Author(s): Tomáš Mišečka, Ján Pokrivčák, Pavel Ciaian
Title: Impact of attention driven investments on agricultural commodity prices
Source: International Scientific Days 2016. The Agri-Food Value Chain: Challenges for Natural Resources Management and Society
Document Type: Scientific paper
ISBN: 978-80-552-1503-7
DOI: http://dx.doi.org/10.15414/isd2016.s12.06
Publisher: Slovak University of Agriculture in Nitra
PY, pages: 2016, 950-955
Published on-line: 2016-06-24
Language: eng
Abstract: This paper contains evaluates the impact of financial markets on a commodity markets. Traders at the financial market investment into commodities during financial disturbances to secure safe harbor for their capital. Speculative investments rise the volatility of the commodity prices, which increases the risk of commercial producers and manufacturers of commodities. To lower the exposure to risk commercial traders hedge their inventory prices at the future markets. This paper evaluates causality between attention driven investments, traded volume and the final price of agricultural commodities. Impact of attention driven investments to the commodity prices is measured by Google Trends, subsequently impact of traded volumes to the commodity prices is evaluated by Granger Causality Test. Data on traded volumes and commodity prices are obtained from Yahoo Finance for the period from 2006 to 2015.
Keywords: risk, interconnection, commodity market, volatility
JEL Classification: G23
Rights: Open Access :: Creative Commons Attribution 4.0 Licence
Toto dielo je publikované pod/This work is licensed under a Creative Commons Attribution 4.0 International License.
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