spb/phd_thesis Public
PhD thesis — Three essays on high-frequency return and volatility dynamics in commodities and financial futures markets (Université Laval).
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1\section{Appendix A - Full Sample Results using the NLS Proxy}2\renewcommand{\thetable}{A-\arabic{table}}3\setcounter{table}{0} % Reset table counter4\begin{sidewaystable}5\caption{Effects of Macro Announcements and Financialization (NLS) on Futures Returns - Full Sample}6\label{tab:macro_fin_nls_fut_returns_full}7\centering8\resizebox{\linewidth}{!}{%9\begin{tabular}{@{}lllllllllllll@{}}10\toprule11\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}} \\ \midrule12\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}} \\ \midrule1314\textbf{Initial jobless claims} & -0.19763*** & 0.87888*** & 0.70022*** & -1.33955*** & -0.44930*** & 1.98801*** & -0.00740 & -0.01540 & 0.02913** & -0.22057*** & -0.00266 & -0.10938 \\ 15\textbf{ADP Employment} & 0.34291*** & -1.06756** & -1.18741*** & 2.52498*** & 0.58107*** & -2.36989*** & -0.02591*** & 0.16900 & 0.00801 & -0.14170 & -0.11464*** & -2.79764*** \\ 16\textbf{CB Consumer} & 0.11672*** & -0.46895*** & -0.05938*** & 0.07030* & 0.07957*** & -0.15159** & 0.00049 & 0.00567 & -0.06841*** & 0.11631** & 0.02933 & -0.01440 \\ 17\textbf{Advance retail sales} & 0.19991*** & -0.74542*** & -0.22861*** & 0.44747*** & 0.10409*** & -0.42536** & 0.01333 & -0.08638 & -0.01767 & 0.00664 & -0.02725 & -0.47149 \\ 18\textbf{Building permit} & -0.00037 & 0.03995 & -0.02651** & 0.03697 & 0.06270*** & -0.15653** & 0.00698 & -0.00358 & -0.00233 & -0.03748 & 0.04272* & 0.36164** \\ 19\textbf{Construction spending} & 0.02190 & -0.14609 & -0.04079** & 0.09211** & 0.04044* & -0.14376* & -0.00070 & -0.18868*** & 0.00951 & -0.00257 & -0.02886 & -0.17899 \\ 20\textbf{Consumer credit} & -0.01646 & 0.08344 & -0.01359* & 0.02955 & -0.01554* & 0.06217 & 0.00217 & 0.02437 & 0.01087 & -0.01043 & -0.01175 & -0.11173 \\ 21\textbf{Consumer price index} & 0.08391*** & -0.29308** & -0.17224*** & 0.31022*** & 0.26865*** & -0.75945*** & -0.03002*** & -0.02265 & -0.14233*** & 0.23064*** & 0.01302 & 0.15012 \\ 22\textbf{Durable goods orders} & 0.15300*** & -0.73816*** & -0.07265*** & 0.14703*** & 0.06435*** & -0.14930* & -0.01052* & 0.00024 & -0.05354*** & 0.14525*** & -0.00328 & -0.09972 \\ 23\textbf{Existing home sales} & 0.08722*** & -0.59238*** & -0.02000 & 0.05026 & -0.02244 & 0.10822 & -0.02238*** & -0.06905 & 0.01177 & -0.04488 & 0.04083 & 0.21897 \\ 24\textbf{Factory orders} & -0.00112 & 0.01036 & -0.02949 & 0.00285 & -0.05976** & 0.14591 & 0.00357 & 0.02488 & -0.01887 & 0.00026 & 0.10729*** & 0.68503*** \\ 25\textbf{Gross domestic product} & 0.04571* & -0.18390 & -0.16085*** & 0.24165*** & 0.16953*** & -0.33056*** & 0.00920 & -0.00478 & -0.05405*** & 0.00789 & -0.03601 & -0.33730* \\ 26\textbf{Housing starts} & 0.03224 & -0.12690 & -0.06263*** & 0.11383*** & 0.07118*** & -0.14876** & 0.00503 & 0.00563 & 0.00159 & -0.03648* & 0.02340 & 0.38343** \\ 27\textbf{Industrial production} & 0.02075 & -0.15376 & -0.00085 & -0.07097 & -0.01332 & -0.11571 & -0.00947 & -0.00797 & -0.02227 & 0.02109 & -0.02279 & -0.02294 \\ 28\textbf{New home sales} & 0.09853*** & -0.43638** & -0.06940*** & 0.13595*** & -0.03309* & -0.04095 & -0.02368*** & 0.08652* & -0.00796 & 0.02235 & -0.00278 & -0.08427 \\ 29\textbf{Non-farm employment} & 1.40422*** & -5.11125*** & -3.19414*** & 6.81185*** & 1.38897*** & -6.04367*** & -0.02702*** & 0.62417** & 0.00013 & 0.15340 & -0.21810*** & -6.29434*** \\ 30\textbf{Pending home sales} & 0.07333*** & -0.34943** & -0.01840 & 0.00310 & -0.01292 & -0.02301 & -0.01712** & -0.11126 & -0.00877 & 0.03099 & -0.02417 & -0.39913 \\ 31\textbf{Personal consumption} & -0.01478 & 0.06799 & -0.03594** & 0.06306* & 0.00926 & -0.05828 & 0.00274 & 0.08690 & 0.01300 & -0.05027 & 0.00370 & 0.36897 \\ 32\textbf{Personal income} & 0.00873 & -0.13628 & -0.07190 & 0.15000 & 0.25364*** & -1.05220** & -0.01709* & 0.27874** & -0.01271 & -0.02240 & -0.02828 & -0.82024 \\ 33\textbf{Producer price index} & 0.03513* & -0.23561** & -0.07698*** & 0.15026*** & -0.01476 & -0.04153 & -0.00480 & -0.01293 & -0.02035 & 0.04451 & -0.04862* & -0.22346 \\ 34\textbf{Trade balance} & 0.00320 & -0.05635 & -0.05207** & 0.11911** & -0.01111 & 0.04144 & -0.00354 & -0.13232 & -0.03871 & 0.07731 & -0.04667 & -0.45064 \\ 35\textbf{Crude Oil Weekly inventory} & -0.07659*** & -0.39633*** & & & & & & & & & & \\ 36\textbf{Natural Gas Weekly inventory} & & & & & & & & & & & -0.36472*** & -0.07672 \\ \midrule3738\textbf{Observations} & \multicolumn{2}{c}{1193455} & \multicolumn{2}{c}{1190001} & \multicolumn{2}{c}{1180816} & \multicolumn{2}{c}{1138696} & \multicolumn{2}{c}{749168} & \multicolumn{2}{c}{1101836} \\ 39\textbf{$R^2$} & \multicolumn{2}{c}{0.001975} & \multicolumn{2}{c}{0.002043} & \multicolumn{2}{c}{0.001014} & \multicolumn{2}{c}{0.000290} & \multicolumn{2}{c}{0.000246} & \multicolumn{2}{c}{0.001176} \\ \bottomrule 40\end{tabular}41}42\begin{tablenotes}43\singlespacing44\footnotesize45This 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 2007-04-01 to 2024-02-11. 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.46\end{tablenotes}47\end{sidewaystable}484950\begin{sidewaystable}51\caption{Effects of Macro Announcements and Financialization (NLS) on Futures Conditional Variance - Full Sample}52\label{tab:macro_fin_nls_var_full}53\centering54\resizebox{\linewidth}{!}{%55\begin{tabular}{@{}lllllllllllll@{}}56\toprule57\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}} \\ \midrule58\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}} \\ \midrule5960\textbf{Initial jobless claims} & 0.10116*** & -0.43618*** & 0.04743*** & 0.01989 & 0.11651*** & -0.18846*** & 0.02474*** & -0.05555*** & 0.11786*** & -0.11355*** & -0.01167 & -0.02107 \\ 61\textbf{ADP Employment} & 0.02792 & -0.20043 & 0.06377*** & -0.08427*** & 0.05327*** & -0.03006 & 0.02831*** & 0.03382 & -0.02858* & 0.01538 & 0.01600 & 0.05689 \\ 62\textbf{CB Consumer} & 0.10356*** & -0.41440*** & 0.03139*** & 0.01209 & 0.04540*** & 0.02788 & 0.02838*** & -0.10290** & 0.06091*** & -0.09895*** & -0.00770 & -0.01276 \\ 63\textbf{Advance retail sales} & 0.16868*** & -0.86165*** & 0.09604*** & -0.05612* & 0.12379*** & -0.05358 & 0.02819*** & -0.15572*** & 0.11351*** & -0.16926*** & 0.05769*** & 0.25105* \\ 64\textbf{Building permit} & 0.10470*** & -0.54035*** & 0.04592*** & -0.06034* & 0.06133*** & -0.19301*** & 0.00484 & -0.07408* & 0.07672*** & -0.06975*** & 0.02190 & -0.02627 \\ 65\textbf{Construction spending} & 0.15338*** & -0.62724*** & 0.09518*** & -0.11889*** & 0.08606*** & -0.09793 & 0.04108*** & -0.18959*** & 0.04626*** & 0.01330 & -0.01904 & -0.32089** \\ 66\textbf{Consumer credit} & 0.04798* & -0.26103* & 0.00778 & -0.00318 & 0.01661 & 0.00378 & 0.00280 & 0.03858 & -0.00633 & 0.03412 & 0.00152 & 0.01392 \\ 67\textbf{Consumer price index} & 0.07237** & -0.06680 & 0.13915*** & -0.07513* & 0.26627*** & -0.52898*** & 0.09389*** & -0.37452*** & 0.18224*** & -0.27404*** & 0.02706 & 0.03922 \\ 68\textbf{Durable goods orders} & 0.09826*** & -0.41079*** & 0.02310** & 0.01561 & 0.04156*** & 0.02205 & 0.00773 & -0.02411 & 0.06781*** & -0.03730 & -0.02225 & -0.25576* \\ 69\textbf{Existing home sales} & 0.04757* & -0.05948 & 0.01879* & 0.04102 & 0.03838*** & -0.02961 & 0.02231*** & -0.13249*** & 0.04815*** & -0.06749** & 0.02201 & -0.11251 \\ 70\textbf{Factory orders} & 0.08762*** & -0.31063** & -0.00678 & 0.16162*** & 0.01842 & 0.15052** & 0.02641*** & -0.13159*** & 0.03966*** & -0.04030 & -0.03041 & -0.69494*** \\ 71\textbf{Gross domestic product} & 0.11632*** & -0.61837*** & 0.04659*** & 0.05303 & 0.09959*** & -0.06323 & 0.02464*** & 0.01653 & 0.11025*** & -0.12093*** & -0.05116** & -0.30947** \\ 72\textbf{Housing starts} & 0.11313*** & -0.60745*** & 0.03660*** & -0.03112 & 0.06213*** & -0.19012*** & 0.00848 & -0.09479** & 0.05963*** & -0.04924 & 0.01829 & 0.04047 \\ 73\textbf{Industrial production} & 0.09578*** & -0.63833*** & 0.01928* & 0.00308 & 0.02059 & -0.00706 & 0.00182 & -0.04794 & 0.01964 & -0.07145** & -0.03281 & -0.18705 \\ 74\textbf{New home sales} & 0.10149*** & -0.52688*** & 0.04068*** & 0.01515 & 0.05778*** & 0.02800 & 0.02485*** & -0.00096 & 0.06768*** & -0.11522*** & -0.02516 & -0.22929* \\ 75\textbf{Non-farm employment} & 0.36475*** & -1.20583*** & 0.23592*** & 0.04682 & 0.38126*** & -0.14107** & 0.12881*** & -0.15602*** & 0.17336*** & -0.05048 & 0.02807 & -0.35383** \\ 76\textbf{Pending home sales} & 0.10920*** & -0.49393*** & 0.01999* & -0.01624 & 0.02548* & 0.02096 & 0.02833*** & -0.00831 & 0.05870*** & -0.08511*** & -0.01374 & -0.30813** \\ 77\textbf{Personal consumption} & 0.00638 & 0.02122 & 0.06203*** & -0.08145** & 0.10177*** & -0.26781*** & 0.00662 & -0.00781 & 0.11081*** & -0.14798*** & 0.02410 & -0.37604** \\ 78\textbf{Personal income} & 0.00650 & 0.04657 & 0.09149*** & -0.15016*** & 0.12450*** & -0.34101*** & 0.01322** & -0.02338 & 0.09417*** & -0.10866*** & 0.00283 & -0.43167*** \\ 79\textbf{Producer price index} & 0.09735*** & -0.34959** & 0.01720 & 0.08462** & 0.09045*** & -0.09926 & 0.01106* & -0.05096 & 0.11987*** & -0.06696** & 0.00810 & 0.00477 \\ 80\textbf{Trade balance} & 0.07844*** & -0.12829 & -0.00650 & 0.20643*** & 0.00273 & 0.39295*** & 0.00919 & 0.02977 & 0.10323*** & -0.08686*** & 0.01821 & 0.11158 \\ 81\textbf{Crude Oil Weekly inventory} & 0.00456 & 0.62373*** & & & & & & & & & & \\ 82\textbf{Natural Gas Weekly inventory} & & & & & & & & & & & 0.53064*** & -0.68665*** \\ \midrule8384\textbf{Observations} & \multicolumn{2}{c}{1193455} & \multicolumn{2}{c}{1190001} & \multicolumn{2}{c}{1180816} & \multicolumn{2}{c}{1138696} & \multicolumn{2}{c}{749168} & \multicolumn{2}{c}{1101836} \\ 85\textbf{$R^2$} & \multicolumn{2}{c}{0.070652} & \multicolumn{2}{c}{0.080638} & \multicolumn{2}{c}{0.073961} & \multicolumn{2}{c}{0.070571} & \multicolumn{2}{c}{0.076293} & \multicolumn{2}{c}{0.135964} \\ \bottomrule 86\end{tabular}87}88\begin{tablenotes}89\singlespacing90\footnotesize91This 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 2007-04-01 to 2024-02-11. 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.92\end{tablenotes}93\end{sidewaystable}94