\section{Appendix B - Results using the COVID Sample Period}
\renewcommand{\thetable}{B-\arabic{table}}
\setcounter{table}{0}  % Reset table counter

\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization on Futures Returns - COVID Sample Period}
\label{tab:macro_fin_fut_returns_covid}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\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}}       \\ \midrule
\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}} \\ \midrule

\textbf{Initial jobless claims}   & -0.02432**  & -0.01818     & 0.12506***  & -2.80729*** & -0.17005*** & 2.79627***  & -0.01710    & -1.80177*** & -0.04697*   & 0.50617     & 0.02130     & 0.00395    \\ 
\textbf{ADP Employment}           & 0.10493**   & -0.01992     & -0.07145*** & 0.03843***  & 0.20312***  & -0.07302*** & 0.05359**   & -0.00743    & 0.00293     & -0.01197    & 0.06487     & 0.05085*   \\ 
\textbf{CB Consumer}              & -0.00014    & 0.01730      & -0.01156    & -0.03514*** & 0.01126     & -0.12638*** & -0.01154    & 0.01428     & -0.00428    & -0.00635    & 0.05444     & 0.01849    \\ 
\textbf{Advance retail sales}     & 0.01675     & 0.00934      & 0.00999     & -0.02615*** & 0.05658***  & -0.00972    & 0.00271     & 0.01182     & -0.00801    & 0.00407     & -0.01226    & -0.00540   \\ 
\textbf{Building permit}          & 0.04472***  & -0.00473     & -0.00506    & 0.02308***  & -0.02296    & 0.06065***  & 0.01689*    & -0.00460    & -0.00525    & -0.01228    & 0.08097**   & 0.02061    \\ 
\textbf{Construction spending}    & 0.07403     & -0.08007***  & -0.02819*   & 0.00141     & -0.01867    & -0.00880    & -0.00176    & -0.01373*   & 0.04320     & 0.04773**   & -0.02909    & -0.01744   \\ 
\textbf{Consumer credit}          & -0.01203    & 0.00357      & -0.00482    & -0.00376    & -0.00308    & 0.00661     & 0.00403     & -0.01316    & 0.01510     & 0.03158     & -0.00888    & 0.00622    \\ 
\textbf{Consumer price index}     & 0.02370     & 0.02270*     & 0.02254     & -0.00306    & -0.08259*** & -0.00465    & -0.03278**  & 0.00641     & -0.04731*** & 0.01463     & -0.06911    & 0.03523    \\ 
\textbf{Durable goods orders}     & -0.01326    & -0.00519     & -0.03861**  & 0.09163***  & -0.00732    & -0.11911*** & -0.01810    & 0.02209     & -0.03421    & 0.00352     & 0.01278     & -0.02896   \\ 
\textbf{Existing home sales}      & -0.02893    & -0.02409     & 0.03032*    & -0.03031*** & 0.00957     & -0.05879**  & -0.01252    & 0.00328     & 0.00121     & 0.03252     & 0.10149*    & -0.04166   \\ 
\textbf{Factory orders}           & 0.06701     & -0.02383     & -0.02140    & -0.01821    & -0.01981    & -0.08170**  & 0.05127*    & 0.01387     & -0.01113    & -0.01429    & 0.20189***  & -0.00073   \\ 
\textbf{Gross domestic product}   & -0.02344    & 0.01999**    & -0.03597*** & 0.01002     & -0.03173    & 0.00734     & -0.02807*** & 0.00406     & -0.05014**  & -0.00290    & -0.04468    & 0.01072    \\ 
\textbf{Housing starts}           & 0.01845     & 0.02643*     & -0.00186    & -0.03386*** & 0.04042**   & 0.02865     & -0.00735    & 0.02018**   & -0.02342    & 0.01822     & 0.03539     & -0.00961   \\ 
\textbf{Industrial production}    & 0.03643**   & 0.00465      & -0.03529*** & -0.00053    & 0.05792***  & 0.00069     & -0.01500    & 0.01881     & 0.00841     & -0.00974    & -0.03503    & -0.00202   \\ 
\textbf{New home sales}           & -0.01988    & 0.02155      & -0.01107    & -0.00021    & 0.05154**   & -0.01592    & -0.00762    & 0.01283     & 0.02024     & -0.00408    & -0.03319    & -0.01629   \\ 
\textbf{Non-farm employment}      & 0.02498     & 0.00862      & -0.27690*** & 0.02188**   & 0.17649***  & -0.04451**  & 0.06183     & 0.00160     & 0.02000**   & -0.00112    & 0.08142     & 0.04914    \\ 
\textbf{Pending home sales}       & 0.00688     & 0.01007      & -0.01427    & -0.16695*** & 0.00245     & -0.09205*** & 0.00528     & 0.01944     & 0.00860     & -0.07946**  & -0.02308    & -0.00338   \\ 
\textbf{Personal consumption}     & -0.00795    & -0.01160     & -0.03914*** & -0.00496    & -0.03188    & -0.01156    & -0.00356    & -0.00346    & 0.03274     & -0.00329    & -0.06953*   & -0.02143   \\ 
\textbf{Personal income}          & -0.01321    & -0.00959     & -0.02591    & -0.01454*** & -0.03079    & -0.02411*   & -0.04359    & -0.00410    & 0.02955     & 0.00582     & 0.07648     & 0.03243    \\ 
\textbf{Producer price index}     & 0.01504     & 0.00858      & -0.03052**  & -0.01257    & -0.03537    & -0.01580    & 0.00541     & -0.01962    & 0.04519*    & 0.04732     & -0.06727*   & 0.00949    \\ 
\textbf{Trade balance}            & 0.29865***  & 0.03278      & -0.12200*** & -0.01377*   & 0.41798***  & -0.05178*** & -0.11417**  & 0.00071     & -0.56894*** & -0.01681    & -0.36628**  & -0.36300** \\  
\textbf{Crude Oil Weekly inventory}   & -0.21132*** & -0.01899***  &             &             &             &             &             &             &             &             &             &            \\ 
\textbf{Natural Gas Weekly inventory} &             &              &             &             &             &             &             &             &             &             & -0.01789    & 0.01571    \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{167663}   & \multicolumn{2}{c}{167808}    & \multicolumn{2}{c}{167513}    & \multicolumn{2}{c}{167800}    & \multicolumn{2}{c}{99525}     & \multicolumn{2}{c}{167472}    \\ 
\textbf{$R^2$}                        & \multicolumn{2}{c}{0.004106}  & \multicolumn{2}{c}{0.004110}   & \multicolumn{2}{c}{0.002538}  & \multicolumn{2}{c}{0.000898}  & \multicolumn{2}{c}{0.001077}  & \multicolumn{2}{c}{0.001355}  \\ \bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eq:Model 1}, $R_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m S_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (S_{m,t} \cdot X_t)+\beta R_{t-\tau}^{t}+\epsilon_{t}$ using the method proposed by \citet{kurov2019price} and the financialization variable $PCA_t$. The period covered is from 2020-01-31 to 2022-06-10. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred and especially if that announcement was unanticipated. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}




\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization on Futures Conditional Variance - COVID Sample Period}
\label{tab:macro_fin_fut_var_covid}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\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}}       \\ \midrule
\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}} \\ \midrule

\textbf{Initial jobless claims}   & 0.00877      & 0.06854**     & 0.04889***  & 0.00632      & 0.10143***  & -0.02561*   & 0.01633***  & -0.00186    & 0.08097***  & -0.00257    & -0.00080    & 0.03698    \\ 
\textbf{ADP Employment}           & 0.03197      & 0.05389       & 0.00108     & 0.00335      & 0.03112     & 0.01241     & 0.06538***  & -0.00894    & -0.09486**  & -0.02727    & 0.01188     & -0.00604   \\ 
\textbf{CB Consumer}              & 0.05354      & -0.00523      & 0.07158***  & -0.01573**   & 0.06761***  & 0.00890     & -0.00622    & -0.00047    & 0.02592     & 0.00496     & -0.01753    & -0.01483   \\ 
\textbf{Advance retail sales}     & -0.00851     & -0.04267      & 0.04067***  & -0.01819***  & 0.10993***  & -0.00152    & 0.01390     & -0.02434**  & -0.01311    & -0.05964**  & 0.05261     & 0.00172    \\ 
\textbf{Building permit}          & -0.00704     & 0.04270       & 0.00467     & -0.00389     & -0.00659    & 0.01853     & -0.00975    & 0.00774     & 0.03353     & -0.00250    & 0.05338*    & -0.01865   \\ 
\textbf{Construction spending}    & 0.02353      & -0.01352      & 0.03937***  & 0.00092      & 0.03030     & 0.00426     & 0.00374     & 0.00524     & -0.00435    & 0.02602     & 0.04897     & 0.01006    \\ 
\textbf{Consumer credit}          & -0.00584     & -0.02756      & 0.00412     & 0.02848***   & 0.04301**   & -0.05662*** & -0.00637    & -0.03798*** & 0.03674     & 0.00690     & 0.01900     & -0.06251   \\ 
\textbf{Consumer price index}     & -0.00862     & 0.00919       & 0.09025***  & 0.00549      & 0.08811***  & -0.04065*** & 0.09950***  & 0.01802*    & -0.02377    & 0.03608     & 0.05494     & 0.04110*   \\ 
\textbf{Durable goods orders}     & -0.01320     & 0.00783       & 0.01782*    & -0.02205***  & 0.04292**   & -0.00940    & -0.01289    & -0.00039    & 0.05048     & -0.18229*** & -0.05984*   & -0.01398   \\ 
\textbf{Existing home sales}      & 0.09568*     & 0.02457       & 0.04677***  & -0.00119     & 0.05161**   & -0.03212**  & 0.04829***  & -0.00778    & 0.16009***  & -0.00301    & 0.08823***  & 0.05824**  \\ 
\textbf{Factory orders}           & 0.04917      & -0.00674      & 0.03061***  & -0.00275     & 0.02062     & -0.05376*** & 0.02066     & 0.02086*    & 0.01577     & -0.00984    & 0.04968     & 0.03284    \\ 
\textbf{Gross domestic product}   & -0.02008     & -0.04953      & 0.05825***  & -0.01752***  & 0.10358***  & -0.00124    & 0.00580     & -0.03097*** & 0.00318     & -0.06473**  & -0.06185*   & 0.01394    \\ 
\textbf{Housing starts}           & -0.00072     & 0.03780       & 0.00500     & -0.00374     & -0.00688    & -0.02454    & -0.00968    & -0.00918    & 0.03057     & -0.00948    & 0.06142**   & -0.00844   \\ 
\textbf{Industrial production}    & -0.03464     & 0.00114       & -0.01280    & -0.01032**   & 0.03812*    & -0.00325    & -0.01843    & -0.00983    & 0.04435     & 0.04172**   & -0.03347    & -0.00747   \\ 
\textbf{New home sales}           & 0.00487      & 0.00237       & 0.07711***  & -0.05791***  & 0.10903***  & -0.11668*** & -0.00918    & -0.00837    & 0.02354     & 0.00263     & -0.00242    & -0.05764** \\ 
\textbf{Non-farm employment}      & 0.08122      & 0.01522       & 0.18711***  & -0.01610***  & 0.31928***  & -0.02718*   & 0.12234***  & 0.00857     & 0.05419     & -0.00820    & 0.01478     & 0.03549    \\ 
\textbf{Pending home sales}       & 0.01072      & -0.01184      & 0.03844***  & -0.01432**   & 0.03845*    & -0.03944**  & 0.01314     & -0.00949    & 0.07867*    & 0.03292     & 0.06944**   & 0.09557*** \\ 
\textbf{Personal consumption}     & -0.01919     & -0.02455      & 0.02154**   & -0.01287**   & 0.04426*    & 0.01001     & -0.00224    & -0.00698    & 0.07037     & 0.02141     & 0.08558**   & 0.06103*** \\ 
\textbf{Personal income}          & 0.00244      & -0.01211      & 0.02834***  & -0.02153***  & 0.05301**   & -0.03660**  & -0.00017    & 0.00224     & 0.07217*    & -0.03518    & 0.05645*    & -0.01085   \\ 
\textbf{Producer price index}     & 0.02955      & 0.03470       & 0.04263***  & -0.01819***  & 0.09391***  & 0.02112     & -0.00732    & -0.00549    & 0.03624     & 0.02379     & -0.04616    & 0.01102    \\ 
\textbf{Trade balance}            & 0.06625      & 0.02541       & 0.02594***  & 0.00010      & 0.03557*    & 0.00010     & 0.02995**   & 0.00010     & 0.10040**   & 0.00010     & 0.01924     & -0.00631   \\  
\textbf{Crude Oil Weekly inventory}   & 0.15709***  & 0.00010      &             &              &             &             &             &             &             &             &             &            \\ 
\textbf{Natural Gas Weekly inventory} &             &              &             &              &             &             &             &             &             &             & 0.55047***  & 0.00010    \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{167663}    & \multicolumn{2}{c}{167808}     & \multicolumn{2}{c}{167513}     & \multicolumn{2}{c}{167800}     & \multicolumn{2}{c}{99525}      & \multicolumn{2}{c}{167472}     \\ 
\textbf{$R^2$}                        & \multicolumn{2}{c}{0.024286}  & \multicolumn{2}{c}{0.119026}   & \multicolumn{2}{c}{0.078046}   & \multicolumn{2}{c}{0.084932}   & \multicolumn{2}{c}{0.051116}   & \multicolumn{2}{c}{0.138467}   \\ \bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eqn:VarianceEqn} using the financialization variable $PCA_t$. The equation is $\sigma_{t}^2=\alpha_0+\alpha_1 \sigma_{t-1}^2+\alpha_2 \epsilon_t^2 +\sum_{m=1}^{22} \Phi_m D_{m,t}+\beta X_{i,t}+\sum_{k=1}^n \phi_k I_{kt} + \sum_{h=1}^{23} \rho_h D_h$ where $I_{kt}=D_{m,t} \cdot X_{i,t}$ and $D_{m,t}$ is a macro announcement dummy variable for release $m$. The period covered is from 2020-01-31 to 2022-06-10. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}



\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (Money Managers only) on Futures Returns - COVID Sample Period}
\label{tab:macro_fin_mm_fut_returns_covid}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\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}}       \\ \midrule
\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}} \\ \midrule

\textbf{Initial jobless claims}   & 0.01284      & -0.42931     & 0.18523***  & -0.60124***  & -0.18006***  & 1.43876***  & -0.01157    & -0.07340    & -0.01816    & 0.06554     & -0.01707    & -0.54064   \\ 
\textbf{ADP Employment}           & 0.29525      & -1.27353     & -0.20069*** & 0.83071**    & -0.00499     & -0.26184    & 0.02301***  & 0.13008     & 0.00089     & 0.00840     & -0.02549*   & -0.41182   \\ 
\textbf{CB Consumer}              & 0.07655      & -0.51606     & -0.09771**  & 0.47099*     & -0.06772     & 0.46189     & -0.04213    & 0.17658     & -0.03088    & 0.10234     & -0.01077    & 1.92141*   \\ 
\textbf{Advance retail sales}     & -0.02923     & 0.34904      & -0.07305*** & 0.43390***   & -0.01274     & 0.22680     & 0.01271     & -0.06940    & -0.01833    & 0.09338     & -0.00873    & 0.00984    \\ 
\textbf{Building permit}          & -0.09509     & 1.00771      & 0.02568     & -0.19516     & -0.09011*    & 0.39078     & -0.04005**  & 0.13851*    & 0.00371     & 0.04582     & 0.08024**   & 0.86233**  \\ 
\textbf{Construction spending}    & 0.41652**    & -2.77195**   & -0.04190    & 0.08539      & 0.02789      & -0.34852    & 0.01859     & -0.13908    & 0.01249     & 0.09305     & -0.01210    & -1.19446** \\ 
\textbf{Consumer credit}          & -0.00923     & -0.01745     & -0.02585    & 0.12077      & 0.05161**    & -0.29881**  & -0.00532    & 0.06380     & -0.03173    & 0.19807     & -0.01666    & 0.08127    \\ 
\textbf{Consumer price index}     & -0.24917     & 1.86806*     & -0.43977*** & 2.23921***   & 0.19333***   & -0.58014**  & -0.07806*** & 0.27258*    & -0.10369**  & 0.20287     & -0.03498    & 0.23866    \\ 
\textbf{Durable goods orders}     & 0.09373      & -0.74428     & -0.13019*** & 0.56867**    & -0.04308     & 0.18076     & -0.03350    & 0.07762     & 0.02374     & -0.23976    & 0.04727     & -0.54832   \\ 
\textbf{Existing home sales}      & 0.74825***   & -5.48168***  & -0.10481    & 0.80092*     & -0.13335     & 0.75410     & -0.01008    & 0.04062     & 0.03378     & -0.12891    & 0.10720     & -0.39774   \\ 
\textbf{Factory orders}           & 0.00864      & 0.26749      & -0.05923    & 0.18085      & -0.00838     & -0.08036    & 0.04497     & 0.03837     & 0.08834     & -0.51740**  & 0.21529***  & 1.18248    \\ 
\textbf{Gross domestic product}   & -0.01706     & -0.08802     & -0.33648*** & 1.71065***   & -0.00324     & -0.10068    & -0.06030*** & 0.19003***  & -0.04116    & -0.06590    & 0.01248     & -0.86484   \\ 
\textbf{Housing starts}           & 0.21757**    & -1.76668***  & -0.01221    & 0.05853      & 0.00456      & -0.24308    & -0.03423*   & 0.15038*    & 0.03046     & -0.22306    & 0.03863     & 0.92630*** \\ 
\textbf{Industrial production}    & 0.34103**    & -2.13714*    & -0.00293    & -0.20915*    & -0.07816     & 0.16609     & -0.02928*   & 0.09407     & 0.00574     & 0.03016     & -0.02946    & -0.32844   \\ 
\textbf{New home sales}           & -0.23837     & 1.50728      & -0.12033*** & 0.78060***   & 0.04347      & -0.47414**  & -0.00786    & 0.00541     & 0.03361     & -0.07157    & -0.05379    & 0.74563    \\ 
\textbf{Non-farm employment}      & -0.38931     & 2.35649*     & -0.68355*** & 2.98988***   & 0.41050***   & -2.25335*** & -0.01543*   & 0.49231*    & -0.07231**  & 0.68623*    & 0.01033     & 1.53154    \\ 
\textbf{Pending home sales}       & -0.00301     & 0.15189      & -0.04072    & 0.13567      & -0.05453     & 0.29881     & 0.00433     & 0.02053     & -0.01675    & 0.15366     & -0.01676    & -0.80029   \\ 
\textbf{Personal consumption}     & 0.04548      & -0.40212     & -0.12306*** & 0.46241***   & 0.01365      & -0.07518    & 0.00234     & -0.00958    & 0.02166     & 0.04800     & -0.03182    & 0.06593    \\ 
\textbf{Personal income}          & -0.05495     & 0.14342      & 0.00497     & -0.03505     & 0.14836      & -0.94084    & -0.01037    & -0.25330*   & -0.05332    & 0.26052     & 0.01097     & -0.98839   \\ 
\textbf{Producer price index}     & -0.10278     & 0.85437      & -0.06206    & 0.22680      & 0.03505      & -0.32221    & 0.01070     & -0.04785    & 0.02766     & 0.12770     & -0.06587*   & 0.44089    \\ 
\textbf{Trade balance}            & -1.09678*    & 5.61848      & 0.00987     & -0.77170     & -0.28472*    & 0.23575     & -0.02639    & -0.50428    & -0.67818*** & 0.80536**   & -0.66975*** & 7.55158*** \\  
\textbf{Crude Oil Weekly inventory}   & 0.03025     & -1.67095***  &             &              &             &             &             &             &             &             &             &            \\ 
\textbf{Natural Gas Weekly inventory} &             &              &             &              &             &             &             &             &             &             & -0.18997*** & 0.63710    \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{167663}    & \multicolumn{2}{c}{167808}     & \multicolumn{2}{c}{167513}     & \multicolumn{2}{c}{167800}     & \multicolumn{2}{c}{99525}      & \multicolumn{2}{c}{167472}     \\ 
\textbf{$R^2$}                        & \multicolumn{2}{c}{0.004087}  & \multicolumn{2}{c}{0.003488}   & \multicolumn{2}{c}{0.001728}   & \multicolumn{2}{c}{0.000983}   & \multicolumn{2}{c}{0.001166}   & \multicolumn{2}{c}{0.001653}   \\ \bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eq:Model 1}, $R_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m S_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (S_{m,t} \cdot X_t)+\beta R_{t-\tau}^{t}+\epsilon_{t}$ using the method proposed by \citet{kurov2019price} and the financialization variable $MM_NLS_t$, calculated with the money manager positions. The period covered is from 2020-01-31 to 2022-06-10. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred and especially if that announcement was unanticipated. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}



\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (Swap Dealers only) on Futures Returns - COVID Sample Period}
\label{tab:macro_fin_sd_fut_returns_covid}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\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}}       \\ \midrule
\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}} \\ \midrule

\textbf{Initial jobless claims}   & -0.35559     & -1.52603    & 0.01394     & 0.02196     & -0.00342     & -2.17155*** & 0.08446*    & 0.41894*    & -0.19160*** & -1.05912*** & -0.08847**  & 1.77686**  \\ 
\textbf{ADP Employment}           & 0.08035      & 0.06661     & -0.31471**  & -0.78958*   & -0.11333**   & -1.67280    & -0.22634*** & -1.05459*** & 0.00289     & -0.00433    & -0.05779**  & 1.40793    \\ 
\textbf{CB Consumer}              & 0.54866      & 2.62593     & -0.24794*   & -0.70080*   & 0.06550      & 1.59409*    & 0.08546     & -0.61999    & 0.02718     & -0.20183    & 0.04790     & 0.01052    \\ 
\textbf{Advance retail sales}     & 0.83956***   & 4.05137***  & -0.30872*** & -0.94688*** & 0.03121*     & 0.27971     & -0.03042    & 0.22433     & 0.02659     & -0.15492    & -0.01285    & 0.09216    \\ 
\textbf{Building permit}          & 0.44978**    & 2.31848**   & -0.13443    & -0.39083    & 0.04930**    & 0.60257*    & -0.06394**  & -0.53905**  & 0.01289     & -0.00590    & 0.16126***  & -1.02460** \\ 
\textbf{Construction spending}    & 0.27632      & 1.39045     & 0.23373     & 0.72075     & -0.00773     & 0.60794     & -0.14991**  & -0.88770**  & 0.05101     & -0.12208    & -0.11196    & 1.69267*   \\ 
\textbf{Consumer credit}          & 0.00461      & 0.08012     & -0.04758    & -0.12187    & 0.01797      & 0.32756*    & 0.03715     & -0.19518    & 0.02984     & -0.17111    & -0.02980    & 0.23179    \\ 
\textbf{Consumer price index}     & -0.05112     & -0.32176    & -0.57345*** & -1.58847**  & 0.12469***   & 0.69010*    & -0.28822*** & -1.98064*** & 0.00680     & -0.41770*   & -0.00893    & -0.14206   \\ 
\textbf{Durable goods orders}     & 0.13207      & 0.71558     & -0.38513*** & -1.10042*** & -0.03065     & -0.83509    & 0.06604     & -0.59511    & 0.01982     & -0.40849    & 0.01972     & -0.35887   \\ 
\textbf{Existing home sales}      & -0.04459     & -0.02126    & 0.11253     & 0.26883     & -0.04172     & -1.15384    & -0.09829*   & -0.67851*   & -0.01171    & 0.10709     & 0.11297     & -0.25142   \\ 
\textbf{Factory orders}           & 0.18355      & 0.64725     & 0.25872     & 0.84187     & -0.02900     & -0.14117    & 0.08340     & -0.20274    & -0.14787*   & -0.80132*   & 0.21908**   & -0.23554   \\ 
\textbf{Gross domestic product}   & 0.46231***   & 2.30788***  & 0.19991     & 0.68373     & 0.05351      & 1.71279     & -0.05994**  & -0.56015*** & -0.05200    & 0.00596     & -0.05958*   & 0.28580    \\ 
\textbf{Housing starts}           & -0.32851     & -1.71555    & -0.07149    & -0.21937    & -0.03948     & 0.03702     & -0.01791    & 0.10276     & -0.10283*   & 0.58656*    & 0.16249***  & -1.56023***\\ 
\textbf{Industrial production}    & 0.17043      & 1.00224     & 0.08398     & 0.37057*    & 0.06373***   & -0.34937    & -0.08247*   & 0.46599     & 0.04412     & -0.20798    & -0.00941    & -0.37177   \\ 
\textbf{New home sales}           & -0.03078     & -0.06343    & 0.18592     & 0.58193     & -0.01074     & 0.53075     & 0.01912     & -0.18141    & 0.01301     & 0.02973     & 0.02364     & -0.82941*  \\ 
\textbf{Non-farm employment}      & 2.07613*     & 10.49944*   & -3.88548*** & -10.45671***& 0.14035**    & -2.11552    & -0.39987**  & -1.96803**  & -0.38964**  & -1.75421**  & -0.04663    & 1.68979    \\ 
\textbf{Pending home sales}       & 0.13424      & 0.54767     & 0.02888     & 0.11045     & 0.02128      & 0.43282     & 0.00606     & 0.00543     & 0.06637     & -0.30888    & -0.01983    & -0.02780   \\ 
\textbf{Personal consumption}     & 0.23334      & 1.13462     & -0.34704*** & -0.96377*** & 0.01301      & 0.48689     & -0.02546    & 0.13933     & 0.14246**   & -0.56744    & 0.00804     & -1.01067   \\ 
\textbf{Personal income}          & 0.48466      & 2.52886     & -0.07014    & -0.18887    & -0.08014     & -1.76992    & -0.20808*   & -1.03538*   & 0.00040     & -0.07478    & -0.09644    & 3.03041*   \\ 
\textbf{Producer price index}     & -0.37035     & -1.91965    & 0.22676     & 0.72619     & 0.00020      & 0.30589     & -0.02940    & 0.22461     & 0.04012     & 0.04467     & -0.04055    & -0.30514   \\ 
\textbf{Trade balance}            & -2.43297     & -9.82726    & -0.22310    & -0.34760    & 0.22495**    & 0.04987     & -0.31868*   & 1.15728     & -0.17144    & -1.82171*** & -0.13828    & -3.43949*  \\  
\textbf{Crude Oil Weekly inventory}   & -0.71319*** & -2.29368*** &             &             &              &             &             &             &             &             &             &            \\ 
\textbf{Natural Gas Weekly inventory} &             &             &             &             &              &             &             &             &             &             & -0.13552**  & -0.31667   \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{167663}   & \multicolumn{2}{c}{167808}   & \multicolumn{2}{c}{167513}   & \multicolumn{2}{c}{167800}   & \multicolumn{2}{c}{99525}    & \multicolumn{2}{c}{167472}   \\ 
\textbf{$R^2$}                        & \multicolumn{2}{c}{0.004380} & \multicolumn{2}{c}{0.003420} & \multicolumn{2}{c}{0.001651} & \multicolumn{2}{c}{0.001399} & \multicolumn{2}{c}{0.001579} & \multicolumn{2}{c}{0.001734} \\ \bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eq:Model 1}, $R_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m S_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (S_{m,t} \cdot X_t)+\beta R_{t-\tau}^{t}+\epsilon_{t}$ using the method proposed by \citet{kurov2019price} and the financialization variable $SWAP_NLS_t$, calculated with the swap dealer positions. The period covered is from 2020-01-31 to 2022-06-10. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred and especially if that announcement was unanticipated. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}


\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (Money Managers only) on Futures Conditional Variance - COVID Sample Period}
\label{tab:macro_fin_mm_var_covid}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\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}}       \\ \midrule
\textbf{Announcements}       & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} \\ \midrule 
\multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule

\textbf{Initial jobless claims}   & -0.04461 & 2.85159*    & -0.00467 & -0.05895    & 0.15242*** & -0.16088 & 0.01131   & 0.00230  & 0.08837*** & -0.09377    & -0.00605 & 0.21895   \\ 
\textbf{ADP Employment}           & -0.34572 & 4.05873**   & 0.01157  & -0.11669    & 0.05935    & 0.18762  & 0.06509***& -0.05024 & -0.08643*  & -0.20231    & 0.00600  & 0.14602   \\ 
\textbf{CB Consumer}              & -0.49745* & 1.32170     & 0.09255***& -0.17445    & 0.03300    & -1.30168***& 0.00077  & -0.05129 & 0.05362    & -0.20067    & -0.02037 & 0.32092   \\ 
\textbf{Advance retail sales}     & -0.18724  & -0.76763    & 0.07227** & -0.53535*** & 0.34259*** & -0.62714**& 0.02209  & -0.22841***& 0.01804   & -0.26755    & 0.04779  & 0.50548   \\ 
\textbf{Building permit}          & 0.10048   & 1.66375     & -0.09165***& 0.14266    & 0.10536**  & 0.33833  & 0.02134  & 0.06065  & 0.07337    & -0.07325    & 0.04532  & -0.42110  \\ 
\textbf{Construction spending}    & -0.19798  & 0.62185     & 0.01384   & 0.02905    & -0.03106   & 0.10504  & -0.00470 & 0.06039  & 0.00351    & 0.21481    & 0.05824* & 0.03839   \\ 
\textbf{Consumer credit}          & -0.09134  & 1.21640     & -0.00171  & 0.00941    & 0.02411    & -0.86118***& -0.01479 & -0.26289***& 0.00540   & 0.13574    & 0.01831  & 0.13310   \\ 
\textbf{Consumer price index}     & -0.16864  & 2.37100     & 0.09632***& -0.40220** & 0.25226*** & 0.04154  & 0.13703***& -0.14927* & -0.04150  & -0.13397    & 0.03385  & -0.36319  \\ 
\textbf{Durable goods orders}     & -0.33507  & -3.41535*   & 0.08977***& -0.29773*  & 0.03393    & -0.50163* & -0.03340* & -0.06481 & 0.06564   & -0.19562    & -0.05252 & 0.06643   \\ 
\textbf{Existing home sales}      & 0.56294** & 1.05599     & -0.00734  & 0.18055    & 0.13902*** & -0.09197 & 0.05677***& -0.10169 & 0.21109***& -0.12753    & 0.08619***& -0.60224 \\ 
\textbf{Factory orders}           & -0.08984  & 1.60278     & -0.00245  & 0.27924    & 0.03794    & 0.72946**& 0.03449** & -0.22021**& 0.03417   & 0.13810    & 0.05311* & -0.39455  \\ 
\textbf{Gross domestic product}   & -0.23953  & -0.41313    & 0.01217   & 0.52640*** & -0.03592   & -0.69722***& -0.02595 & -0.27360***& -0.01096  & -0.27690    & -0.04993 & 0.03640   \\ 
\textbf{Housing starts}           & 0.05990   & 1.01861     & -0.08970***& 0.19485    & 0.11759**  & 0.16098  & 0.02760  & -0.06027 & 0.07192   & -0.38680*   & 0.06048* & 0.68109   \\ 
\textbf{Industrial production}    & -0.17177  & -3.74853*** & -0.04685  & -0.35670***& -0.06541   & -0.53071***& -0.01066 & -0.06344 & 0.10981** & 0.03150    & -0.03748 & -0.14918  \\ 
\textbf{New home sales}           & -0.01003  & 0.17466     & 0.08614***& -0.57164***& 0.19530*** & 0.03185  & -0.02271 & -0.00031 & 0.03605   & 0.38720**   & -0.00739 & 0.72281*  \\ 
\textbf{Non-farm employment}      & 0.05604   & 3.04568     & 0.28587***& -0.41916** & 0.30708*** & 0.00215  & 0.12292***& 0.10831  & 0.00414   & 0.23142    & 0.00350  & 0.36589   \\ 
\textbf{Pending home sales}       & -0.40328  & -0.36436    & 0.11405***& -0.34236*  & 0.03729    & -0.29147 & -0.00213 & -0.07714 & 0.04750   & -0.06213    & 0.06356* & -2.05880***\\ 
\textbf{Personal consumption}     & 0.03999   & -2.13154    & 0.08202** & -0.28124*  & 0.09221    & -0.17986 & 0.00857  & -0.04301 & 0.07635   & -0.09191    & 0.13395***& -0.64605  \\ 
\textbf{Personal income}          & 0.29453   & -0.50060    & 0.07845***& -0.74149***& 0.08435    & -0.51294* & 0.00589  & 0.00579  & 0.08636*  & -0.41902*   & 0.06267* & 0.26214   \\ 
\textbf{Producer price index}     & 0.09115   & -0.16130    & 0.09431***& -0.52717***& 0.18854*** & -0.68457**& -0.00799 & 0.01655 & 0.12402** & -0.19304    & -0.05209 & 0.16588   \\ 
\textbf{Trade balance}            & 0.08689   & -1.05789    & 0.12133***& 0.00010    & 0.15697*** & 0.00010  & 0.02785  & 0.00010  & 0.12659***& 0.00010    & 0.01636  & 0.97422*** \\ 
\textbf{Crude Oil Weekly inventory}   & 0.31257   & 0.00010 &          &          &          &          &          &          &          &          &          &          \\ 
\textbf{Natural Gas Weekly inventory} &           &         &          &          &          &          &          &          &          &          & 0.53582*** & 0.00010 \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{167663}   & \multicolumn{2}{c}{167808}   & \multicolumn{2}{c}{167513}   & \multicolumn{2}{c}{167800}   & \multicolumn{2}{c}{99525}    & \multicolumn{2}{c}{167472}   \\ 
\textbf{$R^2$}                        & \multicolumn{2}{c}{0.036079} & \multicolumn{2}{c}{0.110085} & \multicolumn{2}{c}{0.072735} & \multicolumn{2}{c}{0.087602} & \multicolumn{2}{c}{0.047790} & \multicolumn{2}{c}{0.135707} \\ \bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eqn:VarianceEqn} using the financialization variable $MM_NLS_t$, calculated with the money manager positions. The equation is $\sigma_{t}^2=\alpha_0+\alpha_1 \sigma_{t-1}^2+\alpha_2 \epsilon_t^2 +\sum_{m=1}^{22} \Phi_m D_{m,t}+\beta X_{i,t}+\sum_{k=1}^n \phi_k I_{kt} + \sum_{h=1}^{23} \rho_h D_h$ where $I_{kt}=D_{m,t} \cdot X_{i,t}$ and $D_{m,t}$ is a macro announcement dummy variable for release $m$. The period covered is from 2020-01-31 to 2022-06-10. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}


\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (Swap Dealers only) on Futures Conditional Variance - COVID Sample Period}
\label{tab:macro_fin_sd_var_covid}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\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}}       \\ \midrule
\textbf{Announcements}       & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} & \multicolumn{1}{c}{$\Phi_m$} & \multicolumn{1}{c}{$\phi_m$} \\ \midrule 
\multicolumn{13}{c}{\textbf{Macroeconomic News Announcements}} \\ \midrule

\textbf{Initial jobless claims}   & -0.02922 & 4.03858 & -0.00383 & -0.44581* & 0.13311*** & 0.68878 & 0.01537 & 0.61188** & 0.08235** & 0.30350 & -0.00311 & -0.38407 \\ 
\textbf{ADP Employment}           & 0.89022 & -1.01674 & -0.14995* & -0.24589 & 0.06432** & -0.03518 & -0.03627 & 0.12394 & -0.15721* & 0.71733* & 0.04367 & -0.88879** \\ 
\textbf{CB Consumer}              & -0.16354 & 2.14791 & -0.01169 & 0.24884 & 0.06540** & 1.38311*** & -0.02742 & 0.18772 & -0.11676 & 0.71702 & 0.05968 & 0.12444 \\ 
\textbf{Advance retail sales}     & 0.44938 & -0.51159 & 0.12493 & -0.71539* & 0.18362*** & 0.93335** & -0.01610 & 0.80474*** & -0.14029 & 0.38779 & 0.04598 & 0.72141* \\ 
\textbf{Building permit}          & -0.11462 & 1.52827 & -0.23660* & 0.13656 & 0.04223 & -0.36732 & 0.13936*** & -0.15939 & -0.03245 & 0.18738 & -0.00720 & 0.68219 \\ 
\textbf{Construction spending}    & 0.35162 & -0.30770 & 0.08577 & 0.04062 & 0.01138 & 0.26210 & 0.02996 & -0.18551 & -0.04229 & -0.26997 & -0.00935 & 0.07279 \\ 
\textbf{Consumer credit}          & -0.06546 & -0.55449 & 0.01866 & -1.87127*** & 0.05736* & 0.01452 & 0.02409 & 2.08176*** & 0.08719 & 0.01319 & 0.01232 & 0.49723 \\ 
\textbf{Consumer price index}     & -0.11343 & 1.27139 & -0.52340*** & -0.22151 & 0.11112*** & -0.57925 & 0.25742*** & -0.01637 & -0.02735 & 0.16253 & -0.01576 & 0.43095 \\ 
\textbf{Durable goods orders}     & 0.25844 & -3.94367 & -0.05658 & 0.27322 & 0.01283 & 0.81324** & -0.00975 & -0.03792 & 0.01667 & 0.88570** & -0.09599* & -0.18731 \\ 
\textbf{Existing home sales}      & -0.77611 & 4.12467 & 0.13657 & -0.31927 & 0.09330*** & -0.22595 & 0.05463 & 0.31807 & 0.01878 & 0.02580 & 0.10396** & 0.92352** \\ 
\textbf{Factory orders}           & 0.91990 & 1.70409 & -0.07701 & -0.03624 & 0.01073 & -0.67484 & -0.03092 & -0.44596* & 0.01082 & -0.22664 & -0.03744 & 1.07310** \\ 
\textbf{Gross domestic product}   & 0.34501 & -1.88465 & 0.04424 & -0.64959* & 0.06082* & 1.02371*** & 0.08284* & 1.10052*** & 0.05347 & 0.40694 & -0.15514*** & 0.94600** \\ 
\textbf{Housing starts}           & -0.40274 & 0.07790 & -0.21414* & -0.03151 & 0.04666 & -0.53977 & -0.18703*** & 0.05743 & -0.03861 & 0.80121* & -0.01860 & -0.43125 \\ 
\textbf{Industrial production}    & -0.01230 & -2.49043 & -0.02319 & 0.20445 & -0.06506** & 0.25795 & -0.02684 & 0.15867 & -0.08525 & 0.04713 & 0.00632 & 0.29616 \\ 
\textbf{New home sales}           & -0.07277 & 1.40281 & 0.41370*** & 1.62105*** & 0.16036*** & 0.36746 & 0.02375 & 0.47451* & 0.03870 & -0.38979 & -0.01679 & -0.90365** \\ 
\textbf{Non-farm employment}      & 0.38153 & -0.79927 & 0.73582*** & 0.87849*** & 0.33138*** & 1.02249** & 0.04335 & -0.45437* & 0.13090 & -0.34504 & 0.09655* & 0.66310 \\ 
\textbf{Pending home sales}       & -0.16135 & 2.17731 & 0.33625*** & -0.09161 & 0.08945*** & -0.37429 & 0.08860** & 0.17491 & 0.14610* & 0.30697 & 0.01209 & 2.49867*** \\ 
\textbf{Personal consumption}     & 0.44670 & -0.26628 & -0.00970 & -0.25217 & 0.01905 & -0.42262 & -0.03202 & 0.21254 & 0.00779 & 0.24570 & -0.10497** & 2.07186*** \\ 
\textbf{Personal income}          & -0.05879 & -3.64050 & -0.05739 & 1.06157*** & 0.03155 & 1.21226*** & -0.03398 & -0.03706 & 0.02667 & 0.69591 & -0.11986** & -0.22351 \\ 
\textbf{Producer price index}     & -0.73060 & 3.86034 & 0.40256*** & -0.23286 & 0.16360*** & 1.00912** & -0.00112 & 0.23935 & -0.07333 & 0.37691 & -0.02853 & -0.98772** \\ 
\textbf{Trade balance}            & 0.88337 & 0.15135 & -0.05401 & 0.00010 & 0.08634*** & 0.00010 & -0.00930 & 0.00010 & 0.02746 & 0.00010 & 0.10671** & -0.02417 \\ 
\textbf{Crude Oil Weekly inventory}   & 0.18957 & 0.00010 &          &          &          &          &          &          &          &          &          &          \\ 
\textbf{Natural Gas Weekly inventory} &          &         &          &          &          &          &          &          &          &          & 0.55306*** & 0.00010 \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{167663}   & \multicolumn{2}{c}{167808}   & \multicolumn{2}{c}{167513}   & \multicolumn{2}{c}{167800}   & \multicolumn{2}{c}{99525}    & \multicolumn{2}{c}{167472}   \\ 
\textbf{$R^2$}                        & \multicolumn{2}{c}{0.031995} & \multicolumn{2}{c}{0.09131}  & \multicolumn{2}{c}{0.073455} & \multicolumn{2}{c}{0.085618} & \multicolumn{2}{c}{0.043910} & \multicolumn{2}{c}{0.135931} \\ \bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eqn:VarianceEqn} using the financialization variable $SWAP_NLS_t$, calculated with the swap dealer positions. The equation is $\sigma_{t}^2=\alpha_0+\alpha_1 \sigma_{t-1}^2+\alpha_2 \epsilon_t^2 +\sum_{m=1}^{22} \Phi_m D_{m,t}+\beta X_{i,t}+\sum_{k=1}^n \phi_k I_{kt} + \sum_{h=1}^{23} \rho_h D_h$ where $I_{kt}=D_{m,t} \cdot X_{i,t}$ and $D_{m,t}$ is a macro announcement dummy variable for release $m$. The period covered is from 2020-01-31 to 2022-06-10. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}


\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization on Futures Bid-Ask Spreads - COVID Sample Period}
\label{tab:macro_fin_fut_spread_covid}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\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}}       \\ \midrule
\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}} \\ \midrule

\textbf{Initial jobless claims}   & -8.45457* & 32.63860 & -32.15185 & 68.58676 & 2.69425 & -10.34599 & -3.69442 & -0.68497 & 17.97636 & -38.23165 & -2.18300 & 16.07627 \\ 
\textbf{ADP Employment}           & -7.01380 & 27.57371 & 2.75782 & -15.96412 & -6.32736 & 23.38047 & -1.04991 & 5.47512 & 10.51878 & -83.44112 & -6.04361 & -15.95091 \\ 
\textbf{CB Consumer}              & 1.72193 & -8.29055 & 0.20613 & 0.67657 & -1.33193 & 8.92511 & -3.85447 & 14.70581 & -12.61134 & -0.93962 & -2.02269 & 32.67489 \\ 
\textbf{Advance retail sales}     & 0.47142 & -2.97107 & -12.26401 & 22.01365 & 6.34823 & -43.34305 & -5.43414 & 3.75827 & 31.56759 & -174.90854* & -8.11642 & 16.35424 \\ 
\textbf{Building permit}          & 6.89017 & -27.68956 & 3.39690 & -7.73748 & -1.74443 & 13.41171 & -4.95466 & 3.63697 & -14.84855 & 0.76456 & -3.87804 & 1.60257 \\ 
\textbf{Construction spending}    & -2.61608 & 7.03623 & -13.45280 & 4.24283 & 1.96312 & -29.53599 & 0.94003 & 46.09774 & -11.47392 & 32.35733 & -12.96641*** & 1.97118 \\ 
\textbf{Consumer credit}          & 2.41314 & -9.94837 & 7.78231 & -15.71571 & -2.71320 & 7.74770 & 0.59937 & 3.02055 & -25.74707 & -20.31381 & -2.07031 & 23.61450 \\ 
\textbf{Consumer price index}     & 7.20494 & -25.29491 & -3.42521 & -1.65148 & -39.28089*** & -145.43158*** & -11.52600 & 38.83663 & -32.67489 & -46.75416 & 2.77011 & 24.58328 \\ 
\textbf{Durable goods orders}     & -9.89192 & 37.28075 & -29.75619 & 69.17601 & 0.87449 & -13.73658 & -0.82563 & -54.12952* & 20.87349 & 128.40773* & -11.41486** & -52.47868 \\ 
\textbf{Existing home sales}      & -0.46522 & 0.34583 & 3.92832 & -6.46341 & 16.71948 & -67.10920 & 0.31434 & 9.70195 & 16.71922 & -8.48132 & -17.03243*** & -178.54859* \\ 
\textbf{Factory orders}           & -15.48047 & 74.63383 & 44.16864 & -105.93270 & 15.54016 & -74.27283 & 4.97664 & 45.23353 & -2.59182 & 11.01312 & -3.79898 & 64.35242 \\ 
\textbf{Gross domestic product}   & -1.58999 & 5.70127 & -43.82863 & 88.03500 & -1.47836 & -1.12038 & -0.70136 & -5.97657 & -7.17208 & 6.66107 & -11.27067* & -130.33774 \\ 
\textbf{Housing starts}           & 6.12910 & -24.96061 & -2.81247 & 10.02873 & -3.53717 & 21.79738 & -5.20147 & 5.35973 & -16.49801 & -7.01299 & -4.03108 & -5.86341 \\ 
\textbf{Industrial production}    & 2.91449 & -12.96496 & 48.87900 & -105.74691 & 0.00122 & -2.30832 & 4.95540 & 35.35167 & 2.15082 & -11.17841 & 1.06505 & 73.51929 \\ 
\textbf{New home sales}           & -24.01000* & -99.88216* & -11.07115 & 30.45099 & -9.11509 & 62.63078 & -1.48689 & 0.20277 & 10.26320 & -73.53129 & 7.81899 & 185.08587* \\ 
\textbf{Non-farm employment}      & -2.96793 & 11.23798 & 43.03459 & -112.42904 & -63.21266*** & -338.05257*** & -3.33554 & 12.29767 & -16.32851 & 41.11426 & 0.03300 & 79.67313 \\ 
\textbf{Pending home sales}       & -0.84391 & 2.97208 & -164.00384*** & -385.97966*** & 14.75059 & -72.72820 & -5.07796 & 9.09510 & -27.61151* & 15.32589 & -2.42626 & 5.97021 \\ 
\textbf{Personal consumption}     & 1.86327 & -0.94651 & -140.08397*** & -394.38524*** & -39.02233** & -135.70025* & 1.60913 & -11.74366 & -6.64960 & -88.63991 & -3.03578 & 67.46156 \\ 
\textbf{Personal income}          & -10.61629 & 46.60744 & -83.54386* & -227.64691** & -59.19209*** & -215.96703*** & -4.67215 & -5.26524 & -11.94332 & -78.55460 & -2.97292 & 41.70955 \\ 
\textbf{Producer price index}     & 1.70179 & -16.86221 & 7.01259 & -17.88897 & -10.70080 & 15.75020 & 0.00117 & -10.70497 & -9.80993 & 56.90673 & 0.98973 & -59.24571 \\ 
\textbf{Trade balance}            & -3.97475 & 14.39262 & -92.13706* & -218.06267* & 2.84071 & -15.06097 & -4.84260 & 9.71728 & 35.51784 & 133.79336 & -0.60358 & 16.84096 \\ 
\textbf{Crude Oil Weekly inventory}   & -10.02190** & -36.44271** &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory} &  &  &  &  &  &  &  &  &  &  & -4.57990* & -7.32267 \\ \midrule
\textbf{Observations}                 & \multicolumn{2}{c}{166685}   & \multicolumn{2}{c}{166719}   & \multicolumn{2}{c}{166731}   & \multicolumn{2}{c}{166815}   & \multicolumn{2}{c}{99034}    & \multicolumn{2}{c}{166546}   \\ 
\textbf{$R^2$}                        & \multicolumn{2}{c}{0.001149} & \multicolumn{2}{c}{0.001423} & \multicolumn{2}{c}{0.000525} & \multicolumn{2}{c}{0.000218} & \multicolumn{2}{c}{0.000397} & \multicolumn{2}{c}{0.003331} \\ \bottomrule 
\end{tabular}
}
\begin{tablenotes}
    \singlespacing
    \footnotesize
    This table presents estimates of the equation $R_{\text{SPREAD}}_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m D_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (D_{m,t} \cdot X_t)+\beta R_{\text{SPREAD}}_{t-\tau}^{t}+\epsilon_{t}$, analyzing the effects of financialization and macroeconomic announcements on the bid-ask spread using the financialization variable $PCA_t$. The period covered is from 2020-01-31 to 2022-06-10. The $\gamma_m$ coefficients capture the instantaneous change in the bid-ask spread when a macroeconomic announcement occurs. The $\delta$ coefficient represents the effect of the financialization variable $PCA_t$. The $\theta_m$ coefficients capture the interaction effect between macroeconomic announcements and financialization. The $\beta$ coefficient represents the effect of the lagged bid-ask spread. 
\end{tablenotes}
\end{sidewaystable}


\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (Money Managers only) on Futures Bid-Ask Spreads - COVID Sample Period}
\label{tab:macro_fin_mm_fut_spread_covid}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\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}}       \\ \midrule
\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}} \\ \midrule
\textbf{Initial jobless claims}   & -6.53749 & 36.99070 & -5.09100 & 8.51443 & 3.41174 & -17.48035 & -3.40548 & -2.41912 & 19.37294 & -11.70774 & -2.81559 & -11.19065 \\ 
\textbf{ADP Employment}           & -2.54564 & 12.16488 & -0.27605 & -23.53318 & 0.20027 & -4.49908 & -1.23394 & 6.01069 & 25.27774 & -127.94447* & -5.27134 & -23.83603 \\ 
\textbf{CB Consumer}              & -2.18130 & 12.93870 & -45.84963** & -249.22187** & -0.02745 & 4.28165 & -4.10521 & 13.23897 & -12.91633 & 1.48671 & -3.68272 & -21.06597 \\ 
\textbf{Advance retail sales}     & -0.35744 & 0.60072 & 12.70640 & -101.23214 & -0.61295 & -16.17703 & -6.01125 & 5.65043 & 18.50305 & -273.57349*** & -5.83752 & -135.71818 \\ 
\textbf{Building permit}          & 1.99415 & -9.94633 & -2.29627 & 13.91138 & 4.82895 & -18.77987 & -5.04469 & 3.49561 & -16.69684 & 13.34416 & -4.15163 & -17.87371 \\ 
\textbf{Construction spending}    & -2.75408 & 10.65215 & -11.46947 & -2.50924 & -2.52379 & -11.13408 & 0.78212 & 36.65732 & -16.15920 & 44.82008 & -13.10610*** & -59.57002 \\ 
\textbf{Consumer credit}          & 0.70337 & -4.51235 & 11.79169 & -57.03598 & -1.09255 & 1.01969 & 0.49895 & 3.20891 & -22.23673 & -35.21557 & -3.29733 & -8.11439 \\ 
\textbf{Consumer price index}     & -4.69999 & 51.54822 & -5.81072 & 7.74688 & -26.55744*** & -122.68944*** & -13.34444 & 40.37926 & -27.29220 & -60.56031 & 1.93294 & 1.46551 \\ 
\textbf{Durable goods orders}     & -19.22690** & -118.46268** & 17.25772 & -109.15007 & -1.05906 & -6.50919 & -0.64667 & -42.91178 & 5.24254 & -165.86851** & -8.48567* & -53.43413 \\ 
\textbf{Existing home sales}      & -1.22338 & 4.97090 & 3.87388 & -14.80845 & 15.17943* & -79.97844* & 0.10610 & 9.01045 & 21.46227 & -33.72955 & -8.30693 & -79.67399 \\ 
\textbf{Factory orders}           & -4.76485 & 41.39189 & 19.49683 & -102.68878 & 5.78866 & -44.82403 & 5.03609 & 33.39901 & -3.90920 & 7.89477 & -6.88273 & -23.95548 \\ 
\textbf{Gross domestic product}   & -1.04247 & 5.06662 & -8.41631 & 9.68084 & 0.71472 & -12.75077 & -0.58138 & -5.05292 & -9.61105 & 50.03523 & -2.92402 & -125.74563 \\ 
\textbf{Housing starts}           & 2.05682 & -11.80710 & -2.95333 & 26.21003 & 1.34557 & 0.91365 & -5.35574 & 5.12633 & -17.75742 & 5.21089 & -3.97261 & -18.35345 \\ 
\textbf{Industrial production}    & 0.35193 & -1.63075 & 23.54541 & -104.71462 & -1.09340 & 3.33982 & 4.44746 & 33.67293 & 3.49871 & -10.35028 & -1.81734 & -4.53699 \\ 
\textbf{New home sales}           & 7.92804 & -45.17302 & -1.18304 & 16.09251 & -4.08212 & 54.53273 & -1.44261 & -0.18358 & 18.08228 & -82.06347 & -0.78691 & 10.34050 \\ 
\textbf{Non-farm employment}      & -0.82310 & 1.81903 & 1.58473 & -30.55903 & -23.72445*** & -227.51036*** & -3.86881 & 13.19033 & -25.23743 & 79.33754 & -3.17593 & -0.45983 \\ 
\textbf{Pending home sales}       & -0.02295 & -1.11790 & -46.49598*** & -246.06299** & 3.57038 & -29.84477 & -5.31654 & 8.30615 & -30.47064 & 23.53088 & -2.51547 & 13.68996 \\ 
\textbf{Personal consumption}     & 0.01625 & 13.82409 & -29.32162** & -315.62711*** & -47.47106*** & -204.48894*** & 2.26731 & -13.85110 & 3.13005 & -100.63543 & -10.62189* & -143.20008** \\ 
\textbf{Personal income}          & -4.67095 & 35.99125 & -12.11663 & -128.20470* & -63.31274*** & -289.00279*** & -4.44401 & -6.07123 & -0.37210 & -110.28908 & -6.55370 & 55.53102 \\ 
\textbf{Producer price index}     & 0.59074 & -21.44445 & 1.19636 & -8.48787 & -8.07756 & 6.48243 & 0.41099 & -11.28126 & -14.63389 & 62.18375 & 3.17994 & -21.68273 \\ 
\textbf{Trade balance}            & -1.32886 & 3.12729 & 6.92187 & -37.58044 & 1.17240 & -11.13297 & -4.80578 & 7.07448 & 20.95441 & 150.55476 & -1.27918 & -1.62928 \\ 
\textbf{Crude Oil Weekly inventory}   & -8.79628 & 45.75521 &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory} &  &  &  &  &  &  &  &  &  &  & -4.19533* & -26.06610 \\ 
\midrule
\textbf{Observations}                 & \multicolumn{2}{c}{166685} & \multicolumn{2}{c}{166719} & \multicolumn{2}{c}{166731} & \multicolumn{2}{c}{166815} & \multicolumn{2}{c}{99034} & \multicolumn{2}{c}{166546} \\ 
\textbf{$R^2$}                        & \multicolumn{2}{c}{0.000479} & \multicolumn{2}{c}{0.000691} & \multicolumn{2}{c}{0.000759} & \multicolumn{2}{c}{0.000220} & \multicolumn{2}{c}{0.000466} & \multicolumn{2}{c}{0.001290} \\ 
\bottomrule 
\end{tabular}
}
\begin{tablenotes}
    \singlespacing
    \footnotesize
    This table presents estimates of the equation $R_{\text{SPREAD}}_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m D_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (D_{m,t} \cdot X_t)+\beta R_{\text{SPREAD}}_{t-\tau}^{t}+\epsilon_{t}$, analyzing the effects of financialization and macroeconomic announcements on the bid-ask spread using the financialization variable $MM_NLS_t$, calculated with the money manager positions. The period covered is from 2020-01-31 to 2022-06-10. The $\gamma_m$ coefficients capture the instantaneous change in the bid-ask spread when a macroeconomic announcement occurs. The $\delta$ coefficient represents the effect of the financialization variable $MM_NLS_t$. The $\theta_m$ coefficients capture the interaction effect between macroeconomic announcements and financialization. The $\beta$ coefficient represents the effect of the lagged bid-ask spread. 
\end{tablenotes}
\end{sidewaystable}


\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (Swap Dealers only) on Futures Bid-Ask Spreads - COVID Sample Period}
\label{tab:macro_fin_sd_fut_spread_covid}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\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}}       \\ \midrule
\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}} \\ \midrule
\textbf{Initial jobless claims}   & 10.24187 & 54.86243 & -19.79900 & -47.94679 & 1.04395 & 11.95376 & 0.62635 & -29.73601 & -0.94417 & 97.30547 & -1.47409 & -24.50216 \\ 
\textbf{ADP Employment}           & 10.29355 & 54.30388 & -20.42843 & -51.03246 & -3.41656 & -41.32937 & 9.60909 & -68.44492 & -43.34301 & 300.61380* & -2.79075 & -30.87692 \\ 
\textbf{CB Consumer}              & -93.69279*** & 458.93758*** & -112.66663* & 330.74749* & 0.70623 & 0.26801 & 11.04775 & -89.06956 & -5.85562 & -24.73806 & -0.82104 & -41.16415 \\ 
\textbf{Advance retail sales}     & 34.00074 & 169.06349 & 48.22101 & 157.71656 & -3.04485 & 6.14432 & 2.72265 & -50.99529 & -174.25599*** & 632.68492*** & -5.57590 & -33.72617 \\ 
\textbf{Building permit}          & 2.40051 & 10.26005 & -21.64306 & -65.43971 & -2.03091 & -69.35593 & 11.64191 & -113.75751 & -20.81458 & 32.81489 & -1.59690 & -35.80282 \\ 
\textbf{Construction spending}    & 11.35242 & 60.90826 & -57.88134 & -138.98892 & -4.73548 & -5.03573 & 15.79675 & -79.49194 & -8.78460 & -8.46941 & -10.92327*** & 3.32543 \\ 
\textbf{Consumer credit}          & -11.51170 & -58.97665 & -4.14107 & -16.16466 & -1.95637 & -19.32312 & 3.04256 & -16.03746 & -46.57863 & 102.99198 & -1.22397 & -31.05955 \\ 
\textbf{Consumer price index}     & 45.05825 & 218.46376 & 14.38145 & 57.41763 & -9.65485* & 88.71944 & 8.75704 & -97.35713 & -57.20775 & 120.35114 & 5.58330 & -66.19648 \\ 
\textbf{Durable goods orders}     & 10.51353 & 58.94425 & -36.54239 & -103.95797 & -1.95416 & 4.36544 & -35.37134** & 194.14464* & 77.56131 & -270.22198 & -7.09413 & -13.91533 \\ 
\textbf{Existing home sales}      & 5.62694 & 29.94909 & -20.82648 & -68.15208 & 3.39694 & 48.06118 & 4.48249 & -22.91333 & 6.25310 & 53.85716 & -12.91688** & 66.49211 \\ 
\textbf{Factory orders}           & -9.76512 & -51.85161 & -74.81358 & -229.86249 & 0.09464 & 46.53674 & -44.22186*** & 231.73259** & 16.83545 & -90.41738 & 0.67131 & -111.96233 \\ 
\textbf{Gross domestic product}   & 1.38827 & 7.88813 & -11.18460 & -11.74147 & 5.21688 & 126.46891 & 4.77117 & -45.00653 & 10.67219 & -77.56816 & -4.94355 & -26.94017 \\ 
\textbf{Housing starts}           & -0.79973 & -4.70638 & -49.82587 & -154.17195 & -1.92575 & -65.07468 & 11.45273 & -113.04466 & -25.09012 & 45.89718 & -1.66228 & -32.69808 \\ 
\textbf{Industrial production}    & -9.04338 & -46.23321 & -192.28574** & 569.08575** & -0.38470 & 2.10315 & 0.66317 & 45.23953 & -9.28254 & 66.17973 & -0.00280 & -32.91286 \\ 
\textbf{New home sales}           & 1.81114 & 2.99737 & -32.14284 & -102.23884 & 2.49281 & -37.07252 & -0.25835 & -7.75060 & -19.21790 & 143.30837 & 8.11365 & -136.05671 \\ 
\textbf{Non-farm employment}      & -0.09881 & 1.38195 & -41.41392 & -110.67017 & -0.41960 & 319.36321*** & 8.29837 & -71.76987 & -23.71044 & 37.26705 & 0.03030 & -60.23125 \\ 
\textbf{Pending home sales}       & 3.39829 & 16.95587 & -230.69323*** & 682.50102*** & -5.85800 & 155.38021** & 5.92134 & -65.65184 & -4.37531 & -109.72612 & -4.79465 & 43.67730 \\ 
\textbf{Personal consumption}     & 21.90717 & 95.65292 & -46.37971 & -197.44690 & 11.39043 & 93.80840 & 17.45292 & -111.85795 & -46.22900 & 185.56535 & -1.86717 & -64.54461 \\ 
\textbf{Personal income}          & 18.53030 & 87.08505 & -37.00806 & -142.20539 & -15.22461** & 134.75459** & 9.42308 & -96.61453 & -53.05446 & 204.31813 & -1.77619 & -49.21373 \\ 
\textbf{Producer price index}     & 23.95203 & 125.03180 & 12.29022 & 38.56243 & -7.92362 & -14.81001 & -16.94245 & 109.19877 & 21.59151 & -144.39402 & 1.19073 & 28.92005 \\ 
\textbf{Trade balance}            & 6.96130 & 37.26328 & 30.02162 & 89.82014 & -1.29340 & -11.27194 & 13.88305 & -119.16198 & 69.05956 & -131.54404 & -0.98567 & -3.43898 \\ 
\textbf{Crude Oil Weekly inventory}   & -22.17392** & 117.15902** &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory} &  &  &  &  &  &  &  &  &  &  & -1.46102 & -44.32457 \\ 
\midrule
\textbf{Observations}                 & \multicolumn{2}{c}{166685} & \multicolumn{2}{c}{166719} & \multicolumn{2}{c}{166731} & \multicolumn{2}{c}{166815} & \multicolumn{2}{c}{99034} & \multicolumn{2}{c}{166546} \\ 
\textbf{$R^2$}                        & \multicolumn{2}{c}{0.00114} & \multicolumn{2}{c}{0.001013} & \multicolumn{2}{c}{0.000521} & \multicolumn{2}{c}{0.002449} & \multicolumn{2}{c}{0.000819} & \multicolumn{2}{c}{0.008131} \\ 
\bottomrule 
\end{tabular}
}
\begin{tablenotes}
    \singlespacing
    \footnotesize
    This table presents estimates of the equation $R_{\text{SPREAD}}_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m D_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (D_{m,t} \cdot X_t)+\beta R_{\text{SPREAD}}_{t-\tau}^{t}+\epsilon_{t}$, analyzing the effects of financialization and macroeconomic announcements on the bid-ask spread using the financialization variable $SWAP_NLS_t$, calculated with the swap dealer positions. The period covered is from 2020-01-31 to 2022-06-10. The $\gamma_m$ coefficients capture the instantaneous change in the bid-ask spread when a macroeconomic announcement occurs. The $\delta$ coefficient represents the effect of the financialization variable $SWAP_NLS_t$. The $\theta_m$ coefficients capture the interaction effect between macroeconomic announcements and financialization. The $\beta$ coefficient represents the effect of the lagged bid-ask spread.
\end{tablenotes}
\end{sidewaystable}


\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (NLS) on Futures Returns - COVID Sample Period}
\label{tab:macro_fin_nls_fut_returns_covid}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\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}}       \\ \midrule
\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}} \\ \midrule
\textbf{Initial jobless claims}   & -0.05304 & 0.15319 & 0.67456*** & -1.29179*** & 0.07436 & -0.34916 & -0.01207 & -0.07707 & -0.01584 & 0.07139 & -0.11231** & -1.56397*** \\ 
\textbf{ADP Employment}           & 0.22435 & -0.60967 & -0.44274*** & 0.90844*** & 0.70483*** & -3.01802*** & 0.02568 & 0.16286 & 0.00351 & -0.01967 & -0.12050** & -2.93345** \\ 
\textbf{CB Consumer}              & 0.01593 & -0.05564 & -0.31780*** & 0.71482** & -0.00624 & 0.06684 & -0.02688 & 0.13241 & -0.02079 & 0.10325 & 0.06404 & 0.39286 \\ 
\textbf{Advance retail sales}     & -0.05187 & 0.33324 & -0.41640*** & 0.96100*** & 0.20226** & -0.82729* & 0.01210 & -0.07264 & -0.01557 & 0.09594 & -0.02402 & -0.34742 \\ 
\textbf{Building permit}          & 0.03941 & 0.03705 & -0.05159 & 0.11245 & -0.11363* & 0.40468 & -0.03852** & 0.16867** & 0.01120 & 0.00524 & 0.14075*** & 0.99814* \\ 
\textbf{Construction spending}    & 0.65898** & -2.88345** & -0.03630 & 0.03066 & 0.07823 & -0.48804 & 0.01588 & -0.16719 & 0.01435 & 0.11400 & -0.13218* & -2.26882** \\ 
\textbf{Consumer credit}          & -0.03940 & 0.12984 & -0.04807 & 0.10213 & 0.09214** & -0.39242** & -0.00315 & 0.06116 & -0.01061 & 0.13497 & -0.01933 & -0.12264 \\ 
\textbf{Consumer price index}     & 0.31416* & -1.56755** & -1.09536*** & 2.65481*** & -0.19543** & 0.46196 & -0.08642*** & 0.46350** & -0.08641*** & 0.22573* & -0.01456 & 0.15191 \\ 
\textbf{Durable goods orders}     & 0.35070 & -1.58708 & -0.48512*** & 1.08308*** & 0.22685* & -1.10379* & -0.03552 & 0.11180 & 0.02170 & -0.34540 & 0.00889 & -0.33582 \\ 
\textbf{Existing home sales}      & 0.37743 & -1.89630* & -0.10240 & 0.30048 & 0.24303** & -1.09853** & -0.02365 & 0.10840 & 0.03241 & -0.18899 & 0.08941 & -0.06124 \\ 
\textbf{Factory orders}           & 0.20435 & -0.68398 & -0.02856 & 0.01114 & -0.06706 & 0.21191 & 0.04305* & 0.09729 & 0.02654 & -0.31984 & 0.26264** & 0.86038 \\ 
\textbf{Gross domestic product}   & -0.20342 & 0.86461 & -0.67894*** & 1.57151*** & -0.18048 & 0.75512 & -0.05325*** & 0.21315** & -0.05130** & -0.03363 & -0.05500** & -0.40989 \\ 
\textbf{Housing starts}           & 0.36735** & -1.80380** & -0.03907 & 0.08773 & -0.04173 & 0.00353 & -0.02956 & 0.16777 & 0.02437 & -0.28613 & 0.16296*** & 2.02325*** \\ 
\textbf{Industrial production}    & -0.17304 & 0.64564 & -0.17486** & 0.50872*** & -0.00921 & -0.19491 & -0.02577 & 0.08019 & 0.00533 & 0.04843 & -0.04705 & -0.36049 \\ 
\textbf{New home sales}           & -0.23104 & 0.98392 & -0.25247** & 0.63549** & 0.06011 & -0.42542 & -0.00855 & 0.01137 & 0.02505 & -0.06303 & 0.00508 & 1.08808* \\ 
\textbf{Non-farm employment}      & -0.27310 & 1.19546 & -2.14386*** & 4.54338*** & 0.78667*** & -3.34173** & -0.02520*** & 0.52836* & 0.02156 & -0.18188 & -0.19984** & -5.81269** \\ 
\textbf{Pending home sales}       & -0.06442 & 0.34858 & -0.03672 & 0.05687 & -0.00501 & 0.03113 & 0.00715 & -0.00186 & -0.01095 & 0.15398 & -0.05828 & -0.67781 \\ 
\textbf{Personal consumption}     & 0.11481 & -0.56463 & -0.24542*** & 0.49336*** & -0.00707 & 0.05437 & 0.00234 & -0.00638 & 0.01645 & 0.12192 & 0.05777 & 2.02525** \\ 
\textbf{Personal income}          & -0.04283 & 0.05470 & 0.39444 & -0.86742 & -0.01019 & 0.01571 & -0.01784* & 0.27411* & -0.00134 & -0.13281 & -0.13135 & -3.18790 \\ 
\textbf{Producer price index}     & -0.16712 & 0.84336 & -0.15421 & 0.30151 & -0.03584 & 0.11642 & 0.00967 & -0.04937 & 0.02245 & 0.20957 & -0.03629 & 0.43642 \\ 
\textbf{Trade balance}            & -0.73246 & 2.12028 & -0.33167 & 0.53286 & -0.21421 & -0.08428 & -0.04745 & -0.53524 & -0.58781*** & 0.60070** & -0.07978 & 6.76062** \\ 
\textbf{Crude Oil Weekly inventory}   & -0.06204 & -0.71763** &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory} &  &  &  &  &  &  &  &  &  &  & -0.14237*** & 0.47267 \\ 
\midrule
\textbf{Observations}                 & \multicolumn{2}{c}{167663} & \multicolumn{2}{c}{167808} & \multicolumn{2}{c}{167513} & \multicolumn{2}{c}{167800} & \multicolumn{2}{c}{99525} & \multicolumn{2}{c}{167472} \\ 
\textbf{$R^2$}                        & \multicolumn{2}{c}{0.004142} & \multicolumn{2}{c}{0.003897} & \multicolumn{2}{c}{0.001678} & \multicolumn{2}{c}{0.000988} & \multicolumn{2}{c}{0.001109} & \multicolumn{2}{c}{0.001805} \\ 
\bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eq:Model 1}, $R_{t}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m S_{m,t}+ \delta X_{t,i} + \sum_{m=1}^{22} \theta_m (S_{m,t} \cdot X_t)+\beta R_{t-\tau}^{t}+\epsilon_{t}$ using the method proposed by \citet{kurov2019price} and financialization variable $X_{t,2}=NLS_t$. The period covered is from 2020-01-31 to 2022-06-10. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred and especially if that announcement was unanticipated. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}



\begin{sidewaystable}
\caption{Effects of Macro Announcements and Financialization (NLS) on Futures Conditional Variance - COVID Sample Period}
\label{tab:macro_fin_nls_var_covid}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\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}}       \\ \midrule
\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}} \\ \midrule
\textbf{Initial jobless claims} & -0.09636 & 3.35298* & 0.02294 & -0.15107 & 0.19983*** & -1.07585*** & 0.01309 & -0.04209 & 0.08340*** & -0.14983 & 0.00017 & 0.15059 \\ 
\textbf{ADP Employment}         & 0.65757* & -4.72734*** & 0.06518 & -0.34747* & 0.28162*** & -0.14248 & 0.06963*** & -0.06428 & -0.09531** & -0.20166 & 0.01880 & 0.66031 \\ 
\textbf{CB Consumer}            & -0.94417*** & -0.62403 & 0.21887*** & -0.52652** & 0.10017 & -1.30271*** & 0.00055 & -0.06044 & 0.03359 & -0.23366 & 0.02124 & 0.04480 \\ 
\textbf{Advance retail sales}   & 0.12243 & -2.33292 & 0.26516** & -0.68949*** & 0.41279*** & -0.52480 & 0.02151 & -0.28203*** & 0.00377 & -0.22670 & 0.05886 & -0.29694 \\ 
\textbf{Building permit}        & 0.48651 & 1.59467 & -0.28847*** & -0.00757 & 0.11495 & 0.26274 & 0.02049 & 0.04902 & 0.04828 & -0.03058 & 0.03644 & -0.69603 \\ 
\textbf{Construction spending}  & -0.30513 & -1.01085 & 0.04250 & -0.05809 & -0.03163 & -0.22089 & -0.00162 & 0.07112 & -0.00531 & 0.16762 & 0.00908 & -0.03468 \\ 
\textbf{Consumer credit}        & 0.20470 & -1.53043 & 0.02835 & -0.10382 & 0.09498 & -0.71454* & -0.01401 & -0.32437*** & 0.02753 & 0.08909 & 0.01673 & -0.33224 \\ 
\textbf{Consumer price index}   & 0.30876 & 0.61810 & 0.14219 & -0.02822 & 0.26772*** & 0.15355 & 0.13431*** & -0.17237* & -0.02796 & -0.04975 & 0.01102 & -0.71745 \\ 
\textbf{Durable goods orders}   & -0.14714 & 1.43927 & 0.03029 & 0.21013 & 0.00619 & -0.58963* & -0.03130* & -0.07651 & 0.04970 & -0.06524 & -0.10203** & -0.07702 \\ 
\textbf{Existing home sales}    & -0.21432 & 0.77755 & -0.04377 & 0.29942 & 0.18678** & 0.04353 & 0.05590*** & -0.09597 & 0.18962*** & -0.06904 & 0.08217* & -1.33778** \\ 
\textbf{Factory orders}         & -0.10802 & -0.49357 & -0.09774 & 0.19930 & 0.01168 & 0.57755 & 0.03064* & -0.21455* & 0.01980 & 0.13061 & -0.03477 & -0.97256 \\ 
\textbf{Gross domestic product} & 0.08325 & -2.59059 & -0.02549 & 0.62377*** & -0.03792 & -0.55955* & -0.01721 & -0.34547*** & 0.00297 & -0.23786 & -0.11512** & -0.71962 \\ 
\textbf{Housing starts}         & 0.54768 & 1.97644 & -0.26025*** & 0.05228 & 0.12271 & 0.48892 & 0.02738* & -0.06923 & 0.04611 & -0.37882* & 0.01934 & 0.67079 \\ 
\textbf{Industrial production}  & -0.45243 & -0.19230 & -0.03451 & 0.27323* & -0.15184 & -0.36886 & -0.01130 & -0.07301 & 0.08228* & 0.01327 & 0.00786 & -0.48328 \\ 
\textbf{New home sales}         & 0.08668 & -0.41910 & 0.07095 & -1.44824*** & 0.23089*** & -0.99621*** & -0.01913 & -0.04275 & 0.02849 & 0.32940** & -0.01434 & 1.36646*** \\ 
\textbf{Non-farm employment}    & 0.17025 & 1.42351 & 0.80207*** & -0.65071*** & 0.54701*** & -0.73662** & 0.12699*** & 0.12890 & 0.04275 & 0.27753 & 0.09921** & -0.59763 \\ 
\textbf{Pending home sales}     & -0.29046 & -0.79520 & 0.31423*** & -0.29805 & 0.20897*** & -0.03802 & -0.00090 & -0.06165 & 0.06603 & -0.06209 & 0.03494 & -3.15790*** \\ 
\textbf{Personal consumption}   & 0.14833 & -1.21877 & 0.14734 & -0.22859 & 0.04742 & 0.24194 & 0.00385 & -0.02860 & 0.06989 & -0.03114 & -0.07238 & -2.00898*** \\ 
\textbf{Personal income}        & 0.25973 & -0.28073 & 0.12412 & 0.46855** & -0.00291 & -0.54811 & 0.00321 & -0.00955 & 0.07410* & -0.51366** & -0.06398 & 0.07551 \\ 
\textbf{Producer price index}   & 0.08816 & 0.43065 & -0.15708 & -0.35724* & 0.22355*** & -0.59363* & -0.00614 & -0.03986 & 0.09817** & -0.15742 & -0.04277 & 0.93243* \\ 
\textbf{Trade balance}          & -0.01952 & 0.74449 & 0.17818** & 0.00010 & 0.17335** & 0.00010 & 0.03429** & 0.00010 & 0.10701*** & 0.00010 & 0.07544* & -0.17694 \\ 
\textbf{Crude Oil Weekly inventory} & -0.00049 & 0.00010 &  &  &  &  &  &  &  &  &  &  \\ 
\textbf{Natural Gas Weekly inventory} &  &  &  &  &  &  &  &  &  &  & 0.53992*** & 0.00010 \\ 
\midrule 
\textbf{Observations} & \multicolumn{2}{c}{167663} & \multicolumn{2}{c}{167808} & \multicolumn{2}{c}{167513} & \multicolumn{2}{c}{167800} & \multicolumn{2}{c}{99525} & \multicolumn{2}{c}{167472} \\ 
\textbf{$R^2$} & \multicolumn{2}{c}{0.026858} & \multicolumn{2}{c}{0.104799} & \multicolumn{2}{c}{0.072185} & \multicolumn{2}{c}{0.086944} & \multicolumn{2}{c}{0.047558} & \multicolumn{2}{c}{0.137333} \\ 
\bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eqn:VarianceEqn} using the financialization variable $NLS_t$. The equation is $\sigma_{t}^2=\alpha_0+\alpha_1 \sigma_{t-1}^2+\alpha_2 \epsilon_t^2 +\sum_{m=1}^{22} \Phi_m D_{m,t}+\beta X_{i,t}+\sum_{k=1}^n \phi_k I_{kt} + \sum_{h=1}^{23} \rho_h D_h$ where $I_{kt}=D_{m,t} \cdot X_{i,t}$ and $D_{m,t}$ is a macro announcement dummy variable for release $m$. The period covered is from 2020-01-31 to 2022-06-10. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of financialization.
\end{tablenotes}
\end{sidewaystable}
