Journal of Banking & Finance Vol. 37 No. 1 2013
Liquidity commonality in commodities
Abstract
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.
- DOI
- 10.1016/j.jbankfin.2012.08.013
- Volume
- 37
- Issue
- 1
- Pages
- 11-20
- Language
- en
- Sources
- crossref openalex bibtex:phds-export.bib