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What drives commodity returns? Market, sector or idiosyncratic factors?
journal contribution
posted on 2019-07-01, 13:48 authored by J. Ma, Andrew VivianAndrew Vivian, Mark E. WoharThis paper examines the relationship between 43 commodity returns using a dynamic factor
model with time varying stochastic volatility. The dynamic factor model decomposes each
commodity return into a common (market
), sector
-specific and commodity-specific
component. It enables the variance attributed to each component to be estimated at each point
in time. We find the return variation explained by the common factor has increased
substantially for the recent period and is statistically significant for the vast majority of
commodities since 2004 (at each point in time). This phenomenon is strongest for non
-
perishable products. We link the amount of variation explained by the common factor to
economic variables.
History
School
- Business and Economics
Department
- Business
Published in
Oxford Bulletin of Economics and StatisticsVolume
82Issue
2Pages
311 - 330Citation
MA, J., VIVIAN, A.J. and WOHAR, M.E., 2019. What drives commodity returns? Market, sector or idiosyncratic factors? Oxford Bulletin of Economics and Statistics, 82 (2), pp.311-330.Publisher
WileyVersion
- AM (Accepted Manuscript)
Rights holder
© The Department of Economics, University of Oxford and John Wiley & Sons Ltd.Publisher statement
This is the peer reviewed version of the following article: MA, J., VIVIAN, A.J. and WOHAR, M.E., 2019. What drives commodity returns? Market, sector or idiosyncratic factors? Oxford Bulletin of Economics and Statistics, 82 (2), pp.311-330, which has been published in final form at https://doi.org/10.1111/obes.12334. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.Acceptance date
2019-06-21Publication date
2019-08-06Copyright date
2019ISSN
0305-9049Publisher version
Language
- en