Do commodity investors herd? Evidence from a time-varying stochastic volatility model
Loading...
Date
Authors
Babalos, Vassilios
Stavroyiannis, Stavros
Gupta, Rangan
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
Commodities markets due to their unique characteristics as diversification tools have
recently garnered investors’ attention especially through the development of
commodity index financial products. This financialization process that started in the
early 2000s and escalated after 2004 has precipitated price comovements among
various types of commodities creating a proper setting for the examination of herding
behavior. Employing a comprehensive dataset of investable commodities indices we
examine the existence of herding behavior via static and time varying models. Our
findings reveal a non significant anti herding behavior according to static model that
is reversed when time varying models are in place. In particular the rolling window
analysis reveals interesting patterns of the herding phenomenon. These behavioral
patterns are corroborated through a time varying stochastic volatility model. Our
results contain significant implications for investors, commodities producers and
policy makers.
Description
Keywords
Commodities, Herding, Time varying stochastic volatility
Sustainable Development Goals
Citation
Babalos, V, Stavroyiannis, S & Gupta, R 2015, 'Do commodity investors herd? Evidence from a time-varying stochastic volatility model', Resources Policy, vol. 46, part 2, pp. 281-287.