obes_proof_2.pdf (2.94 MB)
What drives commodity returns? Market, sector or idiosyncratic factors?
journal contributionposted on 2019-07-01, 13:48 authored by J. Ma, Andrew VivianAndrew Vivian, Mark E. Wohar
This 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.
- Business and Economics
Published inOxford Bulletin of Economics and Statistics
Pages311 - 330
CitationMA, 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.
- AM (Accepted Manuscript)
Rights holder© The Department of Economics, University of Oxford and John Wiley & Sons Ltd.
Publisher statementThis 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.