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Liquidity commonality in commodities
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DOI：10.1016/j.jbankfin.2012.08.013.png)
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Abstract
En 中文
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.
Keywords:
Commodity
Liquidity
Commonality
Diversification
Hedging
Journal
J
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3.8
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6.4K
Citations:
2.4W
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