Accessibility navigation

Jumps in commodity markets

Nguyen, D. B. B. and Prokopczuk, M. (2019) Jumps in commodity markets. Journal of Commodity Markets, 13. pp. 55-70. ISSN 2405-8513

Text - Accepted Version
· Available under License Creative Commons Attribution Non-commercial No Derivatives.
· Please see our End User Agreement before downloading.


It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.1016/j.jcomm.2018.10.002


This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show high jump correlations while jumps of meats and softs commodities are barely correlated. Looking at cross-market correlations, we find that returns of commodities co-move with the stock market, while jumps can be diversified. Most commodities are strong hedges for U.S. Dollar returns but weak hedges for U.S. Dollar jumps. Most commodities act as both return and jump hedges for Treasury notes.

Item Type:Article
Divisions:Henley Business School > ICMA Centre
ID Code:81482


Downloads per month over past year

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation