The Information Content of Commodity Futures Markets

63 Pages Posted: 5 Apr 2019 Last revised: 20 Mar 2023

See all articles by Romulo Alves

Romulo Alves

SKEMA Business School

Marta Szymanowska

Erasmus University Rotterdam (EUR) - Department of Finance; Erasmus Research Institute of Management (ERIM)

Date Written: March 19, 2023

Abstract

We find that commodity futures returns have a truly global information discovery role for financial markets and the real economy around the world. The information content of non-energy commodity sector returns not only rivals the economic importance of the information content of the energy sector but is also fundamentally different from it. In line with recent theoretical work (e.g., Sockin and Xiong (2015)), we find that the information role of non-energy sectors is largely explained by sectors' ability to aggregate unique information about global macroeconomic fundamentals beyond what would be expected on the basis of countries' dependence on commodity trade.

Keywords: commodity futures markets, time-series predictability, informativeness of prices, macroeconomic fundamentals

JEL Classification: G11, G12, G13

Suggested Citation

Alves, Rómulo and Szymanowska, Marta, The Information Content of Commodity Futures Markets (March 19, 2023). Available at SSRN: https://ssrn.com/abstract=3352822 or http://dx.doi.org/10.2139/ssrn.3352822

Rómulo Alves (Contact Author)

SKEMA Business School ( email )

Paris
France

Marta Szymanowska

Erasmus University Rotterdam (EUR) - Department of Finance ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31104089607 (Phone)

HOME PAGE: http://www.rsm.nl/mszymanowska

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

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