spb/phd_thesis Public
PhD thesis — Three essays on high-frequency return and volatility dynamics in commodities and financial futures markets (Université Laval).
TeX 100%
1\section{Appendix B - Results using the COVID Sample Period}2\renewcommand{\thetable}{B-\arabic{table}}3\setcounter{table}{0} % Reset table counter45\begin{sidewaystable}6\caption{Effects of Macro Announcements and Financialization on Futures Returns - COVID Sample Period}7\label{tab:macro_fin_fut_returns_covid}8\centering9\resizebox{\linewidth}{!}{%10\begin{tabular}{@{}lllllllllllll@{}}11\toprule12\textbf{Commodities} & \multicolumn{2}{c}{\textbf{Crude Oil}} & \multicolumn{2}{c}{\textbf{Gold}} & \multicolumn{2}{c}{\textbf{Copper}} & \multicolumn{2}{c}{\textbf{Silver}} & \multicolumn{2}{c}{\textbf{Palladium}} & \multicolumn{2}{c}{\textbf{Natural Gas}} \\ \midrule13\textbf{Announcements} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule \multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule1415\textbf{Initial jobless claims} & -0.02432** & -0.01818 & 0.12506*** & -2.80729*** & -0.17005*** & 2.79627*** & -0.01710 & -1.80177*** & -0.04697* & 0.50617 & 0.02130 & 0.00395 \\ 16\textbf{ADP Employment} & 0.10493** & -0.01992 & -0.07145*** & 0.03843*** & 0.20312*** & -0.07302*** & 0.05359** & -0.00743 & 0.00293 & -0.01197 & 0.06487 & 0.05085* \\ 17\textbf{CB Consumer} & -0.00014 & 0.01730 & -0.01156 & -0.03514*** & 0.01126 & -0.12638*** & -0.01154 & 0.01428 & -0.00428 & -0.00635 & 0.05444 & 0.01849 \\ 18\textbf{Advance retail sales} & 0.01675 & 0.00934 & 0.00999 & -0.02615*** & 0.05658*** & -0.00972 & 0.00271 & 0.01182 & -0.00801 & 0.00407 & -0.01226 & -0.00540 \\ 19\textbf{Building permit} & 0.04472*** & -0.00473 & -0.00506 & 0.02308*** & -0.02296 & 0.06065*** & 0.01689* & -0.00460 & -0.00525 & -0.01228 & 0.08097** & 0.02061 \\ 20\textbf{Construction spending} & 0.07403 & -0.08007*** & -0.02819* & 0.00141 & -0.01867 & -0.00880 & -0.00176 & -0.01373* & 0.04320 & 0.04773** & -0.02909 & -0.01744 \\ 21\textbf{Consumer credit} & -0.01203 & 0.00357 & -0.00482 & -0.00376 & -0.00308 & 0.00661 & 0.00403 & -0.01316 & 0.01510 & 0.03158 & -0.00888 & 0.00622 \\ 22\textbf{Consumer price index} & 0.02370 & 0.02270* & 0.02254 & -0.00306 & -0.08259*** & -0.00465 & -0.03278** & 0.00641 & -0.04731*** & 0.01463 & -0.06911 & 0.03523 \\ 23\textbf{Durable goods orders} & -0.01326 & -0.00519 & -0.03861** & 0.09163*** & -0.00732 & -0.11911*** & -0.01810 & 0.02209 & -0.03421 & 0.00352 & 0.01278 & -0.02896 \\ 24\textbf{Existing home sales} & -0.02893 & -0.02409 & 0.03032* & -0.03031*** & 0.00957 & -0.05879** & -0.01252 & 0.00328 & 0.00121 & 0.03252 & 0.10149* & -0.04166 \\ 25\textbf{Factory orders} & 0.06701 & -0.02383 & -0.02140 & -0.01821 & -0.01981 & -0.08170** & 0.05127* & 0.01387 & -0.01113 & -0.01429 & 0.20189*** & -0.00073 \\ 26\textbf{Gross domestic product} & -0.02344 & 0.01999** & -0.03597*** & 0.01002 & -0.03173 & 0.00734 & -0.02807*** & 0.00406 & -0.05014** & -0.00290 & -0.04468 & 0.01072 \\ 27\textbf{Housing starts} & 0.01845 & 0.02643* & -0.00186 & -0.03386*** & 0.04042** & 0.02865 & -0.00735 & 0.02018** & -0.02342 & 0.01822 & 0.03539 & -0.00961 \\ 28\textbf{Industrial production} & 0.03643** & 0.00465 & -0.03529*** & -0.00053 & 0.05792*** & 0.00069 & -0.01500 & 0.01881 & 0.00841 & -0.00974 & -0.03503 & -0.00202 \\ 29\textbf{New home sales} & -0.01988 & 0.02155 & -0.01107 & -0.00021 & 0.05154** & -0.01592 & -0.00762 & 0.01283 & 0.02024 & -0.00408 & -0.03319 & -0.01629 \\ 30\textbf{Non-farm employment} & 0.02498 & 0.00862 & -0.27690*** & 0.02188** & 0.17649*** & -0.04451** & 0.06183 & 0.00160 & 0.02000** & -0.00112 & 0.08142 & 0.04914 \\ 31\textbf{Pending home sales} & 0.00688 & 0.01007 & -0.01427 & -0.16695*** & 0.00245 & -0.09205*** & 0.00528 & 0.01944 & 0.00860 & -0.07946** & -0.02308 & -0.00338 \\ 32\textbf{Personal consumption} & -0.00795 & -0.01160 & -0.03914*** & -0.00496 & -0.03188 & -0.01156 & -0.00356 & -0.00346 & 0.03274 & -0.00329 & -0.06953* & -0.02143 \\ 33\textbf{Personal income} & -0.01321 & -0.00959 & -0.02591 & -0.01454*** & -0.03079 & -0.02411* & -0.04359 & -0.00410 & 0.02955 & 0.00582 & 0.07648 & 0.03243 \\ 34\textbf{Producer price index} & 0.01504 & 0.00858 & -0.03052** & -0.01257 & -0.03537 & -0.01580 & 0.00541 & -0.01962 & 0.04519* & 0.04732 & -0.06727* & 0.00949 \\ 35\textbf{Trade balance} & 0.29865*** & 0.03278 & -0.12200*** & -0.01377* & 0.41798*** & -0.05178*** & -0.11417** & 0.00071 & -0.56894*** & -0.01681 & -0.36628** & -0.36300** \\ 36\textbf{Crude Oil Weekly inventory} & -0.21132*** & -0.01899*** & & & & & & & & & & \\ 37\textbf{Natural Gas Weekly inventory} & & & & & & & & & & & -0.01789 & 0.01571 \\ \midrule3839\textbf{Observations} & \multicolumn{2}{c}{167663} & \multicolumn{2}{c}{167808} & \multicolumn{2}{c}{167513} & \multicolumn{2}{c}{167800} & \multicolumn{2}{c}{99525} & \multicolumn{2}{c}{167472} \\ 40\textbf{$R^2$} & \multicolumn{2}{c}{0.004106} & \multicolumn{2}{c}{0.004110} & \multicolumn{2}{c}{0.002538} & \multicolumn{2}{c}{0.000898} & \multicolumn{2}{c}{0.001077} & \multicolumn{2}{c}{0.001355} \\ \bottomrule 41\end{tabular}42}43\begin{tablenotes}44\singlespacing45\footnotesize46This table presents estimates of eq. \ref{eq:Model 1}, $R_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m S_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (S_{m,t} \cdot X_t)+\beta R_{t-\tau}^{t}+\epsilon_{t}$ using the method proposed by \citet{kurov2019price} and the financialization variable $PCA_t$. The period covered is from 2020-01-31 to 2022-06-10. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred and especially if that announcement was unanticipated. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of financialization.47\end{tablenotes}48\end{sidewaystable}4950515253\begin{sidewaystable}54\caption{Effects of Macro Announcements and Financialization on Futures Conditional Variance - COVID Sample Period}55\label{tab:macro_fin_fut_var_covid}56\centering57\resizebox{\linewidth}{!}{%58\begin{tabular}{@{}lllllllllllll@{}}59\toprule60\textbf{Commodities} & \multicolumn{2}{c}{\textbf{Crude Oil}} & \multicolumn{2}{c}{\textbf{Gold}} & \multicolumn{2}{c}{\textbf{Copper}} & \multicolumn{2}{c}{\textbf{Silver}} & \multicolumn{2}{c}{\textbf{Palladium}} & \multicolumn{2}{c}{\textbf{Natural Gas}} \\ \midrule61\textbf{Announcements} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} \\ \midrule \multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule6263\textbf{Initial jobless claims} & 0.00877 & 0.06854** & 0.04889*** & 0.00632 & 0.10143*** & -0.02561* & 0.01633*** & -0.00186 & 0.08097*** & -0.00257 & -0.00080 & 0.03698 \\ 64\textbf{ADP Employment} & 0.03197 & 0.05389 & 0.00108 & 0.00335 & 0.03112 & 0.01241 & 0.06538*** & -0.00894 & -0.09486** & -0.02727 & 0.01188 & -0.00604 \\ 65\textbf{CB Consumer} & 0.05354 & -0.00523 & 0.07158*** & -0.01573** & 0.06761*** & 0.00890 & -0.00622 & -0.00047 & 0.02592 & 0.00496 & -0.01753 & -0.01483 \\ 66\textbf{Advance retail sales} & -0.00851 & -0.04267 & 0.04067*** & -0.01819*** & 0.10993*** & -0.00152 & 0.01390 & -0.02434** & -0.01311 & -0.05964** & 0.05261 & 0.00172 \\ 67\textbf{Building permit} & -0.00704 & 0.04270 & 0.00467 & -0.00389 & -0.00659 & 0.01853 & -0.00975 & 0.00774 & 0.03353 & -0.00250 & 0.05338* & -0.01865 \\ 68\textbf{Construction spending} & 0.02353 & -0.01352 & 0.03937*** & 0.00092 & 0.03030 & 0.00426 & 0.00374 & 0.00524 & -0.00435 & 0.02602 & 0.04897 & 0.01006 \\ 69\textbf{Consumer credit} & -0.00584 & -0.02756 & 0.00412 & 0.02848*** & 0.04301** & -0.05662*** & -0.00637 & -0.03798*** & 0.03674 & 0.00690 & 0.01900 & -0.06251 \\ 70\textbf{Consumer price index} & -0.00862 & 0.00919 & 0.09025*** & 0.00549 & 0.08811*** & -0.04065*** & 0.09950*** & 0.01802* & -0.02377 & 0.03608 & 0.05494 & 0.04110* \\ 71\textbf{Durable goods orders} & -0.01320 & 0.00783 & 0.01782* & -0.02205*** & 0.04292** & -0.00940 & -0.01289 & -0.00039 & 0.05048 & -0.18229*** & -0.05984* & -0.01398 \\ 72\textbf{Existing home sales} & 0.09568* & 0.02457 & 0.04677*** & -0.00119 & 0.05161** & -0.03212** & 0.04829*** & -0.00778 & 0.16009*** & -0.00301 & 0.08823*** & 0.05824** \\ 73\textbf{Factory orders} & 0.04917 & -0.00674 & 0.03061*** & -0.00275 & 0.02062 & -0.05376*** & 0.02066 & 0.02086* & 0.01577 & -0.00984 & 0.04968 & 0.03284 \\ 74\textbf{Gross domestic product} & -0.02008 & -0.04953 & 0.05825*** & -0.01752*** & 0.10358*** & -0.00124 & 0.00580 & -0.03097*** & 0.00318 & -0.06473** & -0.06185* & 0.01394 \\ 75\textbf{Housing starts} & -0.00072 & 0.03780 & 0.00500 & -0.00374 & -0.00688 & -0.02454 & -0.00968 & -0.00918 & 0.03057 & -0.00948 & 0.06142** & -0.00844 \\ 76\textbf{Industrial production} & -0.03464 & 0.00114 & -0.01280 & -0.01032** & 0.03812* & -0.00325 & -0.01843 & -0.00983 & 0.04435 & 0.04172** & -0.03347 & -0.00747 \\ 77\textbf{New home sales} & 0.00487 & 0.00237 & 0.07711*** & -0.05791*** & 0.10903*** & -0.11668*** & -0.00918 & -0.00837 & 0.02354 & 0.00263 & -0.00242 & -0.05764** \\ 78\textbf{Non-farm employment} & 0.08122 & 0.01522 & 0.18711*** & -0.01610*** & 0.31928*** & -0.02718* & 0.12234*** & 0.00857 & 0.05419 & -0.00820 & 0.01478 & 0.03549 \\ 79\textbf{Pending home sales} & 0.01072 & -0.01184 & 0.03844*** & -0.01432** & 0.03845* & -0.03944** & 0.01314 & -0.00949 & 0.07867* & 0.03292 & 0.06944** & 0.09557*** \\ 80\textbf{Personal consumption} & -0.01919 & -0.02455 & 0.02154** & -0.01287** & 0.04426* & 0.01001 & -0.00224 & -0.00698 & 0.07037 & 0.02141 & 0.08558** & 0.06103*** \\ 81\textbf{Personal income} & 0.00244 & -0.01211 & 0.02834*** & -0.02153*** & 0.05301** & -0.03660** & -0.00017 & 0.00224 & 0.07217* & -0.03518 & 0.05645* & -0.01085 \\ 82\textbf{Producer price index} & 0.02955 & 0.03470 & 0.04263*** & -0.01819*** & 0.09391*** & 0.02112 & -0.00732 & -0.00549 & 0.03624 & 0.02379 & -0.04616 & 0.01102 \\ 83\textbf{Trade balance} & 0.06625 & 0.02541 & 0.02594*** & 0.00010 & 0.03557* & 0.00010 & 0.02995** & 0.00010 & 0.10040** & 0.00010 & 0.01924 & -0.00631 \\ 84\textbf{Crude Oil Weekly inventory} & 0.15709*** & 0.00010 & & & & & & & & & & \\ 85\textbf{Natural Gas Weekly inventory} & & & & & & & & & & & 0.55047*** & 0.00010 \\ \midrule8687\textbf{Observations} & \multicolumn{2}{c}{167663} & \multicolumn{2}{c}{167808} & \multicolumn{2}{c}{167513} & \multicolumn{2}{c}{167800} & \multicolumn{2}{c}{99525} & \multicolumn{2}{c}{167472} \\ 88\textbf{$R^2$} & \multicolumn{2}{c}{0.024286} & \multicolumn{2}{c}{0.119026} & \multicolumn{2}{c}{0.078046} & \multicolumn{2}{c}{0.084932} & \multicolumn{2}{c}{0.051116} & \multicolumn{2}{c}{0.138467} \\ \bottomrule 89\end{tabular}90}91\begin{tablenotes}92\singlespacing93\footnotesize94This table presents estimates of eq. \ref{eqn:VarianceEqn} using the financialization variable $PCA_t$. The equation is $\sigma_{t}^2=\alpha_0+\alpha_1 \sigma_{t-1}^2+\alpha_2 \epsilon_t^2 +\sum_{m=1}^{22} \Phi_m D_{m,t}+\beta X_{i,t}+\sum_{k=1}^n \phi_k I_{kt} + \sum_{h=1}^{23} \rho_h D_h$ where $I_{kt}=D_{m,t} \cdot X_{i,t}$ and $D_{m,t}$ is a macro announcement dummy variable for release $m$. The period covered is from 2020-01-31 to 2022-06-10. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of financialization.95\end{tablenotes}96\end{sidewaystable}979899100\begin{sidewaystable}101\caption{Effects of Macro Announcements and Financialization (Money Managers only) on Futures Returns - COVID Sample Period}102\label{tab:macro_fin_mm_fut_returns_covid}103\centering104\resizebox{\linewidth}{!}{%105\begin{tabular}{@{}lllllllllllll@{}}106\toprule107\textbf{Commodities} & \multicolumn{2}{c}{\textbf{Crude Oil}} & \multicolumn{2}{c}{\textbf{Gold}} & \multicolumn{2}{c}{\textbf{Copper}} & \multicolumn{2}{c}{\textbf{Silver}} & \multicolumn{2}{c}{\textbf{Palladium}} & \multicolumn{2}{c}{\textbf{Natural Gas}} \\ \midrule108\textbf{Announcements} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule \multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule109110\textbf{Initial jobless claims} & 0.01284 & -0.42931 & 0.18523*** & -0.60124*** & -0.18006*** & 1.43876*** & -0.01157 & -0.07340 & -0.01816 & 0.06554 & -0.01707 & -0.54064 \\ 111\textbf{ADP Employment} & 0.29525 & -1.27353 & -0.20069*** & 0.83071** & -0.00499 & -0.26184 & 0.02301*** & 0.13008 & 0.00089 & 0.00840 & -0.02549* & -0.41182 \\ 112\textbf{CB Consumer} & 0.07655 & -0.51606 & -0.09771** & 0.47099* & -0.06772 & 0.46189 & -0.04213 & 0.17658 & -0.03088 & 0.10234 & -0.01077 & 1.92141* \\ 113\textbf{Advance retail sales} & -0.02923 & 0.34904 & -0.07305*** & 0.43390*** & -0.01274 & 0.22680 & 0.01271 & -0.06940 & -0.01833 & 0.09338 & -0.00873 & 0.00984 \\ 114\textbf{Building permit} & -0.09509 & 1.00771 & 0.02568 & -0.19516 & -0.09011* & 0.39078 & -0.04005** & 0.13851* & 0.00371 & 0.04582 & 0.08024** & 0.86233** \\ 115\textbf{Construction spending} & 0.41652** & -2.77195** & -0.04190 & 0.08539 & 0.02789 & -0.34852 & 0.01859 & -0.13908 & 0.01249 & 0.09305 & -0.01210 & -1.19446** \\ 116\textbf{Consumer credit} & -0.00923 & -0.01745 & -0.02585 & 0.12077 & 0.05161** & -0.29881** & -0.00532 & 0.06380 & -0.03173 & 0.19807 & -0.01666 & 0.08127 \\ 117\textbf{Consumer price index} & -0.24917 & 1.86806* & -0.43977*** & 2.23921*** & 0.19333*** & -0.58014** & -0.07806*** & 0.27258* & -0.10369** & 0.20287 & -0.03498 & 0.23866 \\ 118\textbf{Durable goods orders} & 0.09373 & -0.74428 & -0.13019*** & 0.56867** & -0.04308 & 0.18076 & -0.03350 & 0.07762 & 0.02374 & -0.23976 & 0.04727 & -0.54832 \\ 119\textbf{Existing home sales} & 0.74825*** & -5.48168*** & -0.10481 & 0.80092* & -0.13335 & 0.75410 & -0.01008 & 0.04062 & 0.03378 & -0.12891 & 0.10720 & -0.39774 \\ 120\textbf{Factory orders} & 0.00864 & 0.26749 & -0.05923 & 0.18085 & -0.00838 & -0.08036 & 0.04497 & 0.03837 & 0.08834 & -0.51740** & 0.21529*** & 1.18248 \\ 121\textbf{Gross domestic product} & -0.01706 & -0.08802 & -0.33648*** & 1.71065*** & -0.00324 & -0.10068 & -0.06030*** & 0.19003*** & -0.04116 & -0.06590 & 0.01248 & -0.86484 \\ 122\textbf{Housing starts} & 0.21757** & -1.76668*** & -0.01221 & 0.05853 & 0.00456 & -0.24308 & -0.03423* & 0.15038* & 0.03046 & -0.22306 & 0.03863 & 0.92630*** \\ 123\textbf{Industrial production} & 0.34103** & -2.13714* & -0.00293 & -0.20915* & -0.07816 & 0.16609 & -0.02928* & 0.09407 & 0.00574 & 0.03016 & -0.02946 & -0.32844 \\ 124\textbf{New home sales} & -0.23837 & 1.50728 & -0.12033*** & 0.78060*** & 0.04347 & -0.47414** & -0.00786 & 0.00541 & 0.03361 & -0.07157 & -0.05379 & 0.74563 \\ 125\textbf{Non-farm employment} & -0.38931 & 2.35649* & -0.68355*** & 2.98988*** & 0.41050*** & -2.25335*** & -0.01543* & 0.49231* & -0.07231** & 0.68623* & 0.01033 & 1.53154 \\ 126\textbf{Pending home sales} & -0.00301 & 0.15189 & -0.04072 & 0.13567 & -0.05453 & 0.29881 & 0.00433 & 0.02053 & -0.01675 & 0.15366 & -0.01676 & -0.80029 \\ 127\textbf{Personal consumption} & 0.04548 & -0.40212 & -0.12306*** & 0.46241*** & 0.01365 & -0.07518 & 0.00234 & -0.00958 & 0.02166 & 0.04800 & -0.03182 & 0.06593 \\ 128\textbf{Personal income} & -0.05495 & 0.14342 & 0.00497 & -0.03505 & 0.14836 & -0.94084 & -0.01037 & -0.25330* & -0.05332 & 0.26052 & 0.01097 & -0.98839 \\ 129\textbf{Producer price index} & -0.10278 & 0.85437 & -0.06206 & 0.22680 & 0.03505 & -0.32221 & 0.01070 & -0.04785 & 0.02766 & 0.12770 & -0.06587* & 0.44089 \\ 130\textbf{Trade balance} & -1.09678* & 5.61848 & 0.00987 & -0.77170 & -0.28472* & 0.23575 & -0.02639 & -0.50428 & -0.67818*** & 0.80536** & -0.66975*** & 7.55158*** \\ 131\textbf{Crude Oil Weekly inventory} & 0.03025 & -1.67095*** & & & & & & & & & & \\ 132\textbf{Natural Gas Weekly inventory} & & & & & & & & & & & -0.18997*** & 0.63710 \\ \midrule133134\textbf{Observations} & \multicolumn{2}{c}{167663} & \multicolumn{2}{c}{167808} & \multicolumn{2}{c}{167513} & \multicolumn{2}{c}{167800} & \multicolumn{2}{c}{99525} & \multicolumn{2}{c}{167472} \\ 135\textbf{$R^2$} & \multicolumn{2}{c}{0.004087} & \multicolumn{2}{c}{0.003488} & \multicolumn{2}{c}{0.001728} & \multicolumn{2}{c}{0.000983} & \multicolumn{2}{c}{0.001166} & \multicolumn{2}{c}{0.001653} \\ \bottomrule 136\end{tabular}137}138\begin{tablenotes}139\singlespacing140\footnotesize141This table presents estimates of eq. \ref{eq:Model 1}, $R_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m S_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (S_{m,t} \cdot X_t)+\beta R_{t-\tau}^{t}+\epsilon_{t}$ using the method proposed by \citet{kurov2019price} and the financialization variable $MM_NLS_t$, calculated with the money manager positions. The period covered is from 2020-01-31 to 2022-06-10. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred and especially if that announcement was unanticipated. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of financialization.142\end{tablenotes}143\end{sidewaystable}144145146147\begin{sidewaystable}148\caption{Effects of Macro Announcements and Financialization (Swap Dealers only) on Futures Returns - COVID Sample Period}149\label{tab:macro_fin_sd_fut_returns_covid}150\centering151\resizebox{\linewidth}{!}{%152\begin{tabular}{@{}lllllllllllll@{}}153\toprule154\textbf{Commodities} & \multicolumn{2}{c}{\textbf{Crude Oil}} & \multicolumn{2}{c}{\textbf{Gold}} & \multicolumn{2}{c}{\textbf{Copper}} & \multicolumn{2}{c}{\textbf{Silver}} & \multicolumn{2}{c}{\textbf{Palladium}} & \multicolumn{2}{c}{\textbf{Natural Gas}} \\ \midrule155\textbf{Announcements} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule \multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule156157\textbf{Initial jobless claims} & -0.35559 & -1.52603 & 0.01394 & 0.02196 & -0.00342 & -2.17155*** & 0.08446* & 0.41894* & -0.19160*** & -1.05912*** & -0.08847** & 1.77686** \\ 158\textbf{ADP Employment} & 0.08035 & 0.06661 & -0.31471** & -0.78958* & -0.11333** & -1.67280 & -0.22634*** & -1.05459*** & 0.00289 & -0.00433 & -0.05779** & 1.40793 \\ 159\textbf{CB Consumer} & 0.54866 & 2.62593 & -0.24794* & -0.70080* & 0.06550 & 1.59409* & 0.08546 & -0.61999 & 0.02718 & -0.20183 & 0.04790 & 0.01052 \\ 160\textbf{Advance retail sales} & 0.83956*** & 4.05137*** & -0.30872*** & -0.94688*** & 0.03121* & 0.27971 & -0.03042 & 0.22433 & 0.02659 & -0.15492 & -0.01285 & 0.09216 \\ 161\textbf{Building permit} & 0.44978** & 2.31848** & -0.13443 & -0.39083 & 0.04930** & 0.60257* & -0.06394** & -0.53905** & 0.01289 & -0.00590 & 0.16126*** & -1.02460** \\ 162\textbf{Construction spending} & 0.27632 & 1.39045 & 0.23373 & 0.72075 & -0.00773 & 0.60794 & -0.14991** & -0.88770** & 0.05101 & -0.12208 & -0.11196 & 1.69267* \\ 163\textbf{Consumer credit} & 0.00461 & 0.08012 & -0.04758 & -0.12187 & 0.01797 & 0.32756* & 0.03715 & -0.19518 & 0.02984 & -0.17111 & -0.02980 & 0.23179 \\ 164\textbf{Consumer price index} & -0.05112 & -0.32176 & -0.57345*** & -1.58847** & 0.12469*** & 0.69010* & -0.28822*** & -1.98064*** & 0.00680 & -0.41770* & -0.00893 & -0.14206 \\ 165\textbf{Durable goods orders} & 0.13207 & 0.71558 & -0.38513*** & -1.10042*** & -0.03065 & -0.83509 & 0.06604 & -0.59511 & 0.01982 & -0.40849 & 0.01972 & -0.35887 \\ 166\textbf{Existing home sales} & -0.04459 & -0.02126 & 0.11253 & 0.26883 & -0.04172 & -1.15384 & -0.09829* & -0.67851* & -0.01171 & 0.10709 & 0.11297 & -0.25142 \\ 167\textbf{Factory orders} & 0.18355 & 0.64725 & 0.25872 & 0.84187 & -0.02900 & -0.14117 & 0.08340 & -0.20274 & -0.14787* & -0.80132* & 0.21908** & -0.23554 \\ 168\textbf{Gross domestic product} & 0.46231*** & 2.30788*** & 0.19991 & 0.68373 & 0.05351 & 1.71279 & -0.05994** & -0.56015*** & -0.05200 & 0.00596 & -0.05958* & 0.28580 \\ 169\textbf{Housing starts} & -0.32851 & -1.71555 & -0.07149 & -0.21937 & -0.03948 & 0.03702 & -0.01791 & 0.10276 & -0.10283* & 0.58656* & 0.16249*** & -1.56023***\\ 170\textbf{Industrial production} & 0.17043 & 1.00224 & 0.08398 & 0.37057* & 0.06373*** & -0.34937 & -0.08247* & 0.46599 & 0.04412 & -0.20798 & -0.00941 & -0.37177 \\ 171\textbf{New home sales} & -0.03078 & -0.06343 & 0.18592 & 0.58193 & -0.01074 & 0.53075 & 0.01912 & -0.18141 & 0.01301 & 0.02973 & 0.02364 & -0.82941* \\ 172\textbf{Non-farm employment} & 2.07613* & 10.49944* & -3.88548*** & -10.45671***& 0.14035** & -2.11552 & -0.39987** & -1.96803** & -0.38964** & -1.75421** & -0.04663 & 1.68979 \\ 173\textbf{Pending home sales} & 0.13424 & 0.54767 & 0.02888 & 0.11045 & 0.02128 & 0.43282 & 0.00606 & 0.00543 & 0.06637 & -0.30888 & -0.01983 & -0.02780 \\ 174\textbf{Personal consumption} & 0.23334 & 1.13462 & -0.34704*** & -0.96377*** & 0.01301 & 0.48689 & -0.02546 & 0.13933 & 0.14246** & -0.56744 & 0.00804 & -1.01067 \\ 175\textbf{Personal income} & 0.48466 & 2.52886 & -0.07014 & -0.18887 & -0.08014 & -1.76992 & -0.20808* & -1.03538* & 0.00040 & -0.07478 & -0.09644 & 3.03041* \\ 176\textbf{Producer price index} & -0.37035 & -1.91965 & 0.22676 & 0.72619 & 0.00020 & 0.30589 & -0.02940 & 0.22461 & 0.04012 & 0.04467 & -0.04055 & -0.30514 \\ 177\textbf{Trade balance} & -2.43297 & -9.82726 & -0.22310 & -0.34760 & 0.22495** & 0.04987 & -0.31868* & 1.15728 & -0.17144 & -1.82171*** & -0.13828 & -3.43949* \\ 178\textbf{Crude Oil Weekly inventory} & -0.71319*** & -2.29368*** & & & & & & & & & & \\ 179\textbf{Natural Gas Weekly inventory} & & & & & & & & & & & -0.13552** & -0.31667 \\ \midrule180181\textbf{Observations} & \multicolumn{2}{c}{167663} & \multicolumn{2}{c}{167808} & \multicolumn{2}{c}{167513} & \multicolumn{2}{c}{167800} & \multicolumn{2}{c}{99525} & \multicolumn{2}{c}{167472} \\ 182\textbf{$R^2$} & \multicolumn{2}{c}{0.004380} & \multicolumn{2}{c}{0.003420} & \multicolumn{2}{c}{0.001651} & \multicolumn{2}{c}{0.001399} & \multicolumn{2}{c}{0.001579} & \multicolumn{2}{c}{0.001734} \\ \bottomrule 183\end{tabular}184}185\begin{tablenotes}186\singlespacing187\footnotesize188This table presents estimates of eq. \ref{eq:Model 1}, $R_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m S_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (S_{m,t} \cdot X_t)+\beta R_{t-\tau}^{t}+\epsilon_{t}$ using the method proposed by \citet{kurov2019price} and the financialization variable $SWAP_NLS_t$, calculated with the swap dealer positions. The period covered is from 2020-01-31 to 2022-06-10. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred and especially if that announcement was unanticipated. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of financialization.189\end{tablenotes}190\end{sidewaystable}191192193\begin{sidewaystable}194\caption{Effects of Macro Announcements and Financialization (Money Managers only) on Futures Conditional Variance - COVID Sample Period}195\label{tab:macro_fin_mm_var_covid}196\centering197\resizebox{\linewidth}{!}{%198\begin{tabular}{@{}lllllllllllll@{}}199\toprule200\textbf{Commodities} & \multicolumn{2}{c}{\textbf{Crude Oil}} & \multicolumn{2}{c}{\textbf{Gold}} & \multicolumn{2}{c}{\textbf{Copper}} & \multicolumn{2}{c}{\textbf{Silver}} & \multicolumn{2}{c}{\textbf{Palladium}} & \multicolumn{2}{c}{\textbf{Natural Gas}} \\ \midrule201\textbf{Announcements} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} \\ \midrule 202\multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule203204\textbf{Initial jobless claims} & -0.04461 & 2.85159* & -0.00467 & -0.05895 & 0.15242*** & -0.16088 & 0.01131 & 0.00230 & 0.08837*** & -0.09377 & -0.00605 & 0.21895 \\ 205\textbf{ADP Employment} & -0.34572 & 4.05873** & 0.01157 & -0.11669 & 0.05935 & 0.18762 & 0.06509***& -0.05024 & -0.08643* & -0.20231 & 0.00600 & 0.14602 \\ 206\textbf{CB Consumer} & -0.49745* & 1.32170 & 0.09255***& -0.17445 & 0.03300 & -1.30168***& 0.00077 & -0.05129 & 0.05362 & -0.20067 & -0.02037 & 0.32092 \\ 207\textbf{Advance retail sales} & -0.18724 & -0.76763 & 0.07227** & -0.53535*** & 0.34259*** & -0.62714**& 0.02209 & -0.22841***& 0.01804 & -0.26755 & 0.04779 & 0.50548 \\ 208\textbf{Building permit} & 0.10048 & 1.66375 & -0.09165***& 0.14266 & 0.10536** & 0.33833 & 0.02134 & 0.06065 & 0.07337 & -0.07325 & 0.04532 & -0.42110 \\ 209\textbf{Construction spending} & -0.19798 & 0.62185 & 0.01384 & 0.02905 & -0.03106 & 0.10504 & -0.00470 & 0.06039 & 0.00351 & 0.21481 & 0.05824* & 0.03839 \\ 210\textbf{Consumer credit} & -0.09134 & 1.21640 & -0.00171 & 0.00941 & 0.02411 & -0.86118***& -0.01479 & -0.26289***& 0.00540 & 0.13574 & 0.01831 & 0.13310 \\ 211\textbf{Consumer price index} & -0.16864 & 2.37100 & 0.09632***& -0.40220** & 0.25226*** & 0.04154 & 0.13703***& -0.14927* & -0.04150 & -0.13397 & 0.03385 & -0.36319 \\ 212\textbf{Durable goods orders} & -0.33507 & -3.41535* & 0.08977***& -0.29773* & 0.03393 & -0.50163* & -0.03340* & -0.06481 & 0.06564 & -0.19562 & -0.05252 & 0.06643 \\ 213\textbf{Existing home sales} & 0.56294** & 1.05599 & -0.00734 & 0.18055 & 0.13902*** & -0.09197 & 0.05677***& -0.10169 & 0.21109***& -0.12753 & 0.08619***& -0.60224 \\ 214\textbf{Factory orders} & -0.08984 & 1.60278 & -0.00245 & 0.27924 & 0.03794 & 0.72946**& 0.03449** & -0.22021**& 0.03417 & 0.13810 & 0.05311* & -0.39455 \\ 215\textbf{Gross domestic product} & -0.23953 & -0.41313 & 0.01217 & 0.52640*** & -0.03592 & -0.69722***& -0.02595 & -0.27360***& -0.01096 & -0.27690 & -0.04993 & 0.03640 \\ 216\textbf{Housing starts} & 0.05990 & 1.01861 & -0.08970***& 0.19485 & 0.11759** & 0.16098 & 0.02760 & -0.06027 & 0.07192 & -0.38680* & 0.06048* & 0.68109 \\ 217\textbf{Industrial production} & -0.17177 & -3.74853*** & -0.04685 & -0.35670***& -0.06541 & -0.53071***& -0.01066 & -0.06344 & 0.10981** & 0.03150 & -0.03748 & -0.14918 \\ 218\textbf{New home sales} & -0.01003 & 0.17466 & 0.08614***& -0.57164***& 0.19530*** & 0.03185 & -0.02271 & -0.00031 & 0.03605 & 0.38720** & -0.00739 & 0.72281* \\ 219\textbf{Non-farm employment} & 0.05604 & 3.04568 & 0.28587***& -0.41916** & 0.30708*** & 0.00215 & 0.12292***& 0.10831 & 0.00414 & 0.23142 & 0.00350 & 0.36589 \\ 220\textbf{Pending home sales} & -0.40328 & -0.36436 & 0.11405***& -0.34236* & 0.03729 & -0.29147 & -0.00213 & -0.07714 & 0.04750 & -0.06213 & 0.06356* & -2.05880***\\ 221\textbf{Personal consumption} & 0.03999 & -2.13154 & 0.08202** & -0.28124* & 0.09221 & -0.17986 & 0.00857 & -0.04301 & 0.07635 & -0.09191 & 0.13395***& -0.64605 \\ 222\textbf{Personal income} & 0.29453 & -0.50060 & 0.07845***& -0.74149***& 0.08435 & -0.51294* & 0.00589 & 0.00579 & 0.08636* & -0.41902* & 0.06267* & 0.26214 \\ 223\textbf{Producer price index} & 0.09115 & -0.16130 & 0.09431***& -0.52717***& 0.18854*** & -0.68457**& -0.00799 & 0.01655 & 0.12402** & -0.19304 & -0.05209 & 0.16588 \\ 224\textbf{Trade balance} & 0.08689 & -1.05789 & 0.12133***& 0.00010 & 0.15697*** & 0.00010 & 0.02785 & 0.00010 & 0.12659***& 0.00010 & 0.01636 & 0.97422*** \\ 225\textbf{Crude Oil Weekly inventory} & 0.31257 & 0.00010 & & & & & & & & & & \\ 226\textbf{Natural Gas Weekly inventory} & & & & & & & & & & & 0.53582*** & 0.00010 \\ \midrule227228\textbf{Observations} & \multicolumn{2}{c}{167663} & \multicolumn{2}{c}{167808} & \multicolumn{2}{c}{167513} & \multicolumn{2}{c}{167800} & \multicolumn{2}{c}{99525} & \multicolumn{2}{c}{167472} \\ 229\textbf{$R^2$} & \multicolumn{2}{c}{0.036079} & \multicolumn{2}{c}{0.110085} & \multicolumn{2}{c}{0.072735} & \multicolumn{2}{c}{0.087602} & \multicolumn{2}{c}{0.047790} & \multicolumn{2}{c}{0.135707} \\ \bottomrule 230\end{tabular}231}232\begin{tablenotes}233\singlespacing234\footnotesize235This table presents estimates of eq. \ref{eqn:VarianceEqn} using the financialization variable $MM_NLS_t$, calculated with the money manager positions. The equation is $\sigma_{t}^2=\alpha_0+\alpha_1 \sigma_{t-1}^2+\alpha_2 \epsilon_t^2 +\sum_{m=1}^{22} \Phi_m D_{m,t}+\beta X_{i,t}+\sum_{k=1}^n \phi_k I_{kt} + \sum_{h=1}^{23} \rho_h D_h$ where $I_{kt}=D_{m,t} \cdot X_{i,t}$ and $D_{m,t}$ is a macro announcement dummy variable for release $m$. The period covered is from 2020-01-31 to 2022-06-10. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of financialization.236\end{tablenotes}237\end{sidewaystable}238239240\begin{sidewaystable}241\caption{Effects of Macro Announcements and Financialization (Swap Dealers only) on Futures Conditional Variance - COVID Sample Period}242\label{tab:macro_fin_sd_var_covid}243\centering244\resizebox{\linewidth}{!}{%245\begin{tabular}{@{}lllllllllllll@{}}246\toprule247\textbf{Commodities} & \multicolumn{2}{c}{\textbf{Crude Oil}} & \multicolumn{2}{c}{\textbf{Gold}} & \multicolumn{2}{c}{\textbf{Copper}} & \multicolumn{2}{c}{\textbf{Silver}} & \multicolumn{2}{c}{\textbf{Palladium}} & \multicolumn{2}{c}{\textbf{Natural Gas}} \\ \midrule248\textbf{Announcements} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} \\ \midrule 249\multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule250251\textbf{Initial jobless claims} & -0.02922 & 4.03858 & -0.00383 & -0.44581* & 0.13311*** & 0.68878 & 0.01537 & 0.61188** & 0.08235** & 0.30350 & -0.00311 & -0.38407 \\ 252\textbf{ADP Employment} & 0.89022 & -1.01674 & -0.14995* & -0.24589 & 0.06432** & -0.03518 & -0.03627 & 0.12394 & -0.15721* & 0.71733* & 0.04367 & -0.88879** \\ 253\textbf{CB Consumer} & -0.16354 & 2.14791 & -0.01169 & 0.24884 & 0.06540** & 1.38311*** & -0.02742 & 0.18772 & -0.11676 & 0.71702 & 0.05968 & 0.12444 \\ 254\textbf{Advance retail sales} & 0.44938 & -0.51159 & 0.12493 & -0.71539* & 0.18362*** & 0.93335** & -0.01610 & 0.80474*** & -0.14029 & 0.38779 & 0.04598 & 0.72141* \\ 255\textbf{Building permit} & -0.11462 & 1.52827 & -0.23660* & 0.13656 & 0.04223 & -0.36732 & 0.13936*** & -0.15939 & -0.03245 & 0.18738 & -0.00720 & 0.68219 \\ 256\textbf{Construction spending} & 0.35162 & -0.30770 & 0.08577 & 0.04062 & 0.01138 & 0.26210 & 0.02996 & -0.18551 & -0.04229 & -0.26997 & -0.00935 & 0.07279 \\ 257\textbf{Consumer credit} & -0.06546 & -0.55449 & 0.01866 & -1.87127*** & 0.05736* & 0.01452 & 0.02409 & 2.08176*** & 0.08719 & 0.01319 & 0.01232 & 0.49723 \\ 258\textbf{Consumer price index} & -0.11343 & 1.27139 & -0.52340*** & -0.22151 & 0.11112*** & -0.57925 & 0.25742*** & -0.01637 & -0.02735 & 0.16253 & -0.01576 & 0.43095 \\ 259\textbf{Durable goods orders} & 0.25844 & -3.94367 & -0.05658 & 0.27322 & 0.01283 & 0.81324** & -0.00975 & -0.03792 & 0.01667 & 0.88570** & -0.09599* & -0.18731 \\ 260\textbf{Existing home sales} & -0.77611 & 4.12467 & 0.13657 & -0.31927 & 0.09330*** & -0.22595 & 0.05463 & 0.31807 & 0.01878 & 0.02580 & 0.10396** & 0.92352** \\ 261\textbf{Factory orders} & 0.91990 & 1.70409 & -0.07701 & -0.03624 & 0.01073 & -0.67484 & -0.03092 & -0.44596* & 0.01082 & -0.22664 & -0.03744 & 1.07310** \\ 262\textbf{Gross domestic product} & 0.34501 & -1.88465 & 0.04424 & -0.64959* & 0.06082* & 1.02371*** & 0.08284* & 1.10052*** & 0.05347 & 0.40694 & -0.15514*** & 0.94600** \\ 263\textbf{Housing starts} & -0.40274 & 0.07790 & -0.21414* & -0.03151 & 0.04666 & -0.53977 & -0.18703*** & 0.05743 & -0.03861 & 0.80121* & -0.01860 & -0.43125 \\ 264\textbf{Industrial production} & -0.01230 & -2.49043 & -0.02319 & 0.20445 & -0.06506** & 0.25795 & -0.02684 & 0.15867 & -0.08525 & 0.04713 & 0.00632 & 0.29616 \\ 265\textbf{New home sales} & -0.07277 & 1.40281 & 0.41370*** & 1.62105*** & 0.16036*** & 0.36746 & 0.02375 & 0.47451* & 0.03870 & -0.38979 & -0.01679 & -0.90365** \\ 266\textbf{Non-farm employment} & 0.38153 & -0.79927 & 0.73582*** & 0.87849*** & 0.33138*** & 1.02249** & 0.04335 & -0.45437* & 0.13090 & -0.34504 & 0.09655* & 0.66310 \\ 267\textbf{Pending home sales} & -0.16135 & 2.17731 & 0.33625*** & -0.09161 & 0.08945*** & -0.37429 & 0.08860** & 0.17491 & 0.14610* & 0.30697 & 0.01209 & 2.49867*** \\ 268\textbf{Personal consumption} & 0.44670 & -0.26628 & -0.00970 & -0.25217 & 0.01905 & -0.42262 & -0.03202 & 0.21254 & 0.00779 & 0.24570 & -0.10497** & 2.07186*** \\ 269\textbf{Personal income} & -0.05879 & -3.64050 & -0.05739 & 1.06157*** & 0.03155 & 1.21226*** & -0.03398 & -0.03706 & 0.02667 & 0.69591 & -0.11986** & -0.22351 \\ 270\textbf{Producer price index} & -0.73060 & 3.86034 & 0.40256*** & -0.23286 & 0.16360*** & 1.00912** & -0.00112 & 0.23935 & -0.07333 & 0.37691 & -0.02853 & -0.98772** \\ 271\textbf{Trade balance} & 0.88337 & 0.15135 & -0.05401 & 0.00010 & 0.08634*** & 0.00010 & -0.00930 & 0.00010 & 0.02746 & 0.00010 & 0.10671** & -0.02417 \\ 272\textbf{Crude Oil Weekly inventory} & 0.18957 & 0.00010 & & & & & & & & & & \\ 273\textbf{Natural Gas Weekly inventory} & & & & & & & & & & & 0.55306*** & 0.00010 \\ \midrule274275\textbf{Observations} & \multicolumn{2}{c}{167663} & \multicolumn{2}{c}{167808} & \multicolumn{2}{c}{167513} & \multicolumn{2}{c}{167800} & \multicolumn{2}{c}{99525} & \multicolumn{2}{c}{167472} \\ 276\textbf{$R^2$} & \multicolumn{2}{c}{0.031995} & \multicolumn{2}{c}{0.09131} & \multicolumn{2}{c}{0.073455} & \multicolumn{2}{c}{0.085618} & \multicolumn{2}{c}{0.043910} & \multicolumn{2}{c}{0.135931} \\ \bottomrule 277\end{tabular}278}279\begin{tablenotes}280\singlespacing281\footnotesize282This table presents estimates of eq. \ref{eqn:VarianceEqn} using the financialization variable $SWAP_NLS_t$, calculated with the swap dealer positions. The equation is $\sigma_{t}^2=\alpha_0+\alpha_1 \sigma_{t-1}^2+\alpha_2 \epsilon_t^2 +\sum_{m=1}^{22} \Phi_m D_{m,t}+\beta X_{i,t}+\sum_{k=1}^n \phi_k I_{kt} + \sum_{h=1}^{23} \rho_h D_h$ where $I_{kt}=D_{m,t} \cdot X_{i,t}$ and $D_{m,t}$ is a macro announcement dummy variable for release $m$. The period covered is from 2020-01-31 to 2022-06-10. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of financialization.283\end{tablenotes}284\end{sidewaystable}285286287\begin{sidewaystable}288\caption{Effects of Macro Announcements and Financialization on Futures Bid-Ask Spreads - COVID Sample Period}289\label{tab:macro_fin_fut_spread_covid}290\centering291\resizebox{\linewidth}{!}{%292\begin{tabular}{@{}lllllllllllll@{}}293\toprule294\textbf{Commodities} & \multicolumn{2}{c}{\textbf{Crude Oil}} & \multicolumn{2}{c}{\textbf{Gold}} & \multicolumn{2}{c}{\textbf{Copper}} & \multicolumn{2}{c}{\textbf{Silver}} & \multicolumn{2}{c}{\textbf{Palladium}} & \multicolumn{2}{c}{\textbf{Natural Gas}} \\ \midrule295\textbf{Announcements} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule 296\multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule297298\textbf{Initial jobless claims} & -8.45457* & 32.63860 & -32.15185 & 68.58676 & 2.69425 & -10.34599 & -3.69442 & -0.68497 & 17.97636 & -38.23165 & -2.18300 & 16.07627 \\ 299\textbf{ADP Employment} & -7.01380 & 27.57371 & 2.75782 & -15.96412 & -6.32736 & 23.38047 & -1.04991 & 5.47512 & 10.51878 & -83.44112 & -6.04361 & -15.95091 \\ 300\textbf{CB Consumer} & 1.72193 & -8.29055 & 0.20613 & 0.67657 & -1.33193 & 8.92511 & -3.85447 & 14.70581 & -12.61134 & -0.93962 & -2.02269 & 32.67489 \\ 301\textbf{Advance retail sales} & 0.47142 & -2.97107 & -12.26401 & 22.01365 & 6.34823 & -43.34305 & -5.43414 & 3.75827 & 31.56759 & -174.90854* & -8.11642 & 16.35424 \\ 302\textbf{Building permit} & 6.89017 & -27.68956 & 3.39690 & -7.73748 & -1.74443 & 13.41171 & -4.95466 & 3.63697 & -14.84855 & 0.76456 & -3.87804 & 1.60257 \\ 303\textbf{Construction spending} & -2.61608 & 7.03623 & -13.45280 & 4.24283 & 1.96312 & -29.53599 & 0.94003 & 46.09774 & -11.47392 & 32.35733 & -12.96641*** & 1.97118 \\ 304\textbf{Consumer credit} & 2.41314 & -9.94837 & 7.78231 & -15.71571 & -2.71320 & 7.74770 & 0.59937 & 3.02055 & -25.74707 & -20.31381 & -2.07031 & 23.61450 \\ 305\textbf{Consumer price index} & 7.20494 & -25.29491 & -3.42521 & -1.65148 & -39.28089*** & -145.43158*** & -11.52600 & 38.83663 & -32.67489 & -46.75416 & 2.77011 & 24.58328 \\ 306\textbf{Durable goods orders} & -9.89192 & 37.28075 & -29.75619 & 69.17601 & 0.87449 & -13.73658 & -0.82563 & -54.12952* & 20.87349 & 128.40773* & -11.41486** & -52.47868 \\ 307\textbf{Existing home sales} & -0.46522 & 0.34583 & 3.92832 & -6.46341 & 16.71948 & -67.10920 & 0.31434 & 9.70195 & 16.71922 & -8.48132 & -17.03243*** & -178.54859* \\ 308\textbf{Factory orders} & -15.48047 & 74.63383 & 44.16864 & -105.93270 & 15.54016 & -74.27283 & 4.97664 & 45.23353 & -2.59182 & 11.01312 & -3.79898 & 64.35242 \\ 309\textbf{Gross domestic product} & -1.58999 & 5.70127 & -43.82863 & 88.03500 & -1.47836 & -1.12038 & -0.70136 & -5.97657 & -7.17208 & 6.66107 & -11.27067* & -130.33774 \\ 310\textbf{Housing starts} & 6.12910 & -24.96061 & -2.81247 & 10.02873 & -3.53717 & 21.79738 & -5.20147 & 5.35973 & -16.49801 & -7.01299 & -4.03108 & -5.86341 \\ 311\textbf{Industrial production} & 2.91449 & -12.96496 & 48.87900 & -105.74691 & 0.00122 & -2.30832 & 4.95540 & 35.35167 & 2.15082 & -11.17841 & 1.06505 & 73.51929 \\ 312\textbf{New home sales} & -24.01000* & -99.88216* & -11.07115 & 30.45099 & -9.11509 & 62.63078 & -1.48689 & 0.20277 & 10.26320 & -73.53129 & 7.81899 & 185.08587* \\ 313\textbf{Non-farm employment} & -2.96793 & 11.23798 & 43.03459 & -112.42904 & -63.21266*** & -338.05257*** & -3.33554 & 12.29767 & -16.32851 & 41.11426 & 0.03300 & 79.67313 \\ 314\textbf{Pending home sales} & -0.84391 & 2.97208 & -164.00384*** & -385.97966*** & 14.75059 & -72.72820 & -5.07796 & 9.09510 & -27.61151* & 15.32589 & -2.42626 & 5.97021 \\ 315\textbf{Personal consumption} & 1.86327 & -0.94651 & -140.08397*** & -394.38524*** & -39.02233** & -135.70025* & 1.60913 & -11.74366 & -6.64960 & -88.63991 & -3.03578 & 67.46156 \\ 316\textbf{Personal income} & -10.61629 & 46.60744 & -83.54386* & -227.64691** & -59.19209*** & -215.96703*** & -4.67215 & -5.26524 & -11.94332 & -78.55460 & -2.97292 & 41.70955 \\ 317\textbf{Producer price index} & 1.70179 & -16.86221 & 7.01259 & -17.88897 & -10.70080 & 15.75020 & 0.00117 & -10.70497 & -9.80993 & 56.90673 & 0.98973 & -59.24571 \\ 318\textbf{Trade balance} & -3.97475 & 14.39262 & -92.13706* & -218.06267* & 2.84071 & -15.06097 & -4.84260 & 9.71728 & 35.51784 & 133.79336 & -0.60358 & 16.84096 \\ 319\textbf{Crude Oil Weekly inventory} & -10.02190** & -36.44271** & & & & & & & & & & \\ 320\textbf{Natural Gas Weekly inventory} & & & & & & & & & & & -4.57990* & -7.32267 \\ \midrule321\textbf{Observations} & \multicolumn{2}{c}{166685} & \multicolumn{2}{c}{166719} & \multicolumn{2}{c}{166731} & \multicolumn{2}{c}{166815} & \multicolumn{2}{c}{99034} & \multicolumn{2}{c}{166546} \\ 322\textbf{$R^2$} & \multicolumn{2}{c}{0.001149} & \multicolumn{2}{c}{0.001423} & \multicolumn{2}{c}{0.000525} & \multicolumn{2}{c}{0.000218} & \multicolumn{2}{c}{0.000397} & \multicolumn{2}{c}{0.003331} \\ \bottomrule 323\end{tabular}324}325\begin{tablenotes}326 \singlespacing327 \footnotesize328 This table presents estimates of the equation $R_{\text{SPREAD}}_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m D_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (D_{m,t} \cdot X_t)+\beta R_{\text{SPREAD}}_{t-\tau}^{t}+\epsilon_{t}$, analyzing the effects of financialization and macroeconomic announcements on the bid-ask spread using the financialization variable $PCA_t$. The period covered is from 2020-01-31 to 2022-06-10. The $\gamma_m$ coefficients capture the instantaneous change in the bid-ask spread when a macroeconomic announcement occurs. The $\delta$ coefficient represents the effect of the financialization variable $PCA_t$. The $\theta_m$ coefficients capture the interaction effect between macroeconomic announcements and financialization. The $\beta$ coefficient represents the effect of the lagged bid-ask spread. 329\end{tablenotes}330\end{sidewaystable}331332333\begin{sidewaystable}334\caption{Effects of Macro Announcements and Financialization (Money Managers only) on Futures Bid-Ask Spreads - COVID Sample Period}335\label{tab:macro_fin_mm_fut_spread_covid}336\centering337\resizebox{\linewidth}{!}{%338\begin{tabular}{@{}lllllllllllll@{}}339\toprule340\textbf{Commodities} & \multicolumn{2}{c}{\textbf{Crude Oil}} & \multicolumn{2}{c}{\textbf{Gold}} & \multicolumn{2}{c}{\textbf{Copper}} & \multicolumn{2}{c}{\textbf{Silver}} & \multicolumn{2}{c}{\textbf{Palladium}} & \multicolumn{2}{c}{\textbf{Natural Gas}} \\ \midrule341\textbf{Announcements} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule 342\multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule343\textbf{Initial jobless claims} & -6.53749 & 36.99070 & -5.09100 & 8.51443 & 3.41174 & -17.48035 & -3.40548 & -2.41912 & 19.37294 & -11.70774 & -2.81559 & -11.19065 \\ 344\textbf{ADP Employment} & -2.54564 & 12.16488 & -0.27605 & -23.53318 & 0.20027 & -4.49908 & -1.23394 & 6.01069 & 25.27774 & -127.94447* & -5.27134 & -23.83603 \\ 345\textbf{CB Consumer} & -2.18130 & 12.93870 & -45.84963** & -249.22187** & -0.02745 & 4.28165 & -4.10521 & 13.23897 & -12.91633 & 1.48671 & -3.68272 & -21.06597 \\ 346\textbf{Advance retail sales} & -0.35744 & 0.60072 & 12.70640 & -101.23214 & -0.61295 & -16.17703 & -6.01125 & 5.65043 & 18.50305 & -273.57349*** & -5.83752 & -135.71818 \\ 347\textbf{Building permit} & 1.99415 & -9.94633 & -2.29627 & 13.91138 & 4.82895 & -18.77987 & -5.04469 & 3.49561 & -16.69684 & 13.34416 & -4.15163 & -17.87371 \\ 348\textbf{Construction spending} & -2.75408 & 10.65215 & -11.46947 & -2.50924 & -2.52379 & -11.13408 & 0.78212 & 36.65732 & -16.15920 & 44.82008 & -13.10610*** & -59.57002 \\ 349\textbf{Consumer credit} & 0.70337 & -4.51235 & 11.79169 & -57.03598 & -1.09255 & 1.01969 & 0.49895 & 3.20891 & -22.23673 & -35.21557 & -3.29733 & -8.11439 \\ 350\textbf{Consumer price index} & -4.69999 & 51.54822 & -5.81072 & 7.74688 & -26.55744*** & -122.68944*** & -13.34444 & 40.37926 & -27.29220 & -60.56031 & 1.93294 & 1.46551 \\ 351\textbf{Durable goods orders} & -19.22690** & -118.46268** & 17.25772 & -109.15007 & -1.05906 & -6.50919 & -0.64667 & -42.91178 & 5.24254 & -165.86851** & -8.48567* & -53.43413 \\ 352\textbf{Existing home sales} & -1.22338 & 4.97090 & 3.87388 & -14.80845 & 15.17943* & -79.97844* & 0.10610 & 9.01045 & 21.46227 & -33.72955 & -8.30693 & -79.67399 \\ 353\textbf{Factory orders} & -4.76485 & 41.39189 & 19.49683 & -102.68878 & 5.78866 & -44.82403 & 5.03609 & 33.39901 & -3.90920 & 7.89477 & -6.88273 & -23.95548 \\ 354\textbf{Gross domestic product} & -1.04247 & 5.06662 & -8.41631 & 9.68084 & 0.71472 & -12.75077 & -0.58138 & -5.05292 & -9.61105 & 50.03523 & -2.92402 & -125.74563 \\ 355\textbf{Housing starts} & 2.05682 & -11.80710 & -2.95333 & 26.21003 & 1.34557 & 0.91365 & -5.35574 & 5.12633 & -17.75742 & 5.21089 & -3.97261 & -18.35345 \\ 356\textbf{Industrial production} & 0.35193 & -1.63075 & 23.54541 & -104.71462 & -1.09340 & 3.33982 & 4.44746 & 33.67293 & 3.49871 & -10.35028 & -1.81734 & -4.53699 \\ 357\textbf{New home sales} & 7.92804 & -45.17302 & -1.18304 & 16.09251 & -4.08212 & 54.53273 & -1.44261 & -0.18358 & 18.08228 & -82.06347 & -0.78691 & 10.34050 \\ 358\textbf{Non-farm employment} & -0.82310 & 1.81903 & 1.58473 & -30.55903 & -23.72445*** & -227.51036*** & -3.86881 & 13.19033 & -25.23743 & 79.33754 & -3.17593 & -0.45983 \\ 359\textbf{Pending home sales} & -0.02295 & -1.11790 & -46.49598*** & -246.06299** & 3.57038 & -29.84477 & -5.31654 & 8.30615 & -30.47064 & 23.53088 & -2.51547 & 13.68996 \\ 360\textbf{Personal consumption} & 0.01625 & 13.82409 & -29.32162** & -315.62711*** & -47.47106*** & -204.48894*** & 2.26731 & -13.85110 & 3.13005 & -100.63543 & -10.62189* & -143.20008** \\ 361\textbf{Personal income} & -4.67095 & 35.99125 & -12.11663 & -128.20470* & -63.31274*** & -289.00279*** & -4.44401 & -6.07123 & -0.37210 & -110.28908 & -6.55370 & 55.53102 \\ 362\textbf{Producer price index} & 0.59074 & -21.44445 & 1.19636 & -8.48787 & -8.07756 & 6.48243 & 0.41099 & -11.28126 & -14.63389 & 62.18375 & 3.17994 & -21.68273 \\ 363\textbf{Trade balance} & -1.32886 & 3.12729 & 6.92187 & -37.58044 & 1.17240 & -11.13297 & -4.80578 & 7.07448 & 20.95441 & 150.55476 & -1.27918 & -1.62928 \\ 364\textbf{Crude Oil Weekly inventory} & -8.79628 & 45.75521 & & & & & & & & & & \\ 365\textbf{Natural Gas Weekly inventory} & & & & & & & & & & & -4.19533* & -26.06610 \\ 366\midrule367\textbf{Observations} & \multicolumn{2}{c}{166685} & \multicolumn{2}{c}{166719} & \multicolumn{2}{c}{166731} & \multicolumn{2}{c}{166815} & \multicolumn{2}{c}{99034} & \multicolumn{2}{c}{166546} \\ 368\textbf{$R^2$} & \multicolumn{2}{c}{0.000479} & \multicolumn{2}{c}{0.000691} & \multicolumn{2}{c}{0.000759} & \multicolumn{2}{c}{0.000220} & \multicolumn{2}{c}{0.000466} & \multicolumn{2}{c}{0.001290} \\ 369\bottomrule 370\end{tabular}371}372\begin{tablenotes}373 \singlespacing374 \footnotesize375 This table presents estimates of the equation $R_{\text{SPREAD}}_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m D_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (D_{m,t} \cdot X_t)+\beta R_{\text{SPREAD}}_{t-\tau}^{t}+\epsilon_{t}$, analyzing the effects of financialization and macroeconomic announcements on the bid-ask spread using the financialization variable $MM_NLS_t$, calculated with the money manager positions. The period covered is from 2020-01-31 to 2022-06-10. The $\gamma_m$ coefficients capture the instantaneous change in the bid-ask spread when a macroeconomic announcement occurs. The $\delta$ coefficient represents the effect of the financialization variable $MM_NLS_t$. The $\theta_m$ coefficients capture the interaction effect between macroeconomic announcements and financialization. The $\beta$ coefficient represents the effect of the lagged bid-ask spread. 376\end{tablenotes}377\end{sidewaystable}378379380\begin{sidewaystable}381\caption{Effects of Macro Announcements and Financialization (Swap Dealers only) on Futures Bid-Ask Spreads - COVID Sample Period}382\label{tab:macro_fin_sd_fut_spread_covid}383\centering384\resizebox{\linewidth}{!}{%385\begin{tabular}{@{}lllllllllllll@{}}386\toprule387\textbf{Commodities} & \multicolumn{2}{c}{\textbf{Crude Oil}} & \multicolumn{2}{c}{\textbf{Gold}} & \multicolumn{2}{c}{\textbf{Copper}} & \multicolumn{2}{c}{\textbf{Silver}} & \multicolumn{2}{c}{\textbf{Palladium}} & \multicolumn{2}{c}{\textbf{Natural Gas}} \\ \midrule388\textbf{Announcements} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule 389\multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule390\textbf{Initial jobless claims} & 10.24187 & 54.86243 & -19.79900 & -47.94679 & 1.04395 & 11.95376 & 0.62635 & -29.73601 & -0.94417 & 97.30547 & -1.47409 & -24.50216 \\ 391\textbf{ADP Employment} & 10.29355 & 54.30388 & -20.42843 & -51.03246 & -3.41656 & -41.32937 & 9.60909 & -68.44492 & -43.34301 & 300.61380* & -2.79075 & -30.87692 \\ 392\textbf{CB Consumer} & -93.69279*** & 458.93758*** & -112.66663* & 330.74749* & 0.70623 & 0.26801 & 11.04775 & -89.06956 & -5.85562 & -24.73806 & -0.82104 & -41.16415 \\ 393\textbf{Advance retail sales} & 34.00074 & 169.06349 & 48.22101 & 157.71656 & -3.04485 & 6.14432 & 2.72265 & -50.99529 & -174.25599*** & 632.68492*** & -5.57590 & -33.72617 \\ 394\textbf{Building permit} & 2.40051 & 10.26005 & -21.64306 & -65.43971 & -2.03091 & -69.35593 & 11.64191 & -113.75751 & -20.81458 & 32.81489 & -1.59690 & -35.80282 \\ 395\textbf{Construction spending} & 11.35242 & 60.90826 & -57.88134 & -138.98892 & -4.73548 & -5.03573 & 15.79675 & -79.49194 & -8.78460 & -8.46941 & -10.92327*** & 3.32543 \\ 396\textbf{Consumer credit} & -11.51170 & -58.97665 & -4.14107 & -16.16466 & -1.95637 & -19.32312 & 3.04256 & -16.03746 & -46.57863 & 102.99198 & -1.22397 & -31.05955 \\ 397\textbf{Consumer price index} & 45.05825 & 218.46376 & 14.38145 & 57.41763 & -9.65485* & 88.71944 & 8.75704 & -97.35713 & -57.20775 & 120.35114 & 5.58330 & -66.19648 \\ 398\textbf{Durable goods orders} & 10.51353 & 58.94425 & -36.54239 & -103.95797 & -1.95416 & 4.36544 & -35.37134** & 194.14464* & 77.56131 & -270.22198 & -7.09413 & -13.91533 \\ 399\textbf{Existing home sales} & 5.62694 & 29.94909 & -20.82648 & -68.15208 & 3.39694 & 48.06118 & 4.48249 & -22.91333 & 6.25310 & 53.85716 & -12.91688** & 66.49211 \\ 400\textbf{Factory orders} & -9.76512 & -51.85161 & -74.81358 & -229.86249 & 0.09464 & 46.53674 & -44.22186*** & 231.73259** & 16.83545 & -90.41738 & 0.67131 & -111.96233 \\ 401\textbf{Gross domestic product} & 1.38827 & 7.88813 & -11.18460 & -11.74147 & 5.21688 & 126.46891 & 4.77117 & -45.00653 & 10.67219 & -77.56816 & -4.94355 & -26.94017 \\ 402\textbf{Housing starts} & -0.79973 & -4.70638 & -49.82587 & -154.17195 & -1.92575 & -65.07468 & 11.45273 & -113.04466 & -25.09012 & 45.89718 & -1.66228 & -32.69808 \\ 403\textbf{Industrial production} & -9.04338 & -46.23321 & -192.28574** & 569.08575** & -0.38470 & 2.10315 & 0.66317 & 45.23953 & -9.28254 & 66.17973 & -0.00280 & -32.91286 \\ 404\textbf{New home sales} & 1.81114 & 2.99737 & -32.14284 & -102.23884 & 2.49281 & -37.07252 & -0.25835 & -7.75060 & -19.21790 & 143.30837 & 8.11365 & -136.05671 \\ 405\textbf{Non-farm employment} & -0.09881 & 1.38195 & -41.41392 & -110.67017 & -0.41960 & 319.36321*** & 8.29837 & -71.76987 & -23.71044 & 37.26705 & 0.03030 & -60.23125 \\ 406\textbf{Pending home sales} & 3.39829 & 16.95587 & -230.69323*** & 682.50102*** & -5.85800 & 155.38021** & 5.92134 & -65.65184 & -4.37531 & -109.72612 & -4.79465 & 43.67730 \\ 407\textbf{Personal consumption} & 21.90717 & 95.65292 & -46.37971 & -197.44690 & 11.39043 & 93.80840 & 17.45292 & -111.85795 & -46.22900 & 185.56535 & -1.86717 & -64.54461 \\ 408\textbf{Personal income} & 18.53030 & 87.08505 & -37.00806 & -142.20539 & -15.22461** & 134.75459** & 9.42308 & -96.61453 & -53.05446 & 204.31813 & -1.77619 & -49.21373 \\ 409\textbf{Producer price index} & 23.95203 & 125.03180 & 12.29022 & 38.56243 & -7.92362 & -14.81001 & -16.94245 & 109.19877 & 21.59151 & -144.39402 & 1.19073 & 28.92005 \\ 410\textbf{Trade balance} & 6.96130 & 37.26328 & 30.02162 & 89.82014 & -1.29340 & -11.27194 & 13.88305 & -119.16198 & 69.05956 & -131.54404 & -0.98567 & -3.43898 \\ 411\textbf{Crude Oil Weekly inventory} & -22.17392** & 117.15902** & & & & & & & & & & \\ 412\textbf{Natural Gas Weekly inventory} & & & & & & & & & & & -1.46102 & -44.32457 \\ 413\midrule414\textbf{Observations} & \multicolumn{2}{c}{166685} & \multicolumn{2}{c}{166719} & \multicolumn{2}{c}{166731} & \multicolumn{2}{c}{166815} & \multicolumn{2}{c}{99034} & \multicolumn{2}{c}{166546} \\ 415\textbf{$R^2$} & \multicolumn{2}{c}{0.00114} & \multicolumn{2}{c}{0.001013} & \multicolumn{2}{c}{0.000521} & \multicolumn{2}{c}{0.002449} & \multicolumn{2}{c}{0.000819} & \multicolumn{2}{c}{0.008131} \\ 416\bottomrule 417\end{tabular}418}419\begin{tablenotes}420 \singlespacing421 \footnotesize422 This table presents estimates of the equation $R_{\text{SPREAD}}_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m D_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (D_{m,t} \cdot X_t)+\beta R_{\text{SPREAD}}_{t-\tau}^{t}+\epsilon_{t}$, analyzing the effects of financialization and macroeconomic announcements on the bid-ask spread using the financialization variable $SWAP_NLS_t$, calculated with the swap dealer positions. The period covered is from 2020-01-31 to 2022-06-10. The $\gamma_m$ coefficients capture the instantaneous change in the bid-ask spread when a macroeconomic announcement occurs. The $\delta$ coefficient represents the effect of the financialization variable $SWAP_NLS_t$. The $\theta_m$ coefficients capture the interaction effect between macroeconomic announcements and financialization. The $\beta$ coefficient represents the effect of the lagged bid-ask spread.423\end{tablenotes}424\end{sidewaystable}425426427\begin{sidewaystable}428\caption{Effects of Macro Announcements and Financialization (NLS) on Futures Returns - COVID Sample Period}429\label{tab:macro_fin_nls_fut_returns_covid}430\centering431\resizebox{\linewidth}{!}{%432\begin{tabular}{@{}lllllllllllll@{}}433\toprule434\textbf{Commodities} & \multicolumn{2}{c}{\textbf{Crude Oil}} & \multicolumn{2}{c}{\textbf{Gold}} & \multicolumn{2}{c}{\textbf{Copper}} & \multicolumn{2}{c}{\textbf{Silver}} & \multicolumn{2}{c}{\textbf{Palladium}} & \multicolumn{2}{c}{\textbf{Natural Gas}} \\ \midrule435\textbf{Announcements} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} & \multicolumn{1}{c}{$\gamma_m$} & \multicolumn{1}{c}{$\theta_m$} \\ \midrule 436\multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule437\textbf{Initial jobless claims} & -0.05304 & 0.15319 & 0.67456*** & -1.29179*** & 0.07436 & -0.34916 & -0.01207 & -0.07707 & -0.01584 & 0.07139 & -0.11231** & -1.56397*** \\ 438\textbf{ADP Employment} & 0.22435 & -0.60967 & -0.44274*** & 0.90844*** & 0.70483*** & -3.01802*** & 0.02568 & 0.16286 & 0.00351 & -0.01967 & -0.12050** & -2.93345** \\ 439\textbf{CB Consumer} & 0.01593 & -0.05564 & -0.31780*** & 0.71482** & -0.00624 & 0.06684 & -0.02688 & 0.13241 & -0.02079 & 0.10325 & 0.06404 & 0.39286 \\ 440\textbf{Advance retail sales} & -0.05187 & 0.33324 & -0.41640*** & 0.96100*** & 0.20226** & -0.82729* & 0.01210 & -0.07264 & -0.01557 & 0.09594 & -0.02402 & -0.34742 \\ 441\textbf{Building permit} & 0.03941 & 0.03705 & -0.05159 & 0.11245 & -0.11363* & 0.40468 & -0.03852** & 0.16867** & 0.01120 & 0.00524 & 0.14075*** & 0.99814* \\ 442\textbf{Construction spending} & 0.65898** & -2.88345** & -0.03630 & 0.03066 & 0.07823 & -0.48804 & 0.01588 & -0.16719 & 0.01435 & 0.11400 & -0.13218* & -2.26882** \\ 443\textbf{Consumer credit} & -0.03940 & 0.12984 & -0.04807 & 0.10213 & 0.09214** & -0.39242** & -0.00315 & 0.06116 & -0.01061 & 0.13497 & -0.01933 & -0.12264 \\ 444\textbf{Consumer price index} & 0.31416* & -1.56755** & -1.09536*** & 2.65481*** & -0.19543** & 0.46196 & -0.08642*** & 0.46350** & -0.08641*** & 0.22573* & -0.01456 & 0.15191 \\ 445\textbf{Durable goods orders} & 0.35070 & -1.58708 & -0.48512*** & 1.08308*** & 0.22685* & -1.10379* & -0.03552 & 0.11180 & 0.02170 & -0.34540 & 0.00889 & -0.33582 \\ 446\textbf{Existing home sales} & 0.37743 & -1.89630* & -0.10240 & 0.30048 & 0.24303** & -1.09853** & -0.02365 & 0.10840 & 0.03241 & -0.18899 & 0.08941 & -0.06124 \\ 447\textbf{Factory orders} & 0.20435 & -0.68398 & -0.02856 & 0.01114 & -0.06706 & 0.21191 & 0.04305* & 0.09729 & 0.02654 & -0.31984 & 0.26264** & 0.86038 \\ 448\textbf{Gross domestic product} & -0.20342 & 0.86461 & -0.67894*** & 1.57151*** & -0.18048 & 0.75512 & -0.05325*** & 0.21315** & -0.05130** & -0.03363 & -0.05500** & -0.40989 \\ 449\textbf{Housing starts} & 0.36735** & -1.80380** & -0.03907 & 0.08773 & -0.04173 & 0.00353 & -0.02956 & 0.16777 & 0.02437 & -0.28613 & 0.16296*** & 2.02325*** \\ 450\textbf{Industrial production} & -0.17304 & 0.64564 & -0.17486** & 0.50872*** & -0.00921 & -0.19491 & -0.02577 & 0.08019 & 0.00533 & 0.04843 & -0.04705 & -0.36049 \\ 451\textbf{New home sales} & -0.23104 & 0.98392 & -0.25247** & 0.63549** & 0.06011 & -0.42542 & -0.00855 & 0.01137 & 0.02505 & -0.06303 & 0.00508 & 1.08808* \\ 452\textbf{Non-farm employment} & -0.27310 & 1.19546 & -2.14386*** & 4.54338*** & 0.78667*** & -3.34173** & -0.02520*** & 0.52836* & 0.02156 & -0.18188 & -0.19984** & -5.81269** \\ 453\textbf{Pending home sales} & -0.06442 & 0.34858 & -0.03672 & 0.05687 & -0.00501 & 0.03113 & 0.00715 & -0.00186 & -0.01095 & 0.15398 & -0.05828 & -0.67781 \\ 454\textbf{Personal consumption} & 0.11481 & -0.56463 & -0.24542*** & 0.49336*** & -0.00707 & 0.05437 & 0.00234 & -0.00638 & 0.01645 & 0.12192 & 0.05777 & 2.02525** \\ 455\textbf{Personal income} & -0.04283 & 0.05470 & 0.39444 & -0.86742 & -0.01019 & 0.01571 & -0.01784* & 0.27411* & -0.00134 & -0.13281 & -0.13135 & -3.18790 \\ 456\textbf{Producer price index} & -0.16712 & 0.84336 & -0.15421 & 0.30151 & -0.03584 & 0.11642 & 0.00967 & -0.04937 & 0.02245 & 0.20957 & -0.03629 & 0.43642 \\ 457\textbf{Trade balance} & -0.73246 & 2.12028 & -0.33167 & 0.53286 & -0.21421 & -0.08428 & -0.04745 & -0.53524 & -0.58781*** & 0.60070** & -0.07978 & 6.76062** \\ 458\textbf{Crude Oil Weekly inventory} & -0.06204 & -0.71763** & & & & & & & & & & \\ 459\textbf{Natural Gas Weekly inventory} & & & & & & & & & & & -0.14237*** & 0.47267 \\ 460\midrule461\textbf{Observations} & \multicolumn{2}{c}{167663} & \multicolumn{2}{c}{167808} & \multicolumn{2}{c}{167513} & \multicolumn{2}{c}{167800} & \multicolumn{2}{c}{99525} & \multicolumn{2}{c}{167472} \\ 462\textbf{$R^2$} & \multicolumn{2}{c}{0.004142} & \multicolumn{2}{c}{0.003897} & \multicolumn{2}{c}{0.001678} & \multicolumn{2}{c}{0.000988} & \multicolumn{2}{c}{0.001109} & \multicolumn{2}{c}{0.001805} \\ 463\bottomrule 464\end{tabular}465}466\begin{tablenotes}467\singlespacing468\footnotesize469This table presents estimates of eq. \ref{eq:Model 1}, $R_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m S_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (S_{m,t} \cdot X_t)+\beta R_{t-\tau}^{t}+\epsilon_{t}$ using the method proposed by \citet{kurov2019price} and financialization variable $X_{t,2}=NLS_t$. The period covered is from 2020-01-31 to 2022-06-10. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred and especially if that announcement was unanticipated. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of financialization.470\end{tablenotes}471\end{sidewaystable}472473474475\begin{sidewaystable}476\caption{Effects of Macro Announcements and Financialization (NLS) on Futures Conditional Variance - COVID Sample Period}477\label{tab:macro_fin_nls_var_covid}478\centering479\resizebox{\linewidth}{!}{%480\begin{tabular}{@{}lllllllllllll@{}}481\toprule482\textbf{Commodities} & \multicolumn{2}{c}{\textbf{Crude Oil}} & \multicolumn{2}{c}{\textbf{Gold}} & \multicolumn{2}{c}{\textbf{Copper}} & \multicolumn{2}{c}{\textbf{Silver}} & \multicolumn{2}{c}{\textbf{Palladium}} & \multicolumn{2}{c}{\textbf{Natural Gas}} \\ \midrule483\textbf{Announcements} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} & \multicolumn{1}{c}{\textbf{$\Phi_m$}} & \multicolumn{1}{c}{\textbf{$\phi_m$}} \\ \midrule 484\multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule485\textbf{Initial jobless claims} & -0.09636 & 3.35298* & 0.02294 & -0.15107 & 0.19983*** & -1.07585*** & 0.01309 & -0.04209 & 0.08340*** & -0.14983 & 0.00017 & 0.15059 \\ 486\textbf{ADP Employment} & 0.65757* & -4.72734*** & 0.06518 & -0.34747* & 0.28162*** & -0.14248 & 0.06963*** & -0.06428 & -0.09531** & -0.20166 & 0.01880 & 0.66031 \\ 487\textbf{CB Consumer} & -0.94417*** & -0.62403 & 0.21887*** & -0.52652** & 0.10017 & -1.30271*** & 0.00055 & -0.06044 & 0.03359 & -0.23366 & 0.02124 & 0.04480 \\ 488\textbf{Advance retail sales} & 0.12243 & -2.33292 & 0.26516** & -0.68949*** & 0.41279*** & -0.52480 & 0.02151 & -0.28203*** & 0.00377 & -0.22670 & 0.05886 & -0.29694 \\ 489\textbf{Building permit} & 0.48651 & 1.59467 & -0.28847*** & -0.00757 & 0.11495 & 0.26274 & 0.02049 & 0.04902 & 0.04828 & -0.03058 & 0.03644 & -0.69603 \\ 490\textbf{Construction spending} & -0.30513 & -1.01085 & 0.04250 & -0.05809 & -0.03163 & -0.22089 & -0.00162 & 0.07112 & -0.00531 & 0.16762 & 0.00908 & -0.03468 \\ 491\textbf{Consumer credit} & 0.20470 & -1.53043 & 0.02835 & -0.10382 & 0.09498 & -0.71454* & -0.01401 & -0.32437*** & 0.02753 & 0.08909 & 0.01673 & -0.33224 \\ 492\textbf{Consumer price index} & 0.30876 & 0.61810 & 0.14219 & -0.02822 & 0.26772*** & 0.15355 & 0.13431*** & -0.17237* & -0.02796 & -0.04975 & 0.01102 & -0.71745 \\ 493\textbf{Durable goods orders} & -0.14714 & 1.43927 & 0.03029 & 0.21013 & 0.00619 & -0.58963* & -0.03130* & -0.07651 & 0.04970 & -0.06524 & -0.10203** & -0.07702 \\ 494\textbf{Existing home sales} & -0.21432 & 0.77755 & -0.04377 & 0.29942 & 0.18678** & 0.04353 & 0.05590*** & -0.09597 & 0.18962*** & -0.06904 & 0.08217* & -1.33778** \\ 495\textbf{Factory orders} & -0.10802 & -0.49357 & -0.09774 & 0.19930 & 0.01168 & 0.57755 & 0.03064* & -0.21455* & 0.01980 & 0.13061 & -0.03477 & -0.97256 \\ 496\textbf{Gross domestic product} & 0.08325 & -2.59059 & -0.02549 & 0.62377*** & -0.03792 & -0.55955* & -0.01721 & -0.34547*** & 0.00297 & -0.23786 & -0.11512** & -0.71962 \\ 497\textbf{Housing starts} & 0.54768 & 1.97644 & -0.26025*** & 0.05228 & 0.12271 & 0.48892 & 0.02738* & -0.06923 & 0.04611 & -0.37882* & 0.01934 & 0.67079 \\ 498\textbf{Industrial production} & -0.45243 & -0.19230 & -0.03451 & 0.27323* & -0.15184 & -0.36886 & -0.01130 & -0.07301 & 0.08228* & 0.01327 & 0.00786 & -0.48328 \\ 499\textbf{New home sales} & 0.08668 & -0.41910 & 0.07095 & -1.44824*** & 0.23089*** & -0.99621*** & -0.01913 & -0.04275 & 0.02849 & 0.32940** & -0.01434 & 1.36646*** \\ 500\textbf{Non-farm employment} & 0.17025 & 1.42351 & 0.80207*** & -0.65071*** & 0.54701*** & -0.73662** & 0.12699*** & 0.12890 & 0.04275 & 0.27753 & 0.09921** & -0.59763 \\ 501\textbf{Pending home sales} & -0.29046 & -0.79520 & 0.31423*** & -0.29805 & 0.20897*** & -0.03802 & -0.00090 & -0.06165 & 0.06603 & -0.06209 & 0.03494 & -3.15790*** \\ 502\textbf{Personal consumption} & 0.14833 & -1.21877 & 0.14734 & -0.22859 & 0.04742 & 0.24194 & 0.00385 & -0.02860 & 0.06989 & -0.03114 & -0.07238 & -2.00898*** \\ 503\textbf{Personal income} & 0.25973 & -0.28073 & 0.12412 & 0.46855** & -0.00291 & -0.54811 & 0.00321 & -0.00955 & 0.07410* & -0.51366** & -0.06398 & 0.07551 \\ 504\textbf{Producer price index} & 0.08816 & 0.43065 & -0.15708 & -0.35724* & 0.22355*** & -0.59363* & -0.00614 & -0.03986 & 0.09817** & -0.15742 & -0.04277 & 0.93243* \\ 505\textbf{Trade balance} & -0.01952 & 0.74449 & 0.17818** & 0.00010 & 0.17335** & 0.00010 & 0.03429** & 0.00010 & 0.10701*** & 0.00010 & 0.07544* & -0.17694 \\ 506\textbf{Crude Oil Weekly inventory} & -0.00049 & 0.00010 & & & & & & & & & & \\ 507\textbf{Natural Gas Weekly inventory} & & & & & & & & & & & 0.53992*** & 0.00010 \\ 508\midrule 509\textbf{Observations} & \multicolumn{2}{c}{167663} & \multicolumn{2}{c}{167808} & \multicolumn{2}{c}{167513} & \multicolumn{2}{c}{167800} & \multicolumn{2}{c}{99525} & \multicolumn{2}{c}{167472} \\ 510\textbf{$R^2$} & \multicolumn{2}{c}{0.026858} & \multicolumn{2}{c}{0.104799} & \multicolumn{2}{c}{0.072185} & \multicolumn{2}{c}{0.086944} & \multicolumn{2}{c}{0.047558} & \multicolumn{2}{c}{0.137333} \\ 511\bottomrule 512\end{tabular}513}514\begin{tablenotes}515\singlespacing516\footnotesize517This table presents estimates of eq. \ref{eqn:VarianceEqn} using the financialization variable $NLS_t$. The equation is $\sigma_{t}^2=\alpha_0+\alpha_1 \sigma_{t-1}^2+\alpha_2 \epsilon_t^2 +\sum_{m=1}^{22} \Phi_m D_{m,t}+\beta X_{i,t}+\sum_{k=1}^n \phi_k I_{kt} + \sum_{h=1}^{23} \rho_h D_h$ where $I_{kt}=D_{m,t} \cdot X_{i,t}$ and $D_{m,t}$ is a macro announcement dummy variable for release $m$. The period covered is from 2020-01-31 to 2022-06-10. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of financialization.518\end{tablenotes}519\end{sidewaystable}520