits within commodity-specific categories, but at the same time the predominance of physical supply/demand balance as the main driving force of the commodity futures price dynamics rather than global financi l conditions." @default.
- W3123056475 created "2021-02-01" @default.
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- W3123056475 date "2015-03-01" @default.
- W3123056475 modified "2023-09-27" @default.
- W3123056475 title "Dynamic convergence of commodity futures: Not all types of commodities are alike" @default.
- W3123056475 hasPublicationYear "2015" @default.
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