Lubos Smutka and Karel Malec (Czech University of Life Sciences): Volatility and liquidity on commodity markets

In todays markets, commodities are frequently characterized by an increasing trend in the long term. There were significant fluctuations of commodity prices during the period of 2006 to 2009, followed by decreasing prices in the commodity markets due to the financial crisis. There is the discussion about the market regulation to control the volatility on markets. Thus, the determination of relations between the individual markets, their volatility and liquidity, is important. There have been stated research questions dealing with the impact of harvests of main world producers on price volatility, relation between market volatility and liquidity, and influence of seasons on volatility of given commodities.

Organised by Environmental Economics and Natural Resources

Tue 26 February 2019 12:30 to 13:30

Venue Leeuwenborch, building number 201
Room C82
Two approaches have been taken to the analysis of corn, soybeans and wheat on the CME futures market  a fundamental and a technical approach. The fundamental analysis brings information about the main factors affecting the supply and demand of chosen commodities and putting this information into the context of the historical prices development. Technical analysis offers tools for the volatility determination. The data have been used for volatility modelling based on conditional heteroscedasticity models.