Liquidity commonality in commodities

被引：53

作者：

Marshall, Ben R. ^{[1
]}

Nguyen, Nhut H. ^{[2
]}

Visaltanachoti, Nuttawat ^{[3
]}

机构：

[1] Massey Univ, Sch Econ & Finance, Palmerston North, New Zealand

[2] Univ Auckland, Dept Accounting & Finance, Auckland 1142, New Zealand

[3] Massey Univ, Sch Econ & Finance, Auckland, New Zealand

来源：

JOURNAL OF BANKING & FINANCE | 2013年 / 37卷 / 01期

关键词：

Commodity; Liquidity; Commonality; Diversification; Hedging; CROSS-SECTION; STOCK; PRICES;

D O I：

10.1016/j.jbankfin.2012.08.013

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial metal, precious metal, and livestock commodities, we show there is a strong systematic liquidity factor in commodities. Liquidity commonality was present in 1997-2003 when commodity prices were relatively stable and during the recent boom. There is some support for both "supply-side" and "demand-side" explanations for this commonality. We find no evidence of a consistent link between stock and commodity liquidity in general. Energy commodities appear to provide a better hedge against equity market liquidity risk than the other commodity families. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：11 / 20

页数：10

共 27 条

[1] Illiquidity and stock returns: cross-section and time-series effects [J].

Amihud, Y .

JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) :31-56

[2]

[Anonymous], 2008, FED RES BANK BOST 53

[3]

[Anonymous], 2010, NBER Working Paper,16385

[4] Commonality in Liquidity: A Global Perspective [J].

Brockman, Paul ;

Chung, Dennis Y. ;

Perignon, Christophe .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2009, 44 (04) :851-882

[5] Financial econometric analysis at ultra-high frequency: Data handling concerns [J].

Brownlees, C. T. ;

Gallo, G. M. .

COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2006, 51 (04) :2232-2245

[6] Market Liquidity and Funding Liquidity [J].

Brunnermeier, Markus K. ;

Pedersen, Lasse Heje .

REVIEW OF FINANCIAL STUDIES, 2009, 22 (06) :2201-2238

[7] Asset market linkages: Evidence from financial, commodity and real estate assets [J].

Chan, Kam Fong ;

Treepongkaruna, Sirimon ;

Brooks, Robert ;

Gray, Stephen .

JOURNAL OF BANKING & FINANCE, 2011, 35 (06) :1415-1426

[8] An empirical analysis of stock and bond market liquidity [J].

Chordia, T ;

Sarkar, A ;

Subrahmanyam, A .

REVIEW OF FINANCIAL STUDIES, 2005, 18 (01) :85-129

[9] Commonality in liquidity [J].

Chordia, T ;

Roll, R ;

Subrahmanyam, A .

JOURNAL OF FINANCIAL ECONOMICS, 2000, 56 (01) :3-28

[10] Testing the martingale hypothesis for futures prices: Implications for hedgers [J].

de Goyet, Cedric de Ville ;

Dhaene, Geert ;

Sercu, Piet .

JOURNAL OF FUTURES MARKETS, 2008, 28 (11) :1040-1065

← 1 2 3 →