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% Bibliographie consolidée de la thèse — fusion des master.bib des trois chapitres.2% Dédupliquée par clé (variante la plus complète conservée). Entrée Roll1984 ajoutée3% (la clé citée « Roll1984 » correspond à l'entrée « roll1984 » — BibTeX est4% insensible à la casse des clés). Voir INVENTAIRE.md.56@article{10.1257/aer.20190964,7Author = {Känzig, Diego R.},8Title = {The Macroeconomic Effects of Oil Supply News: Evidence from {OPEC} Announcements},9Journal = {American Economic Review},10Volume = {111},11Number = {4},12Year = {2021},13Month = {April},14Pages = {1092-1125},15DOI = {10.1257/aer.20190964},16URL = {https://www.aeaweb.org/articles?id=10.1257/aer.20190964}}1718@article{ackert2000arbitrage,19 title={Arbitrage and valuation in the market for {S}tandard \& {P}oor's depositary receipts},20 author={Ackert, Lucy F and Tian, Yisong S},21 journal={Financial Management},22 volume={29},23 number={3},24 pages={71--87},25 year={2000},26 publisher={Wiley}27}2829@article{agarwal2018etfs,30 title={Do {ETFs} increase the commonality in liquidity of underlying stocks?},31 author={Agarwal, Vikas and Hanouna, Paul and Moussawi, Rabih and Stahel, Christof W},32 journal={Journal of Financial Economics},33 volume={127},34 number={1},35 pages={67--90},36 year={2018},37 publisher={Elsevier}38}3940@article{almutairi2021value,41 author={Almutairi, Hossa and Pierru, Axel and Smith, James A},42 doi={10.1111/opec.12199},43 title={The Value of OPEC’s Spare Capacity to the Oil Market and Global Economy},44 journal={OPEC Energy Review},45 year={2021}46}4748@article{alquist2013role,49 title = {The Role of Financial Speculation in Driving the Price of Crude Oil},50 author = {Alquist, Ron and Gervais, Olivier},51 journal = {The Energy Journal},52 volume = {34},53 number = {3},54 pages = {35--54},55 year = {2013},56 publisher = {International Association for Energy Economics}57}5859@article{andersen1997,60 title={Intraday Periodicity and Volatility Persistence in Financial Markets},61 author={Andersen, Torben G. and Bollerslev, Tim},62 journal={Journal of Empirical Finance},63 volume={4},64 number={2--3},65 pages={115--158},66 year={1997}67}6869@article{andersen1998deutsche,70 title = {Deutsche Mark--Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies},71 author = {Andersen, Torben G. and Bollerslev, Tim},72 journal = {Journal of Finance},73 volume = {53},74 number = {1},75 pages = {219--265},76 year = {1998},77 publisher = {Wiley Online Library}78}7980@article{andersen2001distribution,81 title = {The Distribution of Realized Stock Return Volatility},82 author = {Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X. and Ebens, Heiko},83 journal = {Journal of Financial Economics},84 volume = {61},85 number = {1},86 pages = {43--76},87 year = {2001},88 publisher = {Elsevier}89}9091@article{andersen2003,92 title={Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange},93 author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X and Vega, Clara},94 journal={American Economic Review},95 volume={93},96 number={1},97 pages={38--62},98 year={2003},99 publisher={American Economic Association}100}101102@article{andersen2003micro,103 title={Micro effects of macro announcements: Real-time price discovery in foreign exchange},104 author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X and Vega, Clara},105 journal={American Economic Review},106 volume={93},107 number={1},108 pages={38--62},109 year={2003}110}111112@article{andersen2007,113 title={Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets},114 author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X and Vega, Clara},115 journal={Journal of International Economics},116 volume={73},117 number={2},118 pages={251--277},119 year={2007},120 publisher={Elsevier}121}122123@article{andersen2007real,124 title = {Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets},125 author = {Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X. and Vega, Clara},126 journal = {Journal of International Economics},127 volume = {73},128 number = {2},129 pages = {251--277},130 year = {2007},131 publisher = {Elsevier}132}133134@article{andersen2007roughing,135 title={Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility},136 author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X},137 journal={The Review of Economics and Statistics},138 volume={89},139 number={4},140 pages={701--720},141 year={2007},142 publisher={MIT Press}143}144145@article{andersen2008realized,146 title={Realized Volatility, Working Paper 2008-14},147 author={Andersen, Torben Gustav and Benzoni, Luca},148 year={2008}149}150151@techreport{apel2012,152 title={The Information Content of Central Bank Minutes},153 author={Apel, Mikael and Grimaldi, Marianna Blix},154 institution={Sveriges Riksbank},155 type={Working Paper Series},156 number={261},157 year={2012}158}159160@article{araci2019,161 title={FinBERT: Financial Sentiment Analysis with Pre-trained Language Models},162 author={Araci, Dogu},163 journal={arXiv preprint arXiv:1908.10063},164 year={2019}165}166167@article{aruoba2009real,168 title = {Real-Time Measurement of Business Conditions},169 author = {Aruoba, S. Borağan and Diebold, Francis X. and Scotti, Chiara},170 journal = {Journal of Business \& Economic Statistics},171 volume = {27},172 number = {4},173 pages = {417-427},174 year = {2009},175 publisher = {Taylor \& Francis},176 doi = {10.1198/jbes.2009.07205},177 url = {https://doi.org/10.1198/jbes.2009.07205}178}179180@inproceedings{aulerich2012bubbles,181 title = {Bubbles},182 author = {Aulerich, Nicole M. and Irwin, Scott H. and Garcia, Philip},183 booktitle = {Food Prices, and Speculation: Evidence from the CFTC’s Daily Large Trader Data Files, Paper Prepared for Presentation at the NBER Conference on “Economics of Food Price Volatility” in Seattle, WA},184 year = {2012}185}186187@article{bai2003computation,188 title={Computation and analysis of multiple structural change models},189 author={Bai, Jushan and Perron, Pierre},190 journal={Journal of Applied Econometrics},191 volume={18},192 number={1},193 pages={1--22},194 year={2003},195 publisher={Wiley}196}197198@article{baker2016,199 title={Measuring Economic Policy Uncertainty},200 author={Baker, Scott R. and Bloom, Nicholas and Davis, Steven J.},201 journal={Quarterly Journal of Economics},202 volume={131},203 number={4},204 pages={1593--1636},205 year={2016},206 publisher={Oxford University Press}207}208209@article{balduzzi2001,210 title={Economic News and Bond Prices: Evidence from the US Treasury Market},211 author={Balduzzi, Pierluigi and Elton, Edwin J and Green, T Clifton},212 journal={Journal of Financial and Quantitative Analysis},213 volume={36},214 number={4},215 pages={523--543},216 year={2001},217 publisher={Cambridge University Press}218}219220@article{balduzzi2001economic,221 title = {Economic News and Bond Prices: Evidence from the US Treasury Market},222 author = {Balduzzi, Pierluigi and Elton, Edwin J. and Green, T. Clifton},223 journal = {Journal of Financial and Quantitative Analysis},224 volume = {36},225 number = {4},226 pages = {523--543},227 year = {2001},228 publisher = {JSTOR}229}230231@article{barndorff2002,232 title={Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models},233 author={Barndorff-Nielsen, Ole E and Shephard, Neil},234 journal={Journal of the Royal Statistical Society: Series B (Statistical Methodology)},235 volume={64},236 number={2},237 pages={253--280},238 year={2002},239 publisher={Wiley Online Library}240}241242@article{barndorff2002econometric,243 title={Econometric analysis of realized volatility and its use in estimating stochastic volatility models},244 author={Barndorff-Nielsen, Ole E and Shephard, Neil},245 journal={Journal of the Royal Statistical Society: Series B},246 volume={64},247 number={2},248 pages={253--280},249 year={2002},250 publisher={Wiley}251}252253@article{barndorff2002estimating,254 title = {Estimating Quadratic Variation Using Realized Variance},255 author = {Barndorff-Nielsen, Ole E. and Shephard, Neil},256 journal = {Journal of Applied Econometrics},257 volume = {17},258 number = {5},259 pages = {457--477},260 year = {2002},261 publisher = {Wiley Online Library}262}263264@article{barndorff2004power,265 title={Power and bipower variation with stochastic volatility and jumps},266 author={Barndorff-Nielsen, Ole E and Shephard, Neil},267 journal={Journal of Financial Econometrics},268 volume={2},269 number={1},270 pages={1--37},271 year={2004},272 publisher={Oxford University Press}273}274275@article{barndorff2009realized,276 title={Realized kernels in practice: Trades and quotes},277 author={Barndorff-Nielsen, Ole E and Hansen, Peter Reinhard and Lunde, Asger and Shephard, Neil},278 journal={The Econometrics Journal},279 volume={12},280 number={3},281 pages={C1--C32},282 year={2009},283 publisher={Oxford University Press}284}285286@article{barunik2018measuring,287 title={Measuring the frequency dynamics of financial connectedness and systemic risk},288 author={Baruník, Jozef and Křehlík, Tomáš},289 journal={Journal of Financial Econometrics},290 volume={16},291 number={2},292 pages={271--296},293 year={2018},294 publisher={Oxford University Press}295}296297@article{basak2016model,298 title = {A Model of Financialization of Commodities},299 author = {Basak, Suleyman and Pavlova, Anna},300 journal = {Journal of Finance},301 volume = {71},302 number = {4},303 pages = {1511--1556},304 year = {2016},305 publisher = {Wiley Online Library}306}307308@article{baumeister2014oil,309 title={Do oil price increases cause higher food prices?},310 author={Baumeister, Christiane and Kilian, Lutz},311 journal={Economic Policy},312 volume={29},313 number={80},314 pages={691--747},315 year={2014},316 publisher={Oxford University Press}317}318319@article{baur2010gold,320 title = {Is Gold a Hedge or a Safe Haven? {An} Analysis of Stocks, Bonds and Gold},321 author = {Baur, Dirk G. and Lucey, Brian M.},322 journal = {Financial Review},323 volume = {45},324 number = {2},325 pages = {217--229},326 year = {2010},327 publisher = {Wiley Online Library}328}329330@article{beechey2009high,331 title={The high-frequency impact of news on long-term yields and forward rates: Is it real?},332 author={Beechey, Meredith J and Wright, Jonathan H},333 journal={Journal of Monetary Economics},334 volume={56},335 number={4},336 pages={535--544},337 year={2009},338 publisher={Elsevier}339}340341@article{ben2017etfs,342 title={Do {ETFs} increase volatility?},343 author={Ben-David, Itzhak and Franzoni, Francesco and Moussawi, Rabih},344 journal={The Journal of Finance},345 volume={73},346 number={6},347 pages={2471--2535},348 year={2018},349 publisher={Wiley}350}351352@article{ben2018etfs,353 title={Do {ETFs} increase volatility?},354 author={Ben-David, Itzhak and Franzoni, Francesco and Moussawi, Rabih},355 journal={The Journal of Finance},356 volume={73},357 number={6},358 pages={2471--2535},359 year={2018},360 publisher={Wiley}361}362363@article{benjamini1995controlling,364 title={Controlling the false discovery rate: a practical and powerful approach to multiple testing},365 author={Benjamini, Yoav and Hochberg, Yosef},366 journal={Journal of the Royal Statistical Society: Series B (Methodological)},367 volume={57},368 number={1},369 pages={289--300},370 year={1995},371 publisher={Wiley Online Library}372 }373374@article{bernanke2005,375 title={What Explains the Stock Market's Reaction to Federal Reserve Policy?},376 author={Bernanke, Ben S and Kuttner, Kenneth N},377 journal={Journal of Finance},378 volume={60},379 number={3},380 pages={1221--1257},381 year={2005},382 publisher={Wiley Online Library}383}384385@article{bernanke2005explains,386 title={What explains the stock market's reaction to Federal Reserve policy?},387 author={Bernanke, Ben S and Kuttner, Kenneth N},388 journal={Journal of Finance},389 volume={60},390 number={3},391 pages={1221--1257},392 year={2005},393 publisher={Wiley Online Library}394}395396@article{bernile2016can,397 title = {Can Information Be Locked Up? Informed Trading Ahead of Macro-News Announcements},398 author = {Bernile, Gennaro and Hu, Jianfeng and Tang, Yuehua},399 journal = {Journal of Financial Economics},400 volume = {121},401 number = {3},402 pages = {496--520},403 year = {2016},404 publisher = {Elsevier}405}406407@article{bligh2008,408 title={The Decline of Symbolic Politics: Federal Reserve Communications},409 author={Bligh, Michelle C and Hess, Gregory D},410 journal={Journal of Economic Psychology},411 volume={29},412 number={4},413 pages={535--559},414 year={2008},415 publisher={Elsevier}416}417418@article{blinder2008,419 title={Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence},420 author={Blinder, Alan S and Ehrmann, Michael and Fratzscher, Marcel and De Haan, Jakob and Jansen, David-Jan},421 journal={Journal of Economic Literature},422 volume={46},423 number={4},424 pages={910--945},425 year={2008},426 publisher={American Economic Association}427}428429@article{boehm2020us,430 title={The {US}, economic news, and the global financial cycle},431 author={Boehm, Christoph and Kroner, Niklas},432 journal={Economic News, and the Global Financial Cycle (January 10, 2020)},433 year={2020}434}435436@article{bohl2012commodity,437 title={Do commodity index traders destabilize agricultural futures prices?},438 author={Bohl, Martin T and Javed, Farrukh and Stephan, Patrick M and others},439 journal={Diskussionspapier, am},440 volume={24},441 year={2012},442 publisher={Citeseer}443}444445@article{bohl2013does,446 title={Does futures speculation destabilize spot prices? New evidence for commodity markets},447 author={Bohl, Martin T and Stephan, Patrick M},448 journal={Journal of Agricultural and Applied Economics},449 volume={45},450 number={4},451 pages={595--616},452 year={2013},453 publisher={Cambridge University Press}454}455456@article{bollerslev1986generalized,457 title={Generalized autoregressive conditional heteroskedasticity},458 author={Bollerslev, Tim},459 journal={Journal of Econometrics},460 volume={31},461 number={3},462 pages={307--327},463 year={1986},464 publisher={Elsevier}465}466467@article{boyd2005stock,468 title={The stock market's reaction to unemployment news: Why bad news is usually good for stocks},469 author={Boyd, John H and Hu, Jian and Jagannathan, Ravi},470 journal={Journal of Finance},471 volume={60},472 number={2},473 pages={649--672},474 year={2005},475 publisher={Wiley Online Library}476}477478@article{boyd2018update,479 title={An update on speculation and financialization in commodity markets},480 author={Boyd, Naomi E and Harris, Jeffrey H and Li, Bingxin},481 journal={Journal of Commodity Markets},482 volume={10},483 pages={91--104},484 year={2018},485 publisher={Elsevier}486}487488@article{bredin2015does,489 title = {Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon},490 author = {Bredin, Don and Conlon, Thomas and Pot{\`\i}, Valerio},491 journal = {International Review of Financial Analysis},492 volume = {41},493 pages = {320--328},494 year = {2015},495 publisher = {Elsevier}496}497498@incollection{brennan1976supply,499 title = {The Supply of Storage},500 author = {Brennan, Michael J.},501 booktitle = {The Economics of Futures Trading},502 pages = {100--107},503 year = {1976},504 publisher = {Springer}505}506507@article{brennan1991price,508 title={The price of convenience and the valuation of commodity contingent claims,[w:] D. Land, B. Oeksendal},509 author={Brennan, MJ},510 journal={Stochastic Models and Options Values, Elsevier Science Publications},511 year={1991}512}513514@article{broman2016liquidity,515 title={Liquidity, style investing and excess comovement of exchange-traded fund returns},516 author={Broman, Markus S},517 journal={Journal of Financial Markets},518 volume={30},519 pages={27--53},520 year={2016},521 publisher={Elsevier}522}523524@article{brownlees2014practical,525 title={Financial econometric analysis at ultra-high frequency: Data handling concerns},526 author={Brownlees, Christian T and Gallo, Giampiero M},527 journal={Computational Statistics \& Data Analysis},528 volume={51},529 number={4},530 pages={2232--2245},531 year={2006},532 publisher={Elsevier}533}534535@article{brunetti2009speculation,536 title = {Is Speculation Destabilizing?},537 author = {Brunetti, Celso and B{\"u}y{\"u}k{\c{s}}ahin, Bahattin},538 journal = {SSRN eLibrary},539 year = {2009},540 publisher = {Citeseer}541}542543@article{brunetti2011speculators,544 author = {Brunetti, Celso and B{\"u}y{\"u}k{\c{s}}ahin, Bahattin and Harris, Jeffrey},545 title = {Speculators, Prices and Market Volatility},546 journal = {SSRN Electronic Journal},547 year = {2011},548 doi = {10.2139/ssrn.1736737}549}550551@article{brunetti2014commodity,552 title = {Commodity Index Trading and Hedging Costs},553 author = {Brunetti, Celso and Reiffen, David},554 journal = {Journal of Financial Markets},555 volume = {21},556 pages = {153--180},557 year = {2014},558 publisher = {Elsevier}559}560561@article{brunetti2016speculators,562 title = {Speculators, Prices, and Market Volatility},563 author = {Brunetti, Celso and B{\"u}y{\"u}k{\c{s}}ahin, Bahattin and Harris, Jeffrey H.},564 journal = {Journal of Financial and Quantitative Analysis},565 volume = {51},566 number = {5},567 pages = {1545--1574},568 year = {2016},569 doi = {10.1017/s0022109016000569},570 publisher = {JSTOR}571}572573@article{brusa2015,574 title={Asset Allocation and FOMC Announcements},575 author={Brusa, Francesca and Savor, Pavel and Wilson, Mungo},576 journal={Review of Financial Studies},577 volume={28},578 number={5},579 pages={1398--1446},580 year={2015},581 publisher={Oxford University Press}582}583584@article{brusa2019,585 title={FOMC Announcements and Market Returns: Evidence from the Options Market},586 author={Brusa, Francesca and Savor, Pavel and Wilson, Mungo},587 journal={Journal of Finance},588 volume={75},589 number={1},590 pages={399--441},591 year={2019},592 publisher={Wiley Online Library}593}594595@article{bryan1993consumer,596 title={The Consumer Price Index as a measure of inflation},597 author={Bryan, Michael F and Cecchetti, Stephen G},598 journal={Economic Review-Federal Reserve Bank of Cleveland},599 volume={29},600 number={4},601 pages={15},602 year={1993},603 publisher={Federal Reserve Bank of Cleveland}604}605606@article{bryant2006causality,607 title = {Causality in Futures Markets},608 author = {Bryant, Henry L. and Bessler, David A. and Haigh, Michael S.},609 journal = {Journal of Futures Markets},610 volume = {26},611 number = {11},612 pages = {1039--1057},613 year = {2006},614 publisher = {Wiley Online Library}615}616617@article{bubak2011volatility,618 title={Volatility transmission in emerging European foreign exchange markets},619 author={Bub{\'a}k, Vít and Kočenda, Evžen and Žikeš, Filip},620 journal={Journal of Banking \& Finance},621 volume={35},622 number={11},623 pages={2829--2841},624 year={2011},625 publisher={Elsevier}626}627628@article{buckle2018price,629 title={Price discovery in the {ETF} market: the role of market makers},630 author={Buckle, David J and Curran, Edward and McGroarty, Frank},631 journal={Journal of Banking \& Finance},632 volume={93},633 pages={32--45},634 year={2018},635 publisher={Elsevier}636}637638@article{buyukcsahin2010matters,639 title = {It Matters Who Trades: Hedge Funds, Swap Dealers, and Cross-Market Linkages},640 author = {B{\"u}y{\"u}k{\c{s}}ahin, Bahattin and Robe, Michel A.},641 journal = {SSRN eLibrary},642 year = {2010}643}644645@article{buyukcsahin2011speculators,646 title={Do speculators drive crude oil futures prices?},647 author={B{\"u}y{\"u}k{\c{s}}ahin, Bahattin and Harris, Jeffrey H},648 journal={The Energy Journal},649 volume={32},650 number={2},651 pages={167--202},652 year={2011},653 publisher={SAGE Publications Sage CA: Los Angeles, CA}654}655656@article{buyukcsahin2014speculators,657 title={Speculators, commodities and cross-market linkages},658 author={B{\"u}y{\"u}k{\c{s}}ahin, Bahattin and Robe, Michel A},659 journal={Journal of International Money and Finance},660 volume={42},661 pages={38--70},662 year={2014},663 publisher={Elsevier}664}665666@article{buyuksahin2010fundamentals,667 title={Fundamentals, trader activity and derivative pricing},668 author={Buyuksahin, Bahattin and Robe, Michel A},669 journal={Journal of Futures Markets},670 volume={30},671 number={4},672 pages={317--341},673 year={2010},674 publisher={Wiley}675}676677@article{buyuksahin2014speculation,678 title={Speculation, commodities and cross-market linkages},679 author={Buyuksahin, Bahattin and Robe, Michel A},680 journal={Journal of International Money and Finance},681 volume={42},682 pages={38--70},683 year={2014},684 publisher={Elsevier}685}686687@article{cai2001moves,688 title = {What Moves the Gold Market?},689 author = {Cai, Jun and Cheung, Yan-Leung and Wong, Michael C. S.},690 journal = {Journal of Futures Markets},691 volume = {21},692 number = {3},693 pages = {257--278},694 year = {2001},695 publisher = {Wiley Online Library}696}697698@article{campbell2012,699 title={Macroeconomic Effects of Federal Reserve Forward Guidance},700 author={Campbell, Jeffrey R and Evans, Charles L and Fisher, Jonas DM and Justiniano, Alejandro},701 journal={Brookings Papers on Economic Activity},702 volume={2012},703 number={1},704 pages={1--80},705 year={2012},706 publisher={Brookings Institution Press}707}708709@article{cao2024us,710 title={U.S. monetary policy: The pushing hands of crude oil price?},711 author={Cao, Fangzhi and Su, Chi-Wei and Sun, Dian and Qin, Meng and Umar, Muhammad},712 journal={Energy Economics},713 volume={134},714 pages={107555},715 year={2024},716 publisher={Elsevier},717 doi={10.1016/j.eneco.2024.107555}718}719720@article{carriero2015forecasting,721 title={Forecasting exchange rates with a large {B}ayesian {VAR}},722 author={Carriero, Andrea and Kapetanios, George and Marcellino, Massimiliano},723 journal={International Journal of Forecasting},724 volume={25},725 number={2},726 pages={400--417},727 year={2009},728 publisher={Elsevier}729}730731@article{chang1997interday,732 title = {Interday Variations in Volume, Variance and Participation of Large Speculators},733 author = {Chang, Eric C. and Pinegar, J. Michael and Schachter, Barry},734 journal = {Journal of Banking \& Finance},735 volume = {21},736 number = {6},737 pages = {797--810},738 year = {1997},739 publisher = {Elsevier}740}741742@techreport{cheng2012convective,743 title = {Convective Risk Flows in Commodity Futures Markets},744 author = {Cheng, Ing-Haw and Kirilenko, Andrei and Xiong, Wei},745 year = {2012},746 institution = {National Bureau of Economic Research}747}748749@article{cheng2014financialization,750 title = {Financialization of Commodity Markets},751 author = {Cheng, Ing-Haw and Xiong, Wei},752 journal = {Annual Review of Financial Economics},753 volume = {6},754 number = {1},755 pages = {419--441},756 year = {2014},757 publisher = {Annual Reviews}758}759760@article{cheng2015convective,761 title = {Convective Risk Flows in Commodity Futures Markets},762 author = {Cheng, Ing-Haw and Kirilenko, Andrei and Xiong, Wei},763 journal = {Review of Finance},764 volume = {19},765 number = {5},766 pages = {1733--1781},767 year = {2015},768 publisher = {Oxford University Press}769}770771@article{chordia2008liquidity,772 author = {Chordia, T. and Roll, R. and Subrahmanyam, A.},773 title = {Liquidity and market efficiency},774 journal = {Journal of Financial Economics},775 volume = {87},776 number = {2},777 pages = {249--268},778 year = {2008},779 issn = {0304-405X},780 doi = {10.1016/j.jfineco.2007.03.005},781 url = {https://www.sciencedirect.com/science/article/pii/S0304405X07001833},782 keywords = {Liquidity, Market efficiency, Order flow},783 abstract = {Short-horizon return predictability from order flows is an inverse indicator of market efficiency. We find that such predictability is diminished when bid-ask spreads are narrower, and has declined over time with the minimum tick size. Variance ratio tests suggest that prices were closer to random walk benchmarks in the more liquid decimal regime than in other ones. These findings indicate that liquidity stimulates arbitrage activity, which, in turn, enhances market efficiency. Further, as the tick size decreased, open-close/close-open return variance ratios increased, while return autocorrelations decreased. This suggests an increased incorporation of private information into prices during more liquid regimes.}784}785786@article{christie2000macroeconomics,787 title = {Do Macroeconomics News Releases Affect Gold and Silver Prices?},788 author = {Christie--David, Rohan and Chaudhry, Mukesh and Koch, Timothy W.},789 journal = {Journal of Economics and Business},790 volume = {52},791 number = {5},792 pages = {405--421},793 year = {2000},794 publisher = {Elsevier}795}796797@article{clark1997us,798 title={{US} inflation developments in 1996},799 author={Clark, Todd E and others},800 journal={Economic Review-Federal Reserve Bank of Kansas City},801 volume={82},802 pages={11--30},803 year={1997},804 publisher={Federal Reserve Bank of Kansas City}805}806807@article{clark2008forecasting,808 title={Forecasting {US} inflation using {B}ayesian factor augmented autoregressive models},809 author={Clark, Todd E and McCracken, Michael W},810 journal={The Review of Economics and Statistics},811 volume={90},812 number={4},813 pages={665--678},814 year={2008},815 publisher={MIT Press}816}817818@article{connolly2022stock,819 title={Stock returns and inflation shocks in weaker economic times},820 author={Connolly, Robert A and Stivers, Chris and Sun, Licheng},821 journal={Financial Management},822 volume={51},823 number={3},824 pages={827--867},825 year={2022},826 publisher={Wiley Online Library}827}828829@article{corsi2009simple,830 title={A simple approximate long-memory model of realized volatility},831 author={Corsi, Fulvio},832 journal={Journal of Financial Econometrics},833 volume={7},834 number={2},835 pages={174--196},836 year={2009},837 publisher={Oxford University Press}838}839840@article{corsi2010threshold,841 title={Threshold bipower variation and the impact of jumps on volatility forecasting},842 author={Corsi, Fulvio and Pirino, Davide and Reno, Roberto},843 journal={Journal of Econometrics},844 volume={159},845 number={2},846 pages={276--288},847 year={2010},848 publisher={Elsevier}849}850851@article{couleau2020corn,852 title={Are corn futures prices getting `jumpy'?},853 author={Couleau, Anabelle and Serra, Teresa and Garcia, Philip},854 journal={American Journal of Agricultural Economics},855 volume={102},856 number={2},857 pages={569--588},858 year={2020},859 publisher={Wiley Online Library}860}861862@article{creti2013links,863 title={On the links between stock and commodity markets' volatility},864 author={Creti, Anna and Jo{\"e}ts, Marc and Mignon, Val{\'e}rie},865 journal={Energy Economics},866 volume={37},867 pages={16--28},868 year={2013},869 publisher={Elsevier}870}871872@article{da2018exchange,873 title={Exchange traded funds and asset return correlations},874 author={Da, Zhi and Shive, Sophie},875 journal={European Financial Management},876 volume={24},877 number={1},878 pages={136--168},879 year={2018},880 publisher={Wiley}881}882883@article{da2024financialization,884 title={Financialization and commodity markets serial dependence},885 author={Da, Zhi and Tang, Ke and Tao, Yubo and Yang, Liyan},886 journal={Management Science},887 volume={70},888 number={4},889 pages={2122--2143},890 year={2024},891 publisher={INFORMS}892}893894@article{daigler1999impact,895 title = {The Impact of Trader Type on the Futures Volatility-Volume Relation},896 author = {Daigler, Robert T. and Wiley, Marilyn K.},897 journal = {Journal of Finance},898 volume = {54},899 number = {6},900 pages = {2297--2316},901 year = {1999},902 publisher = {Wiley Online Library}903}904905@article{dannhauser2017effect,906 title={The impact of innovation: Evidence from corporate bond exchange-traded funds},907 author={Dannhauser, Caitlin D},908 journal={Journal of Financial Economics},909 volume={125},910 number={3},911 pages={537--560},912 year={2017},913 publisher={Elsevier}914}915916@article{dannhauser2020etf,917 title={{ETF} arbitrage during market turmoil},918 author={Dannhauser, Caitlin D},919 journal={Journal of Financial Economics},920 volume={138},921 number={2},922 pages={355--374},923 year={2020},924 publisher={Elsevier}925}926927@article{deaton1992behaviour,928 title={On the behaviour of commodity prices},929 author={Deaton, Angus and Laroque, Guy},930 journal={Review of Economic Studies},931 volume={59},932 number={1},933 pages={1--23},934 year={1992},935 publisher={Wiley-Blackwell}936}937938@article{diebold2012measuring,939 title={Better to give than to receive: Predictive directional measurement of volatility spillovers},940 author={Diebold, Francis X and Yilmaz, Kamil},941 journal={International Journal of Forecasting},942 volume={28},943 number={1},944 pages={57--66},945 year={2012},946 publisher={Elsevier}947}948949@article{doi:10.1198/jbes.2009.07205,950author = {S. Borağan Aruoba and Francis X. Diebold and Chiara Scotti},951title = {Real-Time Measurement of Business Conditions},952journal = {Journal of Business \& Economic Statistics},953volume = {27},954number = {4},955pages = {417-427},956year = {2009},957publisher = {Taylor & Francis},958doi = {10.1198/jbes.2009.07205},959960URL = { 961 962 https://doi.org/10.1198/jbes.2009.07205963 964 965966},967eprint = { 968 969 https://doi.org/10.1198/jbes.2009.07205970 971 972973}974975}976977@article{domanski2007financial,978 title={Financial investors and commodity markets},979 author={Domanski, Dietrich and Heath, Alexandra},980 journal={BIS Quarterly Review},981 volume={3},982 number={1},983 pages={53--67},984 year={2007}985}986987@article{ehrmann2004taking,988 title={Taking stock: Monetary policy transmission to equity markets},989 author={Ehrmann, Michael and Fratzscher, Marcel},990 journal={Journal of Money, Credit and Banking},991 pages={719--737},992 year={2004},993 publisher={JSTOR}994}995996@article{ehrmann2011,997 title={Global Crises and Equity Market Contagion},998 author={Ehrmann, Michael and Fratzscher, Marcel and Rigobon, Roberto},999 journal={Journal of Finance},1000 volume={66},1001 number={6},1002 pages={2597--2649},1003 year={2011},1004 publisher={Wiley Online Library}1005}10061007@article{eklund2024,1008 title={FOMC Statement Sentiment and Inflation Expectations},1009 author={Eklund, Johan and Kim, Soyoung},1010 journal={Journal of Monetary Economics},1011 volume={141},1012 pages={45--62},1013 year={2024},1014 publisher={Elsevier}1015}10161017@article{engle1982autoregressive,1018 title={Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation},1019 author={Engle, Robert F},1020 journal={Econometrica},1021 pages={987--1007},1022 year={1982},1023 publisher={JSTOR}1024}10251026@article{erb2013golden,1027 title = {The Golden Dilemma},1028 author = {Erb, Claude B and Harvey, Campbell R},1029 journal = {Financial Analysts Journal},1030 volume = {69},1031 number = {4},1032 pages = {10--42},1033 year = {2013},1034 publisher = {Taylor \& Francis}1035}10361037@article{fama1970,1038 title={Efficient Capital Markets: A Review of Theory and Empirical Work},1039 author={Fama, Eugene F},1040 journal={Journal of Finance},1041 volume={25},1042 number={2},1043 pages={383--417},1044 year={1970},1045 publisher={Wiley Online Library}1046}10471048@incollection{fama2016commodity,1049 title={Commodity futures prices: Some evidence on forecast power, premiums, and the theory of storage},1050 author={Fama, Eugene F and French, Kenneth R},1051 booktitle={The World Scientific Handbook of Futures Markets},1052 pages={79--102},1053 year={2016},1054 publisher={World Scientific}1055}10561057@article{fang2023etf,1058 title={{ETF} arbitrage, non-fundamental demand, and return predictability},1059 author={Fang, Lily H and Jiang, Joel},1060 journal={Review of Financial Studies},1061 volume={36},1062 number={4},1063 pages={1433--1470},1064 year={2023},1065 publisher={Oxford University Press}1066}10671068@article{fattouh2013role,1069 title={The role of speculation in oil markets: What have we learned so far?},1070 author={Fattouh, Bassam and Kilian, Lutz and Mahadeva, Lavan},1071 journal={The Energy Journal},1072 volume={34},1073 number={3},1074 pages={7--33},1075 year={2013},1076 publisher={SAGE Publications Sage CA: Los Angeles, CA}1077}10781079@article{fishe2012identifying,1080 title = {Identifying Informed Traders in Futures Markets},1081 author = {Fishe, Raymond P.H. and Smith, Aaron},1082 journal = {Journal of Financial Markets},1083 volume = {15},1084 number = {3},1085 pages = {329--359},1086 year = {2012},1087 url = {https://files.asmith.ucdavis.edu/2012_JFinM_FS_informed.pdf},1088 keywords = {finance},1089 abstract = {We use daily positions of futures market participants to identify informed traders. These data contain 8,921 unique traders. We identify between 94 and 230 traders as overnight informed and 91 as intraday informed with little overlap. Floor brokers/traders are over-represented in the overnight informed group. The intraday informed group is dominated by managed money traders/hedge funds and swap dealers, with commercial hedgers under-represented. We find that characteristics such as experience, position size, trading activity, and type of positions held offer significant predictive power for who is informed. An analysis of daily trader profits confirms that we select highly profitable traders.},1090 publisher = {North-Holland}1091}10921093@article{flannery2002macroeconomic,1094 title={Macroeconomic factors do influence aggregate stock returns},1095 author={Flannery, Mark J and Protopapadakis, Aris A},1096 journal={Review of Financial Studies},1097 volume={15},1098 number={3},1099 pages={751--782},1100 year={2002},1101 publisher={Oxford University Press}1102}11031104@article{fleming1997moves,1105 title={What moves the bond market?},1106 author={Fleming, Michael J and Remolona, Eli M},1107 journal={Federal Reserve Bank of New York Economic Policy Review},1108 volume={3},1109 number={4},1110 year={1997}1111}11121113@article{fleming1999,1114 title={Price Formation and Liquidity in the US Treasury Market: The Response to Public Information},1115 author={Fleming, Michael J and Remolona, Eli M},1116 journal={Journal of Finance},1117 volume={54},1118 number={5},1119 pages={1901--1915},1120 year={1999},1121 publisher={Wiley Online Library}1122}11231124@article{fleming1999price,1125 title={Price formation and liquidity in the US Treasury market: The response to public information},1126 author={Fleming, Michael J and Remolona, Eli M},1127 journal={Journal of Finance},1128 volume={54},1129 number={5},1130 pages={1901--1915},1131 year={1999},1132 publisher={Wiley Online Library}1133}11341135@article{flemming1997moves,1136 title = {What Moves the Bond Market?},1137 author = {Flemming, Michael J. and Remolona, Eli M.},1138 journal = {Economic Policy Review},1139 volume = {3},1140 number = {4},1141 year = {1997}1142}11431144@article{frankel1985commodity,1145 title = {Commodity Prices, Money Surprises and Fed Credibility},1146 author = {Frankel, Jeffrey A. and Hardouvelis, Gikas A.},1147 journal = {Journal of Money, Credit and Banking},1148 volume = {17},1149 number = {4},1150 pages = {425--438},1151 year = {1985},1152 publisher = {JSTOR}1153}11541155@article{galkin2018opec,1156 author = {Galkin, Philipp and Atalla, Tarek and Ren, Zhongyuan},1157 doi = {10.30573/ks--2018-dp38},1158 title = {An Estimation of the Drivers Behind OPEC’s Quota Decisions},1159 journal = {King Abdullah Petroleum Studies and Research Center Discussion Paper},1160 year = {2018}1161}11621163@article{garbade1983price,1164 title = {Price Movements and Price Discovery in Futures and Cash Markets},1165 author = {Garbade, Kenneth D. and Silber, William L.},1166 journal = {Review of Economics and Statistics},1167 volume = {65},1168 number = {2},1169 pages = {289--297},1170 year = {1983},1171 publisher = {JSTOR}1172}11731174@article{gebarowski2015competition,1175 author = {Gębarowski, Robert and Drożdż, Stanisław and Górski, Arkadiusz and Oświęcimka, Paweł},1176 title = {Competition of Commodities for the Status of Money in an Agent-Based Model},1177 journal = {Acta Physica Polonica A},1178 volume = {127},1179 number = {3a},1180 pages = {A-51--A-54},1181 year = {2015},1182 doi = {10.12693/aphyspola.127.a-51}1183}11841185@article{gentzkow2019,1186 title={Text as Data},1187 author={Gentzkow, Matthew and Kelly, Bryan and Taddy, Matt},1188 journal={Journal of Economic Literature},1189 volume={57},1190 number={3},1191 pages={535--574},1192 year={2019},1193 publisher={American Economic Association}1194}11951196@article{getz1990barometer,1197 title={Diffusion indexes: a barometer of the economy},1198 author={Getz, Patricia M and Ulmer, Mark G},1199 journal={Bureau of Labor Statistics Monthly Labor Review},1200 pages={13},1201 year={1990}1202}12031204@article{geweke1992evaluating,1205 title={Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments},1206 author={Geweke, John},1207 journal={Bayesian Statistics},1208 volume={4},1209 pages={169--193},1210 year={1992},1211 publisher={Oxford University Press}1212}12131214@article{ghysels2004midas,1215 title={The MIDAS touch: Mixed data sampling regression models},1216 author={Ghysels, Eric and Santa-Clara, Pedro and Valkanov, Rossen},1217 year={2004}1218}12191220@article{giannone2015prior,1221 title={Prior selection for vector autoregressions},1222 author={Giannone, Domenico and Lenza, Michele and Primiceri, Giorgio E},1223 journal={The Review of Economics and Statistics},1224 volume={97},1225 number={2},1226 pages={436--451},1227 year={2015},1228 publisher={MIT Press}1229}12301231@article{glick2012central,1232 title={Central bank announcements of asset purchases and the impact on global financial and commodity markets},1233 author={Glick, Reuven and Leduc, Sylvain},1234 journal={Journal of International Money and Finance},1235 volume={31},1236 number={8},1237 pages={2078--2101},1238 year={2012},1239 publisher={Elsevier}1240}12411242@article{glosten1993relation,1243 title={On the relation between the expected value and the volatility of the nominal excess return on stocks},1244 author={Glosten, Lawrence R and Jagannathan, Ravi and Runkle, David E},1245 journal={Journal of Finance},1246 volume={48},1247 number={5},1248 pages={1779--1801},1249 year={1993},1250 publisher={Wiley Online Library}1251}12521253@article{glosten2021etf,1254 title={{ETF} activity and informational efficiency of underlying securities},1255 author={Glosten, Lawrence and Nallareddy, Suresh and Zou, Yuan},1256 journal={Management Science},1257 volume={67},1258 number={1},1259 pages={22--47},1260 year={2021},1261 publisher={INFORMS}1262}12631264@techreport{goldberg2013time,1265 title = {Time Variation in Asset Price Responses to Macro Announcements},1266 author = {Goldberg, Linda S. and Grisse, Christian},1267 institution = {National Bureau of Economic Research},1268 type = {Working Paper},1269 series = {Working Paper Series},1270 number = {19523},1271 year = {2013},1272 month = {October},1273 doi = {10.3386/w19523},1274 url = {http://www.nber.org/papers/w19523}1275}12761277@article{goldstein2014speculation,1278 title = {Speculation and Hedging in Segmented Markets},1279 author = {Goldstein, Itay and Li, Yan and Yang, Liyan},1280 journal = {Review of Financial Studies},1281 volume = {27},1282 number = {3},1283 pages = {881--922},1284 year = {2014},1285 publisher = {Oxford University Press}1286}12871288@article{goldstein2022commodity,1289 title = {Commodity Financialization and Information Transmission},1290 author = {Goldstein, Itay and Yang, Liyan},1291 journal = {The Journal of Finance},1292 volume = {77},1293 number = {5},1294 pages = {2613--2667},1295 year = {2022},1296 publisher = {Wiley Online Library}1297}12981299@article{gorodnichenko2023,1300 title={The Voice of Monetary Policy},1301 author={Gorodnichenko, Yuriy and Pham, Tho and Talavera, Oleksandr},1302 journal={American Economic Review},1303 volume={113},1304 number={2},1305 pages={548--584},1306 year={2023},1307 publisher={American Economic Association}1308}13091310@article{gorton2006facts,1311 title={Facts and fantasies about commodity futures},1312 author={Gorton, Gary and Rouwenhorst, K Geert},1313 journal={Financial Analysts Journal},1314 volume={62},1315 number={2},1316 pages={47--68},1317 year={2006},1318 publisher={CFA Institute}1319}13201321@article{gospodinov2012effects,1322 title = {The Effects of Federal Funds Rate Surprises on S\&P 500 Volatility and Volatility Risk Premium},1323 author = {Gospodinov, Nikolay and Jamali, Ibrahim},1324 journal = {Journal of Empirical Finance},1325 volume = {19},1326 number = {4},1327 pages = {497--510},1328 year = {2012},1329 publisher = {Elsevier}1330}13311332@article{graicer2021opec,1333 author = {Graicer, Rafael and Nery, Thiago Affonso and Jucá, Michele Nascimento and Junior, Eli Hadad and Bastos, Douglas Dias},1334 doi = {10.5902/1983465963575},1335 title = {The Impact of the OPEC Announcement on the Oil Companies' Share Prices},1336 journal = {Revista De Administração Da Ufsm},1337 year = {2021}1338}13391340@article{gromb2010limits,1341 title={Limits of arbitrage: The state of the theory},1342 author={Gromb, Denis and Vayanos, Dimitri},1343 journal={Annual Review of Financial Economics},1344 volume={2},1345 pages={251--275},1346 year={2010},1347 publisher={Annual Reviews}1348}13491350@article{grossman1980,1351 title={On the Impossibility of Informationally Efficient Markets},1352 author={Grossman, Sanford J and Stiglitz, Joseph E},1353 journal={American Economic Review},1354 volume={70},1355 number={3},1356 pages={393--408},1357 year={1980},1358 publisher={American Economic Association}1359}13601361@article{grossman1980impossibility,1362 title = {On the Impossibility of Informationally Efficient Markets},1363 author = {Grossman, Sanford J and Stiglitz, Joseph E},1364 journal = {American Economic Review},1365 volume = {70},1366 number = {3},1367 pages = {393--408},1368 year = {1980},1369 publisher = {JSTOR}1370}13711372@article{gu2018drives,1373 title = {What Drives Informed Trading Before Public Releases? Evidence from Natural Gas Inventory Announcements},1374 author = {Gu, Chen and Kurov, Alexander},1375 journal = {Journal of Futures Markets},1376 volume = {38},1377 number = {9},1378 pages = {1079--1096},1379 year = {2018},1380 publisher = {Wiley Online Library}1381}13821383@article{guo2015leveraged,1384 title={Leveraged {ETF} performance during periods of market turmoil},1385 author={Guo, Hui and Leung, Tim},1386 journal={The Journal of Derivatives},1387 volume={22},1388 number={3},1389 pages={61--74},1390 year={2015},1391 publisher={Institutional Investor Journals}1392}13931394@article{gurkaynak2005,1395 title={Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements},1396 author={G{\"u}rkaynak, Refet S and Sack, Brian P and Swanson, Eric T},1397 journal={International Journal of Central Banking},1398 volume={1},1399 number={1},1400 pages={55--93},1401 year={2005}1402}14031404@article{gurkaynak2005sensitivity,1405 title={The sensitivity of long-term interest rates to economic news: Evidence and implications for macroeconomic models},1406 author={G{\"u}rkaynak, Refet S and Sack, Brian and Swanson, Eric},1407 journal={American Economic Review},1408 volume={95},1409 number={1},1410 pages={425--436},1411 year={2005}1412}14131414@article{gurtler2010,1415 title={The Effect of FOMC Statement Language on Financial Markets},1416 author={Gürtler, Marc and Gürtler, Oliver},1417 journal={Journal of Financial Research},1418 volume={33},1419 number={4},1420 pages={369--391},1421 year={2010},1422 publisher={Wiley Online Library}1423}14241425@article{haigh2007hedge,1426 title={Hedge funds, volatility, and liquidity provision in energy futures markets},1427 author={Haigh, Michael S and Hranaiova, Jana and Overdahl, James A},1428 journal={Journal of Alternative Investments},1429 volume={9},1430 number={4},1431 pages={10--38},1432 year={2007},1433 publisher={Institutional Investor Journals Umbrella}1434}14351436@article{hakkio1985reaction,1437 title={The reaction of exchange rates to economic news},1438 author={Hakkio, Craig S and Pearce, Douglas K},1439 journal={Economic Inquiry},1440 volume={23},1441 number={4},1442 pages={621--636},1443 year={1985},1444 publisher={Wiley Online Library}1445}14461447@article{hamilton2014risk,1448 title = {Risk Premia in Crude Oil Futures Prices},1449 author = {Hamilton, James D. and Wu, Jing Cynthia},1450 journal = {Journal of International Money and Finance},1451 volume = {42},1452 pages = {9--37},1453 year = {2014},1454 publisher = {Elsevier}1455}14561457@article{hamm2011liquidity,1458 title={Liquidity and firm value: Evidence from {ETF} holdings},1459 author={Hamm, Sophia JW},1460 journal={Journal of Corporate Finance},1461 volume={20},1462 pages={1--15},1463 year={2014},1464 publisher={Elsevier}1465}14661467@article{hamm2014liquidity,1468 title={Liquidity and firm value: Evidence from {ETF} holdings},1469 author={Hamm, Sophia JW},1470 journal={Journal of Corporate Finance},1471 volume={29},1472 pages={1--15},1473 year={2014},1474 publisher={Elsevier}1475}14761477@article{hammoudeh2008metal,1478 title={Metal volatility in presence of oil and interest rate shocks},1479 author={Hammoudeh, Shawkat and Yuan, Yuan},1480 journal={Energy Economics},1481 volume={30},1482 number={2},1483 pages={606--620},1484 year={2008},1485 publisher={Elsevier}1486}14871488@article{hansen2005realized,1489 title={A realized variance for the whole day based on intermittent high-frequency data},1490 author={Hansen, Peter Reinhard and Lunde, Asger},1491 journal={Journal of Financial Econometrics},1492 volume={3},1493 number={4},1494 pages={525--554},1495 year={2005},1496 publisher={Oxford University Press}1497}14981499@article{hansen2017,1500 title={Transparency and Deliberation within the FOMC: A Computational Linguistics Approach},1501 author={Hansen, Stephen and McMahon, Michael and Prat, Andrea},1502 journal={Quarterly Journal of Economics},1503 volume={133},1504 number={2},1505 pages={801--870},1506 year={2018},1507 publisher={Oxford University Press}1508}15091510@article{harris2009role,1511 title={The role of speculators in the crude oil futures market},1512 author={Harris, Jeffrey H and Buyuksahin, Bahattin},1513 journal={Available at SSRN 1435042},1514 year={2009}1515}15161517@article{hasbrouck2003intraday,1518 title={Intraday price formation in {US} equity index markets},1519 author={Hasbrouck, Joel},1520 journal={The Journal of Finance},1521 volume={58},1522 number={6},1523 pages={2375--2400},1524 year={2003},1525 publisher={Wiley}1526}15271528@article{hautsch2011impact,1529 title = {The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility},1530 author = {Hautsch, Nikolaus and Hess, Dieter and Veredas, David},1531 journal = {Journal of Banking \& Finance},1532 volume = {35},1533 number = {10},1534 pages = {2733--2746},1535 year = {2011},1536 publisher = {Elsevier}1537}15381539@article{hayo2010,1540 title={Do Federal Reserve Communications Help Predict Federal Funds Target Rate Decisions?},1541 author={Hayo, Bernd and Neuenkirch, Matthias},1542 journal={Journal of Macroeconomics},1543 volume={32},1544 number={4},1545 pages={1014--1024},1546 year={2010},1547 publisher={Elsevier}1548}15491550@article{hedegaard2011margins,1551 title = {How Margins Are Set and Affect Asset Prices},1552 author = {Hedegaard, Esben},1553 journal = {Job Market Paper},1554 year = {2011}1555}15561557@article{hedge2007funds,1558 title = {Hedge Funds, Volatility, and Liquidity Provision in Energy Futures Markets},1559 author = {Haigh, Michael S. and Hranaiova, Jana and Overdahl, James A.},1560 journal = {Journal of Alternative Investments},1561 volume = {9},1562 number = {4},1563 pages = {10--38},1564 year = {2007},1565 publisher = {Institutional Investor Journals Umbrella}1566}15671568@article{hendershott2013relationship,1569 title={Algorithmic trading and the market for liquidity},1570 author={Hendershott, Terrence and Riordan, Ryan},1571 journal={Journal of Financial and Quantitative Analysis},1572 volume={48},1573 number={4},1574 pages={1001--1024},1575 year={2013},1576 publisher={Cambridge University Press}1577}15781579@article{henderson2015new,1580 title={New evidence on the financialization of commodity markets},1581 author={Henderson, Brian J and Pearson, Neil D and Wang, Li},1582 journal={Review of Financial Studies},1583 volume={28},1584 number={5},1585 pages={1285--1311},1586 year={2015},1587 publisher={Oxford University Press}1588}15891590@article{hess2008commodity,1591 title = {How Do Commodity Futures Respond to Macroeconomic News?},1592 author = {Hess, Dieter and Huang, He and Niessen, Alexandra},1593 journal = {Financial Markets and Portfolio Management},1594 volume = {22},1595 number = {2},1596 pages = {127--146},1597 year = {2008},1598 publisher = {Springer}1599}16001601@article{hicks1975value,1602 title = {Value and Capital: An Inquiry into Some Fundamental Principles of Economic Theory},1603 author = {Hicks, John Richard and others},1604 journal = {OUP Catalogue},1605 year = {1975},1606 publisher = {Oxford University Press}1607}16081609@article{hirshleifer1990hedging,1610 title = {Hedging Pressure and Futures Price Movements in a General Equilibrium Model},1611 author = {Hirshleifer, David},1612 journal = {Econometrica},1613 pages = {411--428},1614 year = {1990},1615 publisher = {JSTOR}1616}16171618@article{hirshleifer1991seasonal,1619 title = {Seasonal Patterns of Futures Hedging and the Resolution of Output Uncertainty},1620 author = {Hirshleifer, David},1621 journal = {Journal of Economic Theory},1622 volume = {53},1623 number = {2},1624 pages = {304--327},1625 year = {1991},1626 publisher = {Elsevier}1627}16281629@article{hollstein2020volatility,1630 title = {Volatility Term Structures in Commodity Markets},1631 author = {Hollstein, Fabian and Prokopczuk, Marcel and W{\"u}rsig, Christoph},1632 journal = {Journal of Futures Markets},1633 volume = {40},1634 number = {4},1635 pages = {527--555},1636 year = {2020},1637 publisher = {Wiley Online Library}1638}16391640@article{horan2004implied,1641 title = {Implied Volatility of Oil Futures Options Surrounding {OPEC} Meetings},1642 author = {Horan, Stephen M. and Peterson, Jeffrey H. and Mahar, James},1643 journal = {The Energy Journal},1644 volume = {25},1645 number = {3},1646 pages = {103--125},1647 year = {2004},1648 publisher = {International Association for Energy Economics}1649}16501651@article{hordahl2020expectations,1652 title = {Expectations and Risk Premia at 8:30 am: Deciphering the Responses of Bond Yields to Macroeconomic Announcements},1653 author = {H{\"o}rdahl, Peter and Remolona, Eli M. and Valente, Giorgio},1654 journal = {Journal of Business \& Economic Statistics},1655 volume = {38},1656 number = {1},1657 pages = {27--42},1658 year = {2020},1659 publisher = {Taylor \& Francis}1660}16611662@article{hu2013noise,1663 title = {Noise as Information for Illiquidity},1664 author = {Hu, Grace Xing and Pan, Jun and Wang, Jiang},1665 journal = {Journal of Finance},1666 volume = {68},1667 number = {6},1668 pages = {2341--2382},1669 year = {2013},1670 publisher = {Wiley Online Library}1671}16721673@article{hu2017early,1674 title={Early peek advantage? Efficient price discovery with tiered information disclosure},1675 author={Hu, Grace Xing and Pan, Jun and Wang, Jiang},1676 journal={Journal of Financial Economics},1677 volume={126},1678 number={2},1679 pages={399--421},1680 year={2017},1681 publisher={Elsevier}1682}16831684@article{hu2019,1685 title={Noise as Information for Illiquidity},1686 author={Hu, Grace Xing and Pan, Jun and Wang, Jiang},1687 journal={Journal of Finance},1688 volume={68},1689 number={6},1690 pages={2341--2382},1691 year={2013},1692 publisher={Wiley Online Library}1693}16941695@article{huang2005using,1696 title={The relative contribution of jumps to total price variance},1697 author={Huang, Xin and Tauchen, George},1698 journal={Journal of Financial Econometrics},1699 volume={3},1700 number={4},1701 pages={456--499},1702 year={2005},1703 publisher={Oxford University Press}1704}17051706@article{humphreys2010great,1707 title = {The Great Metals Boom: A Retrospective},1708 author = {Humphreys, David},1709 journal = {Resources Policy},1710 volume = {35},1711 number = {1},1712 pages = {1--13},1713 year = {2010},1714 publisher = {Elsevier}1715}17161717@article{irwin1987note,1718 title = {A Note on the Factors Affecting Technical Trading System Returns},1719 author = {Irwin, Scott H. and Brorsen, B. Wade},1720 journal = {Journal of Futures Markets},1721 volume = {7},1722 number = {5},1723 pages = {591--595},1724 year = {1987},1725 publisher = {Wiley Subscription Services, Inc., A Wiley Company New York}1726}17271728@article{irwin1999managed,1729 title = {Managed Futures, Positive Feedback Trading, and Futures Price Volatility},1730 author = {Irwin, Scott H. and Yoshimaru, Satoko},1731 journal = {Journal of Futures Markets},1732 volume = {19},1733 number = {7},1734 pages = {759--776},1735 year = {1999},1736 publisher = {Wiley Online Library}1737}17381739@incollection{irwin2004effect,1740 author = {Irwin, Scott H. and Holt, Bryce},1741 title = {The Effect of Large Hedge Fund and {CTA} Trading on Futures Market Volatility},1742 booktitle = {Commodity Trading Advisors: Risk, Performance Analysis and Selection},1743 publisher = {John Wiley and Sons, Inc},1744 address = {New York, NY},1745 year = {2004}1746}17471748@article{irwin2009devil,1749 title = {Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust)},1750 author = {Irwin, Scott H. and Sanders, Dwight R. and Merrin, Robert P.},1751 journal = {Journal of Agricultural and Applied Economics},1752 volume = {41},1753 number = {2},1754 pages = {377--391},1755 year = {2009},1756 publisher = {Cambridge University Press}1757}17581759@article{irwin2011index,1760 title = {Index Funds, Financialization, and Commodity Futures Markets},1761 author = {Irwin, Scott H. and Sanders, Dwight R.},1762 journal = {Applied Economic Perspectives and Policy},1763 volume = {33},1764 number = {1},1765 pages = {1--31},1766 year = {2011},1767 publisher = {Oxford University Press}1768}17691770@article{irwin2012financialization,1771 title = {Financialization and Structural Change in Commodity Futures Markets},1772 author = {Irwin, Scott H. and Sanders, Dwight R.},1773 journal = {Journal of Agricultural and Applied Economics},1774 volume = {44},1775 number = {3},1776 pages = {371--396},1777 year = {2012},1778 publisher = {Cambridge University Press}1779}17801781@article{irwin2012testing,1782 title = {Testing the Masters Hypothesis in Commodity Futures Markets},1783 author = {Irwin, Scott H. and Sanders, Dwight R.},1784 journal = {Energy Economics},1785 volume = {34},1786 number = {1},1787 pages = {256--269},1788 year = {2012},1789 publisher = {Elsevier}1790}17911792@article{israeli2017etf,1793 title={Is there a dark side to exchange traded funds? {An} information perspective},1794 author={Israeli, Doron and Lee, Charles MC and Sridharan, Suhas A},1795 journal={Review of Accounting Studies},1796 volume={22},1797 number={3},1798 pages={1048--1083},1799 year={2017},1800 publisher={Springer}1801}18021803@article{jarocinski2020,1804 title={Deconstructing Monetary Policy Surprises—The Role of Information Shocks},1805 author={Jaro{\'c}inski, Marek and Kar{\'a}di, Peter},1806 journal={American Economic Journal: Macroeconomics},1807 volume={12},1808 number={2},1809 pages={1--43},1810 year={2020},1811 publisher={American Economic Association}1812}18131814@article{joets2017does,1815 title={Does the volatility of commodity prices reflect macroeconomic uncertainty?},1816 author={Jo{\"e}ts, Marc and Mignon, Val{\'e}rie and Razafindrabe, Tovonony},1817 journal={Energy Economics},1818 volume={68},1819 pages={313--326},1820 year={2017},1821 publisher={Elsevier}1822}18231824@article{jorda2005,1825 title={Estimation and Inference of Impulse Responses by Local Projections},1826 author={Jord{\`a}, {\`O}scar},1827 journal={American Economic Review},1828 volume={95},1829 number={1},1830 pages={161--182},1831 year={2005}1832}18331834@article{kaldor1976speculation,1835 title = {Speculation and Economic Stability},1836 author = {Kaldor, Nicholas},1837 booktitle = {The Economics of Futures Trading},1838 pages = {111--123},1839 year = {1976},1840 publisher = {Springer}1841}18421843@article{kang2020economic,1844 title={Economic determinants of oil futures volatility: A term structure perspective},1845 author={Kang, Boda and Nikitopoulos, Christina Sklibosios and Prokopczuk, Marcel},1846 journal={Energy Economics},1847 volume={88},1848 pages={104743},1849 year={2020},1850 publisher={Elsevier},1851 doi={10.1016/j.eneco.2020.104743}1852}18531854@article{kang2020tale,1855 title = {A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets},1856 author = {Kang, Wenjin and Rouwenhorst, K. Geert and Tang, Ke},1857 journal = {Journal of Finance},1858 volume = {75},1859 number = {1},1860 pages = {377--417},1861 year = {2020},1862 publisher = {Wiley Online Library}1863}18641865@article{kang2023financialization,1866 title={Financialization of commodity markets ten years later},1867 author={Kang, Wenjin and Tang, Ke and Wang, Ningli},1868 journal={Journal of Commodity Markets},1869 volume={30},1870 pages={100313},1871 year={2023},1872 publisher={Elsevier}1873}18741875@article{karali2014macro,1876 title={Macro determinants of volatility and volatility spillover in energy markets},1877 author={Karali, Berna and Ramirez, Octavio A},1878 journal={Energy Economics},1879 volume={46},1880 pages={413--421},1881 year={2014},1882 publisher={Elsevier},1883 doi={10.1016/j.eneco.2014.06.004}1884}18851886@article{kellogg2014effect,1887 title = {The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling},1888 author = {Kellogg, Ryan},1889 journal = {American Economic Review},1890 volume = {104},1891 number = {6},1892 pages = {1698--1734},1893 year = {2014}1894}18951896@inproceedings{kenton2019,1897 title={BERT: Pre-training of Deep Bidirectional Transformers for Language Understanding},1898 author={Devlin, Jacob and Chang, Ming-Wei and Lee, Kenton and Toutanova, Kristina},1899 booktitle={Proceedings of the 2019 Conference of the North American Chapter of the Association for Computational Linguistics},1900 pages={4171--4186},1901 year={2019}1902}19031904@article{keynes1923some,1905 title = {Some Aspects of Commodity Markets},1906 author = {Keynes, John Maynard},1907 journal = {Manchester Guardian Commercial: European Reconstruction Series},1908 volume = {13},1909 pages = {784--786},1910 year = {1923}1911}19121913@article{kilian2011energy,1914 title = {Do Energy Prices Respond to US Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices},1915 author = {Kilian, Lutz and Vega, Clara},1916 journal = {Review of Economics and Statistics},1917 volume = {93},1918 number = {2},1919 pages = {660--671},1920 year = {2011},1921 publisher = {The MIT Press}1922}19231924@article{kilian2014role,1925 title = {The Role of Inventories and Speculative Trading in the Global Market for Crude Oil},1926 author = {Kilian, Lutz and Murphy, Daniel P.},1927 journal = {Journal of Applied Econometrics},1928 volume = {29},1929 number = {3},1930 pages = {454--478},1931 year = {2014},1932 publisher = {Wiley Online Library}1933}19341935@article{kim2015does,1936 title = {Does Futures Speculation Destabilize Commodity Markets?},1937 author = {Kim, Abby},1938 journal = {Journal of Futures Markets},1939 volume = {35},1940 number = {8},1941 pages = {696--714},1942 year = {2015},1943 publisher = {Wiley Online Library}1944}19451946@article{knuth2018breakthroughs,1947 title = {“Breakthroughs” for a Green Economy? Financialization and Clean Energy Transition},1948 author = {Knuth, Sarah},1949 journal = {Energy Research \& Social Science},1950 volume = {41},1951 pages = {220--229},1952 year = {2018},1953 publisher = {Elsevier}1954}19551956@article{koop2011forecasting,1957 title={Forecasting with medium and large {B}ayesian {VARs}},1958 author={Koop, Gary},1959 journal={Journal of Applied Econometrics},1960 volume={28},1961 number={2},1962 pages={177--203},1963 year={2013},1964 publisher={Wiley}1965}19661967@article{koop2013forecasting,1968 title={Forecasting with medium and large {B}ayesian {VARs}},1969 author={Koop, Gary},1970 journal={Journal of Applied Econometrics},1971 volume={28},1972 number={2},1973 pages={177--203},1974 year={2013},1975 publisher={Wiley}1976}19771978@article{kothari2007econometrics,1979 title = {Econometrics of Event Studies},1980 author = {Kothari, Sagar P. and Warner, Jerold B.},1981 booktitle = {Handbook of Empirical Corporate Finance},1982 pages = {3--36},1983 year = {2007},1984 publisher = {Elsevier}1985}19861987@article{krause2014exchange,1988 title={Exchange-traded funds, liquidity and volatility},1989 author={Krause, Tanja and Ehsani, Shahram and Lien, Donald},1990 journal={Applied Financial Economics},1991 volume={24},1992 number={24},1993 pages={1617--1630},1994 year={2014},1995 publisher={Taylor \& Francis}1996}19971998@article{krehbiel2019real,1999 title={Real-time price discovery via verbal communication: Method and application},2000 author={Krehbiel, Tim and Adkins, Lee C},2001 journal={Journal of Futures Markets},2002 volume={39},2003 number={5},2004 pages={596--613},2005 year={2019},2006 publisher={Wiley}2007}20082009@article{kurov2018monetary,2010 title={Monetary policy uncertainty and the market reaction to macroeconomic news},2011 author={Kurov, Alexander and Stan, Raluca},2012 journal={Journal of Banking \& Finance},2013 volume={86},2014 pages={127--142},2015 year={2018},2016 publisher={Elsevier}2017}20182019@article{kurov2019price,2020 title={Price drift before US macroeconomic news: Private information about public announcements?},2021 author={Kurov, Alexander and Sancetta, Alessio and Strasser, Georg and Wolfe, Marketa Halova},2022 journal={Journal of Financial and Quantitative Analysis},2023 volume={54},2024 number={1},2025 pages={449--479},2026 year={2019},2027 publisher={Cambridge University Press}2028}20292030@article{kuttner2001,2031 title={Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market},2032 author={Kuttner, Kenneth N},2033 journal={Journal of Monetary Economics},2034 volume={47},2035 number={3},2036 pages={523--544},2037 year={2001},2038 publisher={Elsevier}2039}20402041@article{kyle1985continuous,2042 title = {Continuous Auctions and Insider Trading},2043 author = {Kyle, Albert S},2044 journal = {Econometrica},2045 volume = {53},2046 number = {6},2047 pages = {1315--1335},2048 year = {1985},2049 publisher = {JSTOR}2050}20512052@article{lagi2011food,2053 author = {Lagi, Marco and Bertrand, Karla and Bar‐Yam, Yaneer},2054 title = {The Food Crises and Political Instability in North Africa and the Middle East},2055 journal = {SSRN Electronic Journal},2056 year = {2011},2057 doi = {10.2139/ssrn.1910031}2058}20592060@article{lee1991inferring,2061 title={Inferring trade direction from intraday data},2062 author={Lee, Charles MC and Ready, Mark J},2063 journal={The Journal of Finance},2064 volume={46},2065 number={2},2066 pages={733--746},2067 year={1991},2068 publisher={Wiley}2069}20702071@article{lee1995oil,2072 title={Oil shocks and the macroeconomy: the role of price variability},2073 author={Lee, Kiseok and Ni, Shawn and Ratti, Ronald A},2074 journal={The Energy Journal},2075 volume={16},2076 number={4},2077 pages = {39--56},2078 year={1995},2079 publisher={International Association for Energy Economics}2080}20812082@article{lettau2018exchange,2083 title={Exchange-traded funds 101 for economists},2084 author={Lettau, Martin and Madhavan, Ananth},2085 journal={Journal of Economic Perspectives},2086 volume={32},2087 number={1},2088 pages={135--154},2089 year={2018},2090 publisher={American Economic Association}2091}20922093@article{lin2010opec,2094 author = {Lin, Sharon Xiaowen and Tamvakis, Michael},2095 doi = {10.1016/j.enpol.2009.10.053},2096 title = {OPEC Announcements and Their Effects on Crude Oil Prices},2097 journal = {Energy Policy},2098 volume = {38},2099 number = {2},2100 pages = {1010--1016},2101 year = {2010}2102}21032104@article{litterman1986forecasting,2105 title={Forecasting with {B}ayesian vector autoregressions—five years of experience},2106 author={Litterman, Robert B},2107 journal={Journal of Business \& Economic Statistics},2108 volume={4},2109 number={1},2110 pages={25--38},2111 year={1986},2112 publisher={Taylor \& Francis}2113}21142115@article{liu2015does,2116 title={Does anything beat 5-minute {RV}? {A} comparison of realized measures across multiple asset classes},2117 author={Liu, Lily Y and Patton, Andrew J and Sheppard, Kevin},2118 journal={Journal of Econometrics},2119 volume={187},2120 number={1},2121 pages={293--311},2122 year={2015},2123 publisher={Elsevier}2124}21252126@article{loughran2011,2127 title={When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks},2128 author={Loughran, Tim and McDonald, Bill},2129 journal={Journal of Finance},2130 volume={66},2131 number={1},2132 pages={35--65},2133 year={2011},2134 publisher={Wiley Online Library}2135}21362137@article{lucca2012,2138 title={The Pre-FOMC Announcement Drift},2139 author={Lucca, David O and Moench, Emanuel},2140 journal={Journal of Finance},2141 volume={70},2142 number={1},2143 pages={329--371},2144 year={2015},2145 publisher={Wiley Online Library}2146}21472148@article{lucey2015precious,2149 title = {What Precious Metals Act as Safe Havens, and When? Some {US} Evidence},2150 author = {Lucey, Brian M and Li, Sile},2151 journal = {Applied Economics Letters},2152 volume = {22},2153 number = {1},2154 pages = {35--45},2155 year = {2015},2156 publisher = {Taylor \& Francis}2157}21582159@article{lynch2021market,2160 title={Market maker of last resort: The {F}ederal {R}eserve's role in the {COVID}-19 bond market crisis},2161 author={Lynch, David P},2162 journal={Journal of Financial Economics},2163 volume={142},2164 number={2},2165 pages={588--605},2166 year={2021},2167 publisher={Elsevier}2168}21692170@article{madhavan2012exchange,2171 title={Exchange-traded funds, market structure, and the flash crash},2172 author={Madhavan, Ananth},2173 journal={Financial Analysts Journal},2174 volume={68},2175 number={4},2176 pages={20--35},2177 year={2012},2178 publisher={CFA Institute}2179}21802181@article{malamud2016portfolio,2182 title={Portfolio delegation and market efficiency},2183 author={Malamud, Semyon},2184 journal={The Journal of Finance},2185 volume={71},2186 number={6},2187 pages={2529--2574},2188 year={2016},2189 publisher={Wiley}2190}21912192@article{manela2017,2193 title={News Implied Volatility and Disaster Concerns},2194 author={Manela, Asaf and Moreira, Alan},2195 journal={Journal of Financial Economics},2196 volume={123},2197 number={1},2198 pages={137--162},2199 year={2017},2200 publisher={Elsevier}2201}22022203@article{masters2009testimony,2204 title = {Testimony Before the Commodity Futures Trading Commission},2205 author = {Masters, Michael W.},2206 journal = {Testimony to the Commodity Futures Trading Commission},2207 year = {2009}2208}22092210@article{muller1997volatilities,2211 title={Volatilities of different time resolutions—analyzing the dynamics of market components},2212 author={Müller, Ulrich A and Dacorogna, Michel M and Davé, Rakhal D and Olsen, Richard B and Pictet, Olivier V and von Weizsäcker, Jacob E},2213 journal={Journal of Empirical Finance},2214 volume={4},2215 number={2-3},2216 pages={213--239},2217 year={1997},2218 publisher={Elsevier}2219}22202221@article{muth1961,2222 title={Rational Expectations and the Theory of Price Movements},2223 author={Muth, John F},2224 journal={Econometrica},2225 volume={29},2226 number={3},2227 pages={315--335},2228 year={1961},2229 publisher={JSTOR}2230}22312232@article{nakamura2018,2233 title={High-Frequency Identification of Monetary Non-neutrality: The Information Effect},2234 author={Nakamura, Emi and Steinsson, J{\'o}n},2235 journal={Quarterly Journal of Economics},2236 volume={133},2237 number={3},2238 pages={1283--1330},2239 year={2018},2240 publisher={Oxford University Press}2241}22422243@techreport{NBERw19523,2244 title = "Time Variation in Asset Price Responses to Macro Announcements",2245 author = "Goldberg, Linda S and Grisse, Christian",2246 institution = "National Bureau of Economic Research",2247 type = "Working Paper",2248 series = "Working Paper Series",2249 number = "19523",2250 year = "2013",2251 month = "October",2252 doi = {10.3386/w19523},2253 URL = "http://www.nber.org/papers/w19523",2254 abstract = {Although the effects of economic news announcements on asset prices are well established, these relationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those announcements that have the largest effects on asset prices. The time variation in effects is explained by economic conditions, including the level of policy rates at the time of the release, and risk conditions: government bond yields increase in response to "good news", but less so when risk is elevated. Risk conditions matter since they can capture the effects of uncertainty on the information content of news announcements, the interaction of monetary policy and financial stability objectives of central banks, and the effect of news announcements on the risk premium.},2255}22562257@article{nelson1991conditional,2258 title={Conditional heteroskedasticity in asset returns: A new approach},2259 author={Nelson, Daniel B},2260 journal={Econometrica},2261 pages={347--370},2262 year={1991},2263 publisher={JSTOR}2264}22652266@misc{newey1986simple,2267 title = {A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix},2268 author = {Newey, Whitney K. and West, Kenneth D.},2269 year = {1986},2270 publisher = {National Bureau of Economic Research, Cambridge, MA, USA}2271}22722273@article{newey1994automatic,2274 title={Automatic lag selection in covariance matrix estimation},2275 author={Newey, Whitney K and West, Kenneth D},2276 journal={Review of Economic Studies},2277 volume={61},2278 number={4},2279 pages={631--653},2280 year={1994},2281 publisher={Wiley-Blackwell}2282}22832284@article{ohara2021etf,2285 title={Anatomy of a liquidity crisis: Corporate bonds in the {COVID}-19 crisis},2286 author={O'Hara, Maureen and Zhou, Xing Alex},2287 journal={Journal of Financial Economics},2288 volume={142},2289 number={1},2290 pages={46--68},2291 year={2021},2292 publisher={Elsevier}2293}22942295@article{ozdurak2020price,2296 title={Price discovery in crude oil markets: Intraday volatility interactions between crude oil futures and energy exchange traded funds},2297 author={Ozdurak, Caner and Ulusoy, Veysel},2298 journal={International Journal of Energy Economics and Policy},2299 volume={10},2300 number={3},2301 pages={402--413},2302 year={2020}2303}23042305@article{pal2023agricultural,2306 author = {Pal, Dipanwita},2307 title = {Do Agricultural Prices Respond to Interest on Reserves?},2308 journal = {The Economics and Finance Letters},2309 volume = {10},2310 number = {1},2311 pages = {94--101},2312 year = {2023},2313 doi = {10.18488/29.v10i1.3311}2314}23152316@article{pan2016etf,2317 title={{ETF} arbitrage under liquidity mismatch},2318 author={Pan, Kevin and Zeng, Yao},2319 journal={Journal of Financial Economics},2320 volume={120},2321 number={3},2322 pages={617--635},2323 year={2016},2324 publisher={Elsevier}2325}23262327@article{pan2017market,2328 title={Market disruptions and destabilizing speculation},2329 author={Pan, Kevin and Zeng, Yao},2330 journal={Journal of Financial Economics},2331 volume={126},2332 number={1},2333 pages={450--471},2334 year={2017},2335 publisher={Elsevier}2336}23372338@article{park2019speculators,2339 author = {Park, Jinwook},2340 title = {Effect of Speculators’ Position Changes on the LME Futures Market},2341 journal = {International Journal of Financial Studies},2342 volume = {7},2343 number = {2},2344 pages = {32},2345 year = {2019},2346 doi = {10.3390/ijfs7020032}2347}23482349@article{patton2013,2350 title={Why Do Markets Disagree? Evidence from Variation in Opinion},2351 author={Patton, Andrew J and Verardo, Michela},2352 journal={Review of Financial Studies},2353 volume={25},2354 number={12},2355 pages={3734--3773},2356 year={2012},2357 publisher={Oxford University Press}2358}23592360@techreport{pearce1984stock,2361 title={Stock prices and economic news},2362 author={Pearce, Douglas K and Roley, V Vance},2363 year={1984},2364 institution={National Bureau of Economic Research}2365}23662367@article{pescatori2022opec,2368 author = {Pescatori, Andrea and Nazer, Yousef},2369 doi = {10.5089/9798400219788.001},2370 title = {OPEC and the Oil Market},2371 journal = {IMF Working Paper},2372 year = {2022}2373}23742375@article{petajisto2017inefficiencies,2376 title={Inefficiencies in the pricing of exchange-traded funds},2377 author={Petäjistö, Antti},2378 journal={Financial Analysts Journal},2379 volume={73},2380 number={1},2381 pages={24--54},2382 year={2017},2383 publisher={CFA Institute}2384}23852386@book{pirrong2011commodity,2387 title = {Commodity Price Dynamics: A Structural Approach},2388 author = {Pirrong, Craig},2389 year = {2011},2390 publisher = {Cambridge University Press}2391}23922393@article{pontiff1996costly,2394 title={Costly arbitrage: Evidence from closed-end funds},2395 author={Pontiff, Jeffrey},2396 journal={The Quarterly Journal of Economics},2397 volume={111},2398 number={4},2399 pages={1135--1151},2400 year={1996},2401 publisher={Oxford University Press}2402}24032404@article{primiceri2005time,2405 title={Time varying structural vector autoregressions and monetary policy},2406 author={Primiceri, Giorgio E},2407 journal={The Review of Economic Studies},2408 volume={72},2409 number={3},2410 pages={821--852},2411 year={2005},2412 publisher={Oxford University Press}2413}24142415@article{rakowski2021twitter,2416 title = {Twitter Activity, Investor Attention, and the Diffusion of Information},2417 author = {Rakowski, David and Shirley, Sara E and Stark, Jeffrey R},2418 journal = {Financial Management},2419 volume = {50},2420 number = {1},2421 pages = {3--46},2422 year = {2021},2423 publisher = {Wiley Online Library}2424}24252426@article{ready2022order,2427 title={Order flows and financial investor impacts in commodity futures markets},2428 author={Ready, Mark J and Ready, Robert C},2429 journal={The Review of Financial Studies},2430 volume={35},2431 number={10},2432 pages={4712--4755},2433 year={2022},2434 publisher={Oxford University Press}2435}24362437@article{richie2008examination,2438 title={The limits to stock index arbitrage: Examining {S\&P} 500 futures and {SPDRs}},2439 author={Richie, Nivine and Daigler, Robert T and Gleason, Kimberly C},2440 journal={Journal of Futures Markets},2441 volume={28},2442 number={12},2443 pages={1182--1205},2444 year={2008},2445 publisher={Wiley}2446}24472448@article{rlmishra2021financialization,2449 author = {Mishra, Ramesh and Mishra, Alok},2450 title = {Financialization of Indian Agricultural Commodities: The Case of Index Investments},2451 journal = {International Journal of Social Economics},2452 volume = {49},2453 number = {1},2454 pages = {73--96},2455 year = {2021},2456 doi = {10.1108/ijse-05-2021-0254}2457}24582459@article{roll1984,2460 author = {Roll, R.},2461 title = {A Simple Implicit Measure of the Effective Bid-Ask Spread},2462 journal = {The Journal of Finance},2463 volume = {39},2464 number = {4},2465 pages = {1127--1139},2466 year = {1984},2467}24682469@article{rosa2013,2470 title={The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements},2471 author={Rosa, Carlo},2472 journal={Journal of Banking \& Finance},2473 volume={37},2474 number={6},2475 pages={2162--2174},2476 year={2013},2477 publisher={Elsevier}2478}24792480@article{sanders2010speculative,2481 title={A speculative bubble in commodity futures prices? Cross-sectional evidence},2482 author={Sanders, Dwight R and Irwin, Scott H},2483 journal={Agricultural Economics},2484 volume={41},2485 number={1},2486 pages={25--32},2487 year={2010},2488 publisher={Wiley Online Library}2489}24902491@article{sanders2016bubbles,2492 title = {Bubbles, Froth and Facts: Another Look at the Masters Hypothesis in Commodity Futures Markets},2493 author = {Sanders, Dwight and Irwin, Scott},2494 journal = {Journal of Agricultural Economics},2495 volume = {68},2496 number = {2},2497 pages = {345--365},2498 year = {2016},2499 doi = {10.1111/1477-9552.12191}2500}25012502@article{savor2013much,2503 title={How much do investors care about macroeconomic risk? Evidence from scheduled economic announcements},2504 author={Savor, Pavel and Wilson, Mungo},2505 journal={Journal of Financial and Quantitative Analysis},2506 pages={343--375},2507 year={2013},2508 publisher={JSTOR}2509}25102511@article{savor2014,2512 title={Asset Pricing: A Tale of Two Days},2513 author={Savor, Pavel and Wilson, Mungo},2514 journal={Journal of Financial Economics},2515 volume={113},2516 number={2},2517 pages={171--201},2518 year={2014},2519 publisher={Elsevier}2520}25212522@article{schmeling2019,2523 title={Does Central Bank Tone Move Asset Prices?},2524 author={Schmeling, Maik and Wagner, Christian},2525 journal={Review of Finance},2526 volume={23},2527 number={5},2528 pages={933--972},2529 year={2019},2530 publisher={Oxford University Press}2531}25322533@article{scholtus2014speed,2534 title={Speed, algorithmic trading, and market quality around macroeconomic news announcements},2535 author={Scholtus, Martin and Van Dijk, Dick and Frijns, Bart},2536 journal={Journal of Banking \& Finance},2537 volume={38},2538 pages={89--105},2539 year={2014},2540 publisher={Elsevier}2541}25422543@article{SCOTTI20161,2544title = {Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises},2545journal = {Journal of Monetary Economics},2546volume = {82},2547pages = {1-19},2548year = {2016},2549issn = {0304-3932},2550doi = {https://doi.org/10.1016/j.jmoneco.2016.06.002},2551url = {https://www.sciencedirect.com/science/article/pii/S0304393216300320},2552author = {Chiara Scotti},2553keywords = {Business cycle, Dynamic factor model, State space model, Forecasting weights},2554abstract = {Two daily, real-time, real-activity indexes are constructed for the United States, euro area, United Kingdom, Canada, and Japan: (i) a surprise index summarizing recent economic data surprises and measuring optimism/pessimism about the state of the economy, and (ii) an uncertainty index measuring uncertainty related to the state of the economy. The surprise index parsimoniously preserves the properties of the underlying series when affecting asset prices. For the United States, the real-activity uncertainty index is compared to other uncertainty proxies to show that, when uncertainty is strictly related to real activity only, it has a potentially milder effect on economic activity.}2555}25562557@article{scotti2016surprise,2558 title = {Surprise and Uncertainty Indexes: Real-Time Aggregation of Real-Activity Macro-Surprises},2559 journal = {Journal of Monetary Economics},2560 volume = {82},2561 pages = {1--19},2562 year = {2016},2563 issn = {0304-3932},2564 doi = {https://doi.org/10.1016/j.jmoneco.2016.06.002},2565 url = {https://www.sciencedirect.com/science/article/pii/S0304393216300320},2566 author = {Scotti, Chiara},2567 keywords = {Business cycle, Dynamic factor model, State space model, Forecasting weights},2568 abstract = {Two daily, real-time, real-activity indexes are constructed for the United States, euro area, United Kingdom, Canada, and Japan: (i) a surprise index summarizing recent economic data surprises and measuring optimism/pessimism about the state of the economy, and (ii) an uncertainty index measuring uncertainty related to the state of the economy. The surprise index parsimoniously preserves the properties of the underlying series when affecting asset prices. For the United States, the real-activity uncertainty index is compared to other uncertainty proxies to show that, when uncertainty is strictly related to real activity only, it has a potentially milder effect on economic activity.}2569}25702571@article{shanker2017new,2572 title = {New Indices of Adequate and Excess Speculation and Their Relationship with Volatility in the Crude Oil Futures Market},2573 author = {Shanker, Latha},2574 journal = {Journal of Commodity Markets},2575 volume = {5},2576 pages = {18--35},2577 year = {2017},2578 publisher = {Elsevier}2579}25802581@article{shapiro2019,2582 title={Taking the Fed at its Word: A New Approach to Estimating Central Bank Objectives using Text Analysis},2583 author={Shapiro, Adam Hale and Sudhof, Moritz and Wilson, Daniel J},2584 journal={Review of Economics and Statistics},2585 volume={104},2586 number={4},2587 pages={768--784},2588 year={2022},2589 publisher={MIT Press}2590}25912592@article{shin2013basis,2593 title={Basis and trading volume in international {ETF} markets},2594 author={Shin, Sujeong and Soydemir, Gokce},2595 journal={Journal of Futures Markets},2596 volume={33},2597 number={10},2598 pages={967--992},2599 year={2013},2600 publisher={Wiley}2601}26022603@article{shleifer1990noise,2604 title={The noise trader approach to finance},2605 author={Shleifer, Andrei and Summers, Lawrence H},2606 journal={Journal of Economic perspectives},2607 volume={4},2608 number={2},2609 pages={19--33},2610 year={1990},2611 publisher={American Economic Association}2612}26132614@article{sims1999error,2615 title={Error bands for impulse responses},2616 author={Sims, Christopher A and Zha, Tao},2617 journal={Econometrica},2618 volume={67},2619 number={5},2620 pages={1113--1155},2621 year={1999},2622 publisher={Wiley}2623}26242625@article{singleton2014investor,2626 author = {Singleton, Kenneth},2627 title = {Investor Flows and the 2008 Boom/Bust in Oil Prices},2628 journal = {Management Science},2629 volume = {60},2630 number = {2},2631 pages = {300--318},2632 year = {2014},2633 doi = {10.1287/mnsc.2013.1756}2634}26352636@article{soana2020index,2637 author = {Soana, Maria and Verga, Giovanna and Volpi, Maurizio},2638 title = {Did Index Trader and Swap Dealer Activity Produce a Bubble in the Agricultural Commodity Market?},2639 journal = {African Journal of Business Management},2640 volume = {14},2641 number = {1},2642 pages = {9--24},2643 year = {2020},2644 doi = {10.5897/ajbm2019.8877}2645}26462647@article{staer2017asset,2648 title={Asset management via {ETFs}},2649 author={Staer, Alexander},2650 journal={The Review of Financial Studies},2651 volume={30},2652 number={9},2653 pages={3225--3264},2654 year={2017},2655 publisher={Oxford University Press}2656}26572658@article{stoll2010commodity,2659 title={Commodity index investing and commodity futures prices},2660 author={Stoll, Hans R and Whaley, Robert E},2661 journal={Journal of Applied Finance (Formerly Financial Practice and Education)},2662 volume={20},2663 number={1},2664 year={2010}2665}26662667@article{swanson2014,2668 title={Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates},2669 author={Swanson, Eric T and Williams, John C},2670 journal={American Economic Review},2671 volume={104},2672 number={10},2673 pages={3154--3185},2674 year={2014},2675 publisher={American Economic Association}2676}26772678@article{tang2012index,2679 title = {Index Investment and the Financialization of Commodities},2680 author = {Tang, Ke and Xiong, Wei},2681 journal = {Financial Analysts Journal},2682 volume = {68},2683 number = {6},2684 pages = {54--74},2685 year = {2012},2686 publisher = {Taylor \& Francis}2687}26882689@article{todorov2021etf,2690 title={When passive funds affect prices: Evidence from volatility and commodity {ETFs}},2691 author={Todorov, Karamfil},2692 journal={Review of Finance},2693 year={2024},2694 volume={28},2695 number={3},2696 pages={831--863},2697 publisher={Oxford University Press}2698}26992700@book{veldkamp2011,2701 title={Information Choice in Macroeconomics and Finance},2702 author={Veldkamp, Laura L},2703 year={2011},2704 publisher={Princeton University Press}2705}27062707@article{vivian2012commodity,2708 title = {Commodity Volatility Breaks},2709 author = {Vivian, Andrew and Wohar, Mark E.},2710 journal = {Journal of International Financial Markets, Institutions and Money},2711 volume = {22},2712 number = {2},2713 pages = {395--422},2714 year = {2012},2715 publisher = {Elsevier}2716}27172718@inproceedings{wang2021tsdae,2719 title={TSDAE: Using Transformer-based Sequential Denoising Auto-Encoder for Unsupervised Sentence Embedding Learning},2720 author={Wang, Kexin and Reimers, Nils and Gurevych, Iryna},2721 booktitle={Findings of the Association for Computational Linguistics: EMNLP 2021},2722 pages={671--688},2723 year={2021}2724}27252726@article{wirl2004impact,2727 title={The impact of {OPEC} Conference outcomes on world oil prices 1984-2001},2728 author={Wirl, Franz and Kujundzic, Azra},2729 journal={The Energy Journal},2730 volume={25},2731 number={1},2732 pages = {45--62},2733 year={2004},2734 publisher={International Association for Energy Economics}2735}27362737@article{wongswan2009,2738 title={The Response of Global Equity Indexes to U.S. Monetary Policy Announcements},2739 author={Wongswan, Jon},2740 journal={Journal of International Money and Finance},2741 volume={28},2742 number={2},2743 pages={344--365},2744 year={2009},2745 publisher={Elsevier}2746}27472748@article{working1949theory,2749 title = {The Theory of Price of Storage},2750 author = {Working, Holbrook},2751 journal = {American Economic Review},2752 volume = {39},2753 number = {6},2754 pages = {1254--1262},2755 year = {1949},2756 publisher = {JSTOR}2757}27582759@article{working1960speculation,2760 title = {Speculation on Hedging Markets},2761 author = {Working, Holbrook},2762 journal = {Food Research Institute Studies},2763 volume = {1},2764 number = {2}, 2765 pages = {185--220},2766 year = {1960}2767}27682769@article{wu2019does,2770 title = {Does Gold or Bitcoin Hedge Economic Policy Uncertainty?},2771 author = {Wu, Shan and Tong, Mu and Yang, Zhongyi and Derbali, Abdelkader},2772 journal = {Finance Research Letters},2773 volume = {31},2774 pages = {171--178},2775 year = {2019},2776 publisher = {Elsevier}2777}27782779@article{yang2005futures,2780 title = {Futures Trading Activity and Commodity Cash Price Volatility},2781 author = {Yang, Jian and Balyeat, R. Brian and Leatham, David J.},2782 journal = {Journal of Business Finance \& Accounting},2783 volume = {32},2784 number = {1-2},2785 pages = {297--323},2786 year = {2005},2787 publisher = {Wiley Online Library}2788}27892790@article{ye2021macroeconomic,2791 title = {Macroeconomic Forecasts and Commodity Futures Volatility},2792 author = {Ye, Wuyi and Guo, Ranran and Deschamps, Bruno and Jiang, Ying and Liu, Xiaoquan},2793 journal = {Economic Modelling},2794 volume = {94},2795 pages = {981--994},2796 year = {2021},2797 publisher = {Elsevier}2798}27992800@article{zhang2018informed,2801 title = {Informed Options Trading Prior to Dividend Change Announcements},2802 author = {Zhang, Jun},2803 journal = {Financial Management},2804 volume = {47},2805 number = {1},2806 pages = {81--103},2807 year = {2018},2808 publisher = {Wiley Online Library}2809}28102811@article{zhang2022hedging,2812 author = {Zhang, Tao},2813 title = {Hedging Pressure and Liquidity Provision in Commodity Options Markets},2814 journal = {Journal of Futures Markets},2815 volume = {42},2816 number = {7},2817 pages = {1212--1233},2818 year = {2022},2819 doi = {10.1002/fut.22327}2820}28212822@article{zhu2022oil,2823 title={Oil price shocks and stock market anomalies},2824 author={Zhu, Zhaobo and Sun, Licheng and Tu, Jun and Ji, Qiang},2825 journal={Financial Management},2826 volume={51},2827 number={2},2828 pages={573--612},2829 year={2022},2830 publisher={Wiley Online Library}2831}28322833@article{zorn1983sovereignty,2834 author = {Zorn, Stephen A},2835 doi = {10.1111/j.1477-8947.1983.tb00276.x},2836 title = {Permanent Sovereignty Over Natural Resources},2837 journal = {Natural Resources Forum},2838 volume = {7},2839 number = {4},2840 pages = {321--328},2841 year = {1983}2842}28432844@inproceedings{boons2014price,2845 author = {Martijn Boons and Frans A. de Roon and Marta Szymanowska},2846 title = {The Price of Commodity Risk in Stock and Futures Markets},2847 booktitle = {AFA 2012 Chicago Meetings Paper},2848 year = {2014},2849 note = {Available at SSRN: \url{https://ssrn.com/abstract=1785728} or \url{http://dx.doi.org/10.2139/ssrn.1785728}}2850}28512852