\section{Tables}




\begin{landscape}
\begin{table}[]
\caption{Summary of the literature: Effect of non-commercial trading activity on commodity futures volatility}
\label{tab:fin}
\centering
\begin{tabular}{@{}lll@{}}
\toprule
\textbf{References}                   & \textbf{Proxy used for financialization or speculation}          & \textbf{Impact on volatility}      \\ \midrule
\citet{chang1997interday}             & CFTC’s definition of speculators                                 & \multirow{4}{*}{\textbf{Increase}} \\
\citet{daigler1999impact}             & CFTC’s definition of speculators                                 &                                    \\
\citet{irwin2004effect}               & Set speculators                                                  &                                    \\
\citet{tang2012index}                 & Commodity index trader (CIT) positions                           &                                    \\ \midrule
\citet{irwin1987note}                 & Amount of money invested in traded futures funds                 & \multirow{4}{*}{\textbf{No change}}  \\
\citet{irwin1999managed}              & Trading volume of large-commodity pool operators                 &                                    \\
\citet{bryant2006causality}           & CFTC’s definition of speculators                                 &                                    \\
\citet{haigh2007hedge}                & Number and positions of commodity pool operators and hedge funds &                                    \\ \midrule
\citet{brunetti2016speculators}       & Net positions of hedge funds and floor brokers               & \multirow{2}{*}{\textbf{Decrease}} \\
\citet{aulerich2012bubbles}           & Commodity index trader (CIT) positions                           &                                    \\ \bottomrule
\end{tabular}
\begin{tablenotes}
\singlespacing
\footnotesize
This table summarizes the findings of a range of studies on the effect of financialization and speculation on commodity futures volatility. The impact on volatility is categorized as Positive, Neutral, or Negative based on the results reported by each study. The proxies used for financialization or speculation include definitions and positions from the CFTC, set speculators, commodity index trader (CIT) positions, trading volume, and net positions of hedge funds and floor brokers.
\end{tablenotes}
\end{table}
\end{landscape}
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\begin{table}[] 
\begin{center}
\caption{List of macroeconomic announcements in our sample}
\label{tab:stat1}
\begin{tabular}{@{}lcccc@{}}
\toprule
\multicolumn{1}{c}{\textbf{Announcement}} & \textbf{Frequency} & \textbf{Source*} & \textbf{Unit}     & \textbf{Time} \\ \midrule
\textbf{GDP advance}                      & Quarterly          & BEA             & \%                & 8:30          \\
\textbf{GDP preliminary}                  & Quarterly          & BEA             & \%                & 8:30          \\
\textbf{GDP final}                        & Quarterly          & BEA             & \%                & 8:30          \\
\textbf{Personal income}                  & Monthly            & BEA             & \%                & 8:30          \\
\textbf{ADP employment}                   & Monthly            & ADP             & Number of jobs    & 8:15          \\
\textbf{Initial jobless claims}           & Weekly             & ETA             & Number of claims  & 8:30          \\
\textbf{Non-farm employment}              & Monthly            & BLS             & Number of jobs    & 8:30          \\
\textbf{Factory orders}                   & Monthly            & BC              & \%                & 10:00         \\
\textbf{Industrial production}            & Monthly            & FRB             & \%                & 9:15          \\
\textbf{Construction spending}            & Monthly            & BC              & \%                & 10:00         \\
\textbf{Durable goods orders}             & Monthly            & BC              & \%                & 8:30          \\
\textbf{Advance retail sales}             & Monthly            & BC              & \%                & 8:30          \\
\textbf{Consumer credit}                  & Monthly            & FRB             & USD               & 15:00         \\
\textbf{Personal consumption}             & Monthly            & BEA             & \%                & 8:30          \\
\textbf{Building permits}                 & Monthly            & BC              & Number of permits & 8:30          \\
\textbf{Existing home sales}              & Monthly            & NAR             & Number of homes   & 10:00         \\
\textbf{Housing starts}                   & Monthly            & BC              & Number of homes   & 8:30          \\
\textbf{New home sales}                   & Monthly            & BC              & Number of homes   & 10:00         \\
\textbf{Pending home sales}               & Monthly            & NAR             & \%                & 10:00         \\
\textbf{Trade balance}                    & Monthly            & BEA             & USD               & 8:30          \\
\textbf{Consumer price index}             & Monthly            & BLS             & \%                & 8:30          \\
\textbf{Producer price index}             & Monthly            & BLS             & \%                & 8:30          \\
\textbf{CB Consumer confidence index}     & Monthly            & CB              & Index             & 10:00         \\
\textbf{UM Consumer sentiment}            & Monthly            & TR/UM           & Index             & 9:55          \\
\textbf{Weekly Crude Oil Stock}            & Weekly            & EIA           & number of barrels              & 10:30          \\
\textbf{Weekly Natural Gas Stock}            & Weekly            & EIA           & number of cubic feet             & 11:00          \\\bottomrule
\end{tabular}
\end{center}
\begin{tablenotes}
        \singlespacing
        \footnotesize
This table shows the category, frequency, source, unit of measure, and release time for each macroeconomic announcements.  *(Automatic Data Processing, Inc. (ADP), Bureau of the Census (BC), Bureau of Economic Analysis (BEA), Bureau of Labor Statistics (BLS), Conference Board (CB), Employment and Training Administration (ETA), Federal Reserve Board (FRB), Institute for Supply Management (ISM), National Association of Realtors (NAR), Thomson Reuters/University of Michigan (TR/UM), and U.S. Department of the Treasury (USDT).)
\end{tablenotes}
\end{table}

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\begin{landscape}
\begin{table}[]
\begin{center}
\caption{Descriptive statistics for the standardized surprise calculated for each of the macroeconomic announcements}
\label{tab:stat2}
\begin{tabular}{@{}lccccccc@{}}
\toprule
\multicolumn{1}{c}{\textbf{Announcements}} & \textbf{Nb. obs.} & \textbf{Min.} & \textbf{1st Qu.} & \textbf{Med.} & \textbf{Mean} & \textbf{3rd Qu.} & \textbf{Max.} \\ \midrule
\textbf{Initial jobless claims}   & 825                               & -3.407                            & -0.0720                              & -0.007                   & 0.068                    & 0.065                       & 22.672                   \\
\textbf{ADP Employment}           & 202                               & -2.751                            & -0.0640                              & 0.008                    & 0.046                    & 0.078                       & 12.880                   \\
\textbf{CB Consumer}              & 201                               & -2.635                            & -0.4638                              & 0.093                    & 0.102                    & 0.872                       & 2.412                    \\
\textbf{Advance retail sales}     & 202                               & -4.028                            & -0.3661                              & -0.092                   & 0.023                    & 0.183                       & 8.879                    \\
\textbf{Building permit}          & 198                               & -2.375                            & -0.5356                              & 0.025                    & 0.082                    & 0.627                       & 3.205                    \\
\textbf{Construction spending}    & 202                               & -3.054                            & -0.5912                              & -0.099                   & -0.130                   & 0.493                       & 4.335                    \\
\textbf{Consumer\_credit}         & 202                               & -2.055                            & -0.5217                              & 0.104                    & 0.061                    & 0.619                       & 3.131                    \\
\textbf{Consumer price index}     & 201                               & -3.483                            & -0.6966                              & 0.000                    & -0.035                   & 0.697                       & 4.180                    \\
\textbf{Durable goods orders}     & 193                               & -2.702                            & -0.5757                              & 0.022                    & 0.037                    & 0.531                       & 6.688                    \\
\textbf{Existing home sales}      & 202                               & -4.729                            & -0.4627                              & 0.000                    & -0.067                   & 0.488                       & 2.467                    \\
\textbf{Factory orders}           & 202                               & -3.040                            & -0.3378                              & 0.000                    & 0.081                    & 0.507                       & 2.534                    \\
\textbf{GDP}                      & 185                               & -2.589                            & -0.3698                              & 0.000                    & -0.026                   & 0.370                       & 2.958                    \\
\textbf{Housing starts}           & 199                               & -2.285                            & -0.6178                              & 0.000                    & 0.042                    & 0.624                       & 3.401                    \\
\textbf{Industrial production}    & 385                               & -4.773                            & -0.5727                              & 0.000                    & -0.080                   & 0.573                       & 2.291                    \\
\textbf{Michigan Sentiment Index} & 202                               & -3.922                            & -0.4100                              & 0.036                    & -0.049                   & 0.463                       & 3.244                    \\
\textbf{New home sales}           & 202                               & -3.062                            & -0.3466                              & 0.116                    & 0.118                    & 0.631                       & 3.562                    \\
\textbf{Non-farm employment}      & 201                               & -0.892                            & -0.0564                              & 0.005                    & 0.078                    & 0.071                       & 13.169                   \\
\textbf{Pending home sales}       & 202                               & -2.949                            & -0.4244                              & 0.022                    & 0.075                    & 0.581                       & 5.674                    \\
\textbf{Personal consumption}     & 201                               & -3.666                            & -0.3666                              & 0.000                    & -0.026                   & 0.367                       & 2.566                    \\
\textbf{Personal income}          & 201                               & -1.079                            & -0.0771                              & 0.000                    & 0.095                    & 0.077                       & 13.108                   \\
\textbf{Producer price index}     & 188                               & -3.168                            & -0.5760                              & 0.000                    & 0.083                    & 0.864                       & 2.880                    \\
\textbf{Trade balance}            & 202                               & -1.831                            & -0.1801                              & -0.018                   & 0.013                    & 0.207                       & 2.359                    \\ \bottomrule
\end{tabular}
\end{center}
\begin{tablenotes}
        \singlespacing
        \footnotesize
This table presents descriptive statistics for the standardized surprise $(A_{kt}-E_{kt})/\sigma_{kt}$ for each of the macroeconomic announcements. The column (Nb. Observations) shows the number of individual surprises that can be calculated over the whole analysis period. The columns (Min.), (1st Qu.), (Median), (Mean), (3rd Qu.) and (Max) present respectively the minimum value, the first quartile, the median, the mean, the third quartile and the maximum value for the standardized surprise of each macroeconomic announcement 
\end{tablenotes}
\end{table}
\end{landscape}
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\begin{landscape}
\begin{table}[]
\begin{center}
\caption{Descriptive statistics: 5-minute intraday futures price returns}
\label{tab:stat4}
\begin{tabular}{@{}lllllll@{}}
\toprule
\textbf{Commodity Futures}  & \textbf{Min (\%)} & \textbf{1st Qu. (\%)} & \textbf{Med. (\%)} & \textbf{Mean (\%)} & \textbf{3rd Qu. (\%)} & \textbf{Max (\%)} \\ \midrule
\textbf{Crude Oil (CL=F)}   & -33.91          & -0.0441               & 0.000               & 0.000             & 0.0447                & 41.64        \\
\textbf{Gold (GC=F)}        & -2.782           & -0.0241               & 0.000               & 0.0001             & 0.0244                & 3.064         \\
\textbf{Copper (HG=F)}      & -4.534           & -0.0363               & 0.000               & -0.0001            & 0.0365                & 8.877         \\
\textbf{Natural Gas (NG=F)} & -6.735           & -0.0528               & 0.000               & -0.0003            & 0.0532                & 15.62        \\
\textbf{Palladium (PA=F)}   & -13.350          & -0.034               & 0.000               & 0.0001             & 0.0348                & 9.467         \\
\textbf{Silver (SI=F)}      & -7.504           & -0.0394               & 0.000               & 0.0001             & 0.0415                & 4.242         \\ \bottomrule
\end{tabular}
\end{center}
\begin{tablenotes}
        \singlespacing
        \footnotesize
Shows descriptive statistics of the 5-minute intraday returns, for each commodity futures. The columns (Min.), (1st Qu.), (Median), (Mean), (3rd Qu.) and (Max) present respectively the minimum value, the first quartile, the median, the mean, the third quartile and the maximum value for the 5 minute intraday returns.
\end{tablenotes}
\end{table}
\end{landscape}

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\begin{table}[ht]
\centering
\caption{Descriptive statistics: Computed value of the NLS proxy (respectively: full sample, money managers-only sample, swap dealers-only sample)}
\label{tab:stat5}
\small
\begin{tabular}{lcccccc}
\toprule
 & \textbf{CL} & \textbf{GC} & \textbf{HG} & \textbf{SI} & \textbf{PA} & \textbf{NG} \\
\midrule
 & & & \textbf{$NLS$} & & & \\
\midrule
Min. & -0.1667 & -0.4505 & -0.3238 & -0.1364 & -0.6246 & -0.2745 \\
1st Qu. & 0.0358 & 0.2285 & -0.1067 & 0.1547 & 0.3181 & -0.1731 \\
Median & 0.0642 & 0.2397 & 0.0235 & 0.2163 & 0.3056 & -0.0563 \\
Mean & 0.0774 & 0.1780 & 0.0278 & 0.2123 & 0.2685 & -0.0579 \\
3rd Qu. & 0.1834 & 0.4012 & 0.1417 & 0.3334 & 0.5652 & -0.0321 \\
Max. & 0.2941 & 0.5269 & 0.4413 & 0.5748 & 0.7343 & 0.0794 \\
\midrule
 & & & \textbf{$NLS_{MM$}} & & & \\
\midrule
Min. & -0.0370 & -0.2353 & -0.2727 & -0.2303 & -0.6005 & -0.2471 \\
1st Qu. & 0.0358 & 0.2177 & 0.0238 & 0.1550 & 0.3919 & -0.0345 \\
Median & 0.1059 & 0.2177 & 0.0238 & 0.1550 & 0.3919 & -0.0345 \\
Mean & 0.1011 & 0.2125 & 0.0350 & 0.1425 & 0.3294 & -0.0371 \\
3rd Qu. & 0.1834 & 0.4012 & 0.1417 & 0.3334 & 0.5652 & -0.0321 \\
Max. & 0.2051 & 0.4563 & 0.3923 & 0.4477 & 0.7330 & 0.1867 \\
\midrule
 & & & \textbf{$NLS_{SD}$} & & & \\
\midrule
Min. & -0.2645 & -0.4092 & -0.2263 & -0.2263 & -0.3640 & -0.0689 \\
1st Qu. & -0.1119 & -0.1457 & 0.0238 & -0.0255 & -0.0251 & 0.1091 \\
Median & -0.1119 & -0.1457 & 0.2398 & -0.0255 & -0.0251 & 0.1091 \\
Mean & -0.0897 & -0.1612 & 0.2395 & -0.0276 & 0.0086 & 0.1087 \\
3rd Qu. & 0.1847 & 0.1290 & 0.3923 & 0.3334 & 0.5652 & 0.2743 \\
Max. & 0.1847 & 0.1290 & 0.3923 & 0.3334 & 0.5652 & 0.2743 \\
\bottomrule
\end{tabular}
\begin{tablenotes}
\singlespacing
\footnotesize
This table provides descriptive statistics of the NLS proxy for speculative trading intensity for each commodity futures contract in our sample. The lines (Min.), (1st Qu.), (Median), (Mean), (3rd Qu.) and (Max) present respectively the minimum value, the first quartile, the median, the mean, the third quartile, and the maximum value. CL: crude oil, GC: gold, HG: high-grade copper, SI: silver, PA: palladium, NG: natural gas.
\end{tablenotes}
\end{table}

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\begin{sidewaystable}
\caption{Effects of Macro Announcements and Speculative Trading Intensity (NLS) on Futures Returns - Full Sample}
\label{tab:macro_fin_nls_fut_returns_full}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lSSSSSSSSSSSS@{}}
%\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}       & -0.19763*** & 0.87888***   & 0.70022***   & -1.33955***  & -0.44930***  & 1.98801***   & -0.00740    & -0.01540    & 0.02913**    & -0.22057***  & -0.00266    & -0.10938    \\ 
\textbf{ADP Employment}               & 0.34291***  & -1.06756**   & -1.18741***  & 2.52498***   & 0.58107***   & -2.36989***  & -0.02591*** & 0.16900     & 0.00801      & -0.14170    & -0.11464*** & -2.79764*** \\ 
\textbf{CB Consumer}                  & 0.11672***  & -0.46895***  & -0.05938***  & 0.07030*     & 0.07957***   & -0.15159**   & 0.00049     & 0.00567     & -0.06841***  & 0.11631**   & 0.02933     & -0.01440    \\ 
\textbf{Advance retail sales}         & 0.19991***  & -0.74542***  & -0.22861***  & 0.44747***   & 0.10409***   & -0.42536**   & 0.01333     & -0.08638    & -0.01767     & 0.00664     & -0.02725    & -0.47149    \\ 
\textbf{Building permit}              & -0.00037    & 0.03995      & -0.02651**   & 0.03697      & 0.06270***   & -0.15653**   & 0.00698     & -0.00358    & -0.00233     & -0.03748    & 0.04272*    & 0.36164**   \\ 
\textbf{Construction spending}        & 0.02190     & -0.14609     & -0.04079**   & 0.09211**    & 0.04044*     & -0.14376*    & -0.00070    & -0.18868*** & 0.00951      & -0.00257    & -0.02886    & -0.17899    \\ 
\textbf{Consumer credit}              & -0.01646    & 0.08344      & -0.01359*    & 0.02955      & -0.01554*    & 0.06217      & 0.00217     & 0.02437     & 0.01087      & -0.01043    & -0.01175    & -0.11173    \\ 
\textbf{Consumer price index}         & 0.08391***  & -0.29308**   & -0.17224***  & 0.31022***   & 0.26865***   & -0.75945***  & -0.03002*** & -0.02265    & -0.14233***  & 0.23064***  & 0.01302     & 0.15012     \\ 
\textbf{Durable goods orders}         & 0.15300***  & -0.73816***  & -0.07265***  & 0.14703***   & 0.06435***   & -0.14930*    & -0.01052*   & 0.00024     & -0.05354***  & 0.14525***  & -0.00328    & -0.09972    \\ 
\textbf{Existing home sales}          & 0.08722***  & -0.59238***  & -0.02000     & 0.05026      & -0.02244     & 0.10822      & -0.02238*** & -0.06905    & 0.01177      & -0.04488    & 0.04083     & 0.21897     \\ 
\textbf{Factory orders}               & -0.00112    & 0.01036      & -0.02949     & 0.00285      & -0.05976**   & 0.14591      & 0.00357     & 0.02488     & -0.01887     & 0.00026     & 0.10729***  & 0.68503***  \\ 
\textbf{Gross domestic product}       & 0.04571*    & -0.18390     & -0.16085***  & 0.24165***   & 0.16953***   & -0.33056***  & 0.00920     & -0.00478    & -0.05405***  & 0.00789     & -0.03601    & -0.33730*   \\ 
\textbf{Housing starts}               & 0.03224     & -0.12690     & -0.06263***  & 0.11383***   & 0.07118***   & -0.14876**   & 0.00503     & 0.00563     & 0.00159      & -0.03648*   & 0.02340     & 0.38343**   \\ 
\textbf{Industrial production}        & 0.02075     & -0.15376     & -0.00085     & -0.07097     & -0.01332     & -0.11571     & -0.00947    & -0.00797    & -0.02227     & 0.02109     & -0.02279    & -0.02294    \\ 
\textbf{New home sales}               & 0.09853***  & -0.43638**   & -0.06940***  & 0.13595***   & -0.03309*    & -0.04095     & -0.02368*** & 0.08652*    & -0.00796     & 0.02235     & -0.00278    & -0.08427    \\ 
\textbf{Non-farm employment}          & 1.40422***  & -5.11125***  & -3.19414***  & 6.81185***   & 1.38897***   & -6.04367***  & -0.02702*** & 0.62417**   & 0.00013      & 0.15340     & -0.21810*** & -6.29434*** \\ 
\textbf{Pending home sales}           & 0.07333***  & -0.34943**   & -0.01840     & 0.00310      & -0.01292     & -0.02301     & -0.01712**  & -0.11126    & -0.00877     & 0.03099     & -0.02417    & -0.39913    \\ 
\textbf{Personal consumption}         & -0.01478    & 0.06799      & -0.03594**   & 0.06306*     & 0.00926      & -0.05828     & 0.00274     & 0.08690     & 0.01300      & -0.05027    & 0.00370     & 0.36897     \\ 
\textbf{Personal income}              & 0.00873     & -0.13628     & -0.07190     & 0.15000      & 0.25364***   & -1.05220**   & -0.01709*   & 0.27874**   & -0.01271     & -0.02240    & -0.02828    & -0.82024    \\ 
\textbf{Producer price index}         & 0.03513*    & -0.23561**   & -0.07698***  & 0.15026***   & -0.01476     & -0.04153     & -0.00480    & -0.01293    & -0.02035     & 0.04451     & -0.04862*   & -0.22346    \\ 
\textbf{Trade balance}                & 0.00320     & -0.05635     & -0.05207**   & 0.11911**    & -0.01111     & 0.04144      & -0.00354    & -0.13232    & -0.03871     & 0.07731     & -0.04667    & -0.45064    \\  
\textbf{Crude Oil Weekly inventory}   & -0.07659*** & -0.39633***  &             &              &              &              &             &             &             &             &             &             \\ 
\textbf{Natural Gas Weekly inventory} &             &             &             &              &              &              &             &             &             &             & -0.36472*** & -0.07672    \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{1,193,455}  & \multicolumn{2}{c}{1,190,001}  & \multicolumn{2}{c}{1,180,816}  & \multicolumn{2}{c}{1,138,696}  & \multicolumn{2}{c}{749,168}   & \multicolumn{2}{c}{1,101,836}  \\ 
\textbf{$R^2 (\%)$}                        & \multicolumn{2}{c}{0.198}  & \multicolumn{2}{c}{0.204}  & \multicolumn{2}{c}{0.101}  & \multicolumn{2}{c}{0.0290} & \multicolumn{2}{c}{0.0246}  & \multicolumn{2}{c}{0.118} \\ \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 speculative trading intensity variable $X_{t}=NLS_t$. The period covered is from 2007-04-01 to 2024-02-11. The $\gamma_m$ coefficients capture the instantaneous change in the futures return when an announcement has just occurred. The  $\theta_m$ coefficients capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of speculative trading intensity.
\end{tablenotes}
\end{sidewaystable}

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\begin{sidewaystable}
\caption{Effects of Macro Announcements and Speculative Trading Intensity (NLS) on Futures Conditional Variance - Full Sample}
\label{tab:macro_fin_nls_var_full}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lSSSSSSSSSSSS@{}}
%\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}   & 0.10116*** & -0.43618***  & 0.04743***  & 0.01989     & 0.11651***  & -0.18846***  & 0.02474***  & -0.05555***  & 0.11786***  & -0.11355*** & -0.01167    & -0.02107    \\ 
\textbf{ADP Employment}           & 0.02792    & -0.20043     & 0.06377***  & -0.08427*** & 0.05327***  & -0.03006     & 0.02831***  & 0.03382      & -0.02858*   & 0.01538     & 0.01600     & 0.05689     \\ 
\textbf{CB Consumer}              & 0.10356*** & -0.41440***  & 0.03139***  & 0.01209     & 0.04540***  & 0.02788      & 0.02838***  & -0.10290**   & 0.06091***  & -0.09895*** & -0.00770    & -0.01276    \\ 
\textbf{Advance retail sales}     & 0.16868*** & -0.86165***  & 0.09604***  & -0.05612*   & 0.12379***  & -0.05358     & 0.02819***  & -0.15572***  & 0.11351***  & -0.16926*** & 0.05769***  & 0.25105*    \\ 
\textbf{Building permit}          & 0.10470*** & -0.54035***  & 0.04592***  & -0.06034*   & 0.06133***  & -0.19301***  & 0.00484     & -0.07408*    & 0.07672***  & -0.06975*** & 0.02190     & -0.02627    \\ 
\textbf{Construction spending}    & 0.15338*** & -0.62724***  & 0.09518***  & -0.11889*** & 0.08606***  & -0.09793     & 0.04108***  & -0.18959***  & 0.04626***  & 0.01330     & -0.01904    & -0.32089**  \\ 
\textbf{Consumer credit}          & 0.04798*   & -0.26103*    & 0.00778     & -0.00318    & 0.01661     & 0.00378      & 0.00280     & 0.03858      & -0.00633    & 0.03412     & 0.00152     & 0.01392     \\ 
\textbf{Consumer price index}     & 0.07237**  & -0.06680     & 0.13915***  & -0.07513*   & 0.26627***  & -0.52898***  & 0.09389***  & -0.37452***  & 0.18224***  & -0.27404*** & 0.02706     & 0.03922     \\ 
\textbf{Durable goods orders}     & 0.09826*** & -0.41079***  & 0.02310**   & 0.01561     & 0.04156***  & 0.02205      & 0.00773     & -0.02411     & 0.06781***  & -0.03730    & -0.02225    & -0.25576*   \\ 
\textbf{Existing home sales}      & 0.04757*   & -0.05948     & 0.01879*    & 0.04102     & 0.03838***  & -0.02961     & 0.02231***  & -0.13249***  & 0.04815***  & -0.06749**  & 0.02201     & -0.11251    \\ 
\textbf{Factory orders}           & 0.08762*** & -0.31063**   & -0.00678    & 0.16162***  & 0.01842     & 0.15052**    & 0.02641***  & -0.13159***  & 0.03966***  & -0.04030    & -0.03041    & -0.69494*** \\ 
\textbf{Gross domestic product}   & 0.11632*** & -0.61837***  & 0.04659***  & 0.05303     & 0.09959***  & -0.06323     & 0.02464***  & 0.01653      & 0.11025***  & -0.12093*** & -0.05116**  & -0.30947**  \\ 
\textbf{Housing starts}           & 0.11313*** & -0.60745***  & 0.03660***  & -0.03112    & 0.06213***  & -0.19012***  & 0.00848     & -0.09479**   & 0.05963***  & -0.04924    & 0.01829     & 0.04047     \\ 
\textbf{Industrial production}    & 0.09578*** & -0.63833***  & 0.01928*    & 0.00308     & 0.02059     & -0.00706     & 0.00182     & -0.04794     & 0.01964     & -0.07145**  & -0.03281    & -0.18705    \\ 
\textbf{New home sales}           & 0.10149*** & -0.52688***  & 0.04068***  & 0.01515     & 0.05778***  & 0.02800      & 0.02485***  & -0.00096     & 0.06768***  & -0.11522*** & -0.02516    & -0.22929*   \\ 
\textbf{Non-farm employment}      & 0.36475*** & -1.20583***  & 0.23592***  & 0.04682     & 0.38126***  & -0.14107**   & 0.12881***  & -0.15602***  & 0.17336***  & -0.05048    & 0.02807     & -0.35383**  \\ 
\textbf{Pending home sales}       & 0.10920*** & -0.49393***  & 0.01999*    & -0.01624    & 0.02548*    & 0.02096      & 0.02833***  & -0.00831     & 0.05870***  & -0.08511*** & -0.01374    & -0.30813**  \\ 
\textbf{Personal consumption}     & 0.00638    & 0.02122      & 0.06203***  & -0.08145**  & 0.10177***  & -0.26781***  & 0.00662     & -0.00781     & 0.11081***  & -0.14798*** & 0.02410     & -0.37604**  \\ 
\textbf{Personal income}          & 0.00650    & 0.04657      & 0.09149***  & -0.15016*** & 0.12450***  & -0.34101***  & 0.01322**   & -0.02338     & 0.09417***  & -0.10866*** & 0.00283     & -0.43167*** \\ 
\textbf{Producer price index}     & 0.09735*** & -0.34959**   & 0.01720     & 0.08462**   & 0.09045***  & -0.09926     & 0.01106*    & -0.05096     & 0.11987***  & -0.06696**  & 0.00810     & 0.00477     \\ 
\textbf{Trade balance}            & 0.07844*** & -0.12829     & -0.00650    & 0.20643***  & 0.00273     & 0.39295***   & 0.00919     & 0.02977      & 0.10323***  & -0.08686*** & 0.01821     & 0.11158     \\  
\textbf{Crude Oil Weekly inventory}   & 0.00456    & 0.62373***   &             &             &             &             &             &             &             &             &             &             \\ 
\textbf{Natural Gas Weekly inventory} &             &             &             &             &             &             &             &             &             &             & 0.53064***  & -0.68665*** \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{1,193,455} & \multicolumn{2}{c}{1,190,001} & \multicolumn{2}{c}{1,180,816} & \multicolumn{2}{c}{1,138,696} & \multicolumn{2}{c}{749,168}  & \multicolumn{2}{c}{1,101,836} \\ 
\textbf{$R^2 (\%)$}                        & \multicolumn{2}{c}{7.065} & \multicolumn{2}{c}{8.064} & \multicolumn{2}{c}{7.396} & \multicolumn{2}{c}{7.057} & \multicolumn{2}{c}{7.629} & \multicolumn{2}{c}{13.60} \\ \bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eqn:VarianceEqn} using the speculative trading intensity variable $NLS_t$. The equation is $\sigma_{t}^2=\alpha_0+\alpha_1 \sigma_{t-1}^2+\alpha_2 \epsilon_t^2 +\sum_{m=1}^{22} \Phi_m D_{m,t}+\beta X_{i,t}+\sum_{k=1}^n \phi_k I_{kt} + \sum_{h=1}^{23} \rho_h D_h$ where $I_{kt}=D_{m,t} \cdot X_{i,t}$ and $D_{m,t}$ is a macro announcement dummy variable for release $m$. The period covered is from 2007-04-01 to 2024-02-11. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of speculative trading intensity.
\end{tablenotes}
\end{sidewaystable}





%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
\begin{sidewaystable}
\caption{Effects of Macro Announcements and Speculative Trading Intensity (NLS) on Futures Price Bid-Ask Spreads - Full Sample}
\label{tab:return-fin-full}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lSSSSSSSSSSSS@{}}
%\begin{tabular}{@{}lllllllllllll@{}}
\toprule
\textbf{Commodities} & \multicolumn{2}{c}{\textbf{Crude Oil}} & \multicolumn{2}{c}{\textbf{Gold}} & \multicolumn{2}{c}{\textbf{Silver}} & \multicolumn{2}{c}{\textbf{Natural Gas}} & \multicolumn{2}{c}{\textbf{Copper}} & \multicolumn{2}{c}{\textbf{Palladium}} \\ \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} & -2.7096*** & 13.6978 & 5.4253 & -10.3796*** & 5.8502 & -26.3969*** & -0.2493 & -4.5426*** & 0.0148 & 0.8567 & -0.1912 & 0.5368 \\
\textbf{ADP Employment} & 3.6287 & -10.9417*** & -10.5416*** & 22.3535 & -7.3992*** & 31.3360 & -0.6515 & -13.8892*** & 0.2498 & 2.0429 & 0.0364 & -0.4670\\
\textbf{CB Consumer} & 1.4188 & -6.2213*** & -0.8502 & 1.4474 & -1.1319 & 3.0482 & 0.5121 & 0.3016 & 0.0264 & 0.2419 & -0.7750 & 1.9280 \\
\textbf{Advance retail sales} & 2.0886 & -7.0546*** & -2.2792 & 4.4308 & -0.8497 & 2.8479 & -0.2272 & -2.0227 & 0.3505 & -3.2196*** & -0.4188 & 1.5128 \\
\textbf{Building permit} & -0.1970 & 1.7823 & -0.4372 & 0.6514 & -0.7742 & 2.5610 & 0.3011 & 3.7647 & 0.0299 & 0.3677 & -0.1989 & -0.2028 \\
\textbf{Construction spending} & 0.1768 & -1.0346 & -0.0637 & 0.0761 & -0.2650 & 0.8472 & -0.1867 & -2.6962*** & 0.0609 & -2.4199*** & -0.1259 & 0.2982 \\
\textbf{Consumer credit} & 0.3706 & -1.8987 & -0.0269 & 0.0457 & -0.0288 & 0.1356 & -0.0409 & 0.0473 & 0.0549 & 0.3589 & -0.0071 & 0.0208 \\
\textbf{Consumer price index} & -0.8292 & 1.3319 & -2.2389 & 4.8692 & -3.0533 & 9.4014 & -0.0417 & 1.9823 & -0.5620 & 1.0961 & -1.8277 & 3.2679 \\
\textbf{Durable goods orders} & 1.3175 & -7.3678*** & -0.9559 & 2.3132 & -1.3099 & 5.5532 & -0.1211 & -1.4967 & 0.2027 & -0.1838 & -0.3876 & 1.2514 \\
\textbf{Existing home sales} & 1.0542 & -5.3658*** & -0.3977 & 1.0670 & -0.1607 & 1.4199 & 1.0635 & 5.2952 & 0.4218 & -1.8117 & 0.0162 & -0.0411 \\
\textbf{Factory orders} & -0.3378 & 1.5881 & -0.8512 & 1.3429 & -0.7687 & 1.8326 & 1.5490 & 11.3206 & 0.0137 & 1.0877 & -0.0331 & -0.3245 \\
\textbf{GDP} & 0.3581 & -1.5995 & -1.8905 & 3.7376 & -2.2481 & 6.3831 & -0.3939 & -3.6342*** & 0.1213 & -0.7319 & -0.5648 & 0.3738 \\
\textbf{Housing starts} & 0.1898 & -1.2327 & -0.9901 & 1.8960 & -0.9695 & 2.5715 & 0.5413 & 6.5382 & 0.0832 & 0.5107 & 0.0362 & -0.5628 \\
\textbf{Industrial production} & 0.1195 & -2.0990 & -0.1954 & -0.4140 & -0.0606 & -1.9941 & -0.2034 & -1.1923 & -0.0584 & -0.4020 & -0.1814 & 0.2817 \\
\textbf{Manufacturing capacity} & -0.1028 & 2.2785 & -0.6122 & 0.9215 & -0.8221 & 1.9754 & -0.3658 & -2.8980*** & -0.0373 & 0.6966 & -0.1408 & 0.5487 \\
\textbf{New home sales} & 1.6308 & -8.3434*** & -0.9063 & 1.6516 & -0.3849 & -0.4070 & -0.2523 & -0.8854 & 0.3688 & -0.4561 & -0.0098 & 0.0570 \\
\textbf{Non-farm payroll} & 10.7879 & -38.8878*** & -29.7105*** & 63.3421 & -10.2858*** & 43.9569 & -2.4909 & -71.4713*** & 0.2717 & 8.5221 & -0.0000 & 1.4673 \\
\textbf{Pending home sales} & 0.8251 & -2.5452 & -0.4223 & 0.5242 & -0.1941 & -0.1573 & -0.5748 & -9.0134*** & 0.1567 & -2.3599*** & -0.3537 & 0.2819 \\
\textbf{Personal consumption} & -0.2150 & -0.0394 & -0.8262 & 1.6288 & -0.0344 & 0.1194 & -0.1174 & 3.9321 & 0.0919 & 2.0435 & -0.2523 & 0.5773 \\
\textbf{Personal income} & -0.0876 & -0.8200 & -1.5351 & 3.2898 & -4.4002*** & 17.6153 & -0.4605 & -12.8607*** & -0.2459 & -3.8381*** & -0.1619 & 0.2354 \\
\textbf{Producer price index} & 0.7142 & -4.4244*** & -0.7227 & 1.4344 & 0.2196 & -1.8938 & -0.5144 & -2.8027*** & 0.0608 & -0.1209 & -0.7231 & 1.4795 \\
\textbf{Treasury balance} & 0.0459 & -1.6195 & -0.8212 & 1.9771 & -0.8034 & 2.9669 & -0.1261 & -0.7379 & -0.0332 & -1.5029 & -0.3137 & 0.8416 \\
\midrule
\multicolumn{13}{c}{\textbf{Announcements specific to commodity markets}} \\ \midrule
\textbf{Weekly crude oil stock} & -0.9773 & -3.4730*** & & & & & & & & & & \\
\textbf{Natural Gas Weekly inventory} & & & & & & & -1.7473 & -7.0273*** & & & & \\
\midrule
\textbf{Observations} & \multicolumn{2}{c}{1,193,455} & \multicolumn{2}{c}{1,190,001} & \multicolumn{2}{c}{1,138,696} & \multicolumn{2}{c}{1,101,836} & \multicolumn{2}{c}{1,180,816} & \multicolumn{2}{c}{749,168} \\
\textbf{$R^2 (\%)$} & \multicolumn{2}{c}{1.98} & \multicolumn{2}{c}{1.77} & \multicolumn{2}{c}{0.56} & \multicolumn{2}{c}{1.85} & \multicolumn{2}{c}{1.28} & \multicolumn{2}{c}{1.51} \\
\bottomrule 
\end{tabular}
}
\begin{tablenotes}
    \singlespacing
    \footnotesize
    This table presents estimates of the equation $R_{SPREAD_{t}}^{t+\tau}=\alpha+\sum_{m=1}^{22} \gamma_m D_{m,t}+\delta X_{t,i}+\sum_{m=1}^{22} \theta_m (D_{m,t} \cdot X_t)+\beta R_{SPREAD_{t-\tau}}^{t}+\epsilon_t$, analyzing the effects of speculative trading intensity and macroeconomic announcements on the bid-ask spread using the speculative trading intensity variable $NLS_t$. The period covered is from 2007-04-01 to 2024-02-11. 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 speculative trading intensity variable $NLS_t$. The $\theta_m$ coefficients capture the interaction effect between macroeconomic announcements and speculative trading intensity. 
\end{tablenotes}
\end{sidewaystable}
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
\setcounter{table}{8}   
\renewcommand\thetable{9(a)}    
\begin{sidewaystable}
\caption{Effects of Macro Announcements and Speculative Trading Intensity (Money Managers only) on Futures Returns}
\label{tab:macro_fin_mm_fut_returns_full}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lSSSSSSSSSSSS@{}}
%\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}       & -0.02956     & 0.01952    & 0.30064*** & -0.96225*** & -0.02630  & 0.33366    & -0.00912   & -0.02954    & 0.04621**  & -0.27526*** & 0.00955    & 0.06074     \\ 
\textbf{ADP Employment}               & 0.29189**    & -1.23728*  & -0.06824   & 0.15437     & 0.22281***& -0.97429** & -0.02291***& 0.14952    & 0.01012    & -0.11814    & -0.02204   & -0.49202    \\ 
\textbf{CB Consumer}                  & 0.11505***   & -0.65428** & -0.04763***& 0.05599     & 0.06964***& -0.13979** & 0.00036    & 0.00188     & -0.06685***& 0.11545**   & 0.03748**  & 0.12201     \\ 
\textbf{Advance retail sales}         & 0.18018***   & -0.95056***& 0.00625    & -0.22754*** & 0.09507***& -0.52284***& 0.01327    & -0.06932    & -0.02139   & 0.02073     & -0.00518   & -0.24418    \\ 
\textbf{Building permit}              & -0.03075     & 0.30773*   & -0.01409** & -0.00246    & 0.04883***& -0.12171** & 0.00701    & 0.00070     & -0.00304   & -0.03782    & 0.00348    & 0.08695     \\ 
\textbf{Construction spending}        & 0.04684      & -0.41529   & -0.04794***& 0.17091***  & 0.03370** & -0.15213*  & 0.00487    & -0.12621**  & 0.00961    & -0.00307    & -0.01120   & -0.09293    \\ 
\textbf{Consumer credit}              & -0.00932     & 0.05736    & -0.01044** & 0.04101*    & -0.01023  & 0.05293    & 0.00149    & 0.02019     & 0.01095    & -0.01252    & -0.00177   & -0.04766    \\ 
\textbf{Consumer price index}         & 0.08568***   & -0.42002** & -0.15785***& 0.47194***  & 0.21663***& -0.72688***& -0.02944***& -0.01458    & -0.13577***& 0.22337***  & -0.00076   & 0.07776     \\ 
\textbf{Durable goods orders}         & 0.09316***   & -0.69602***& -0.05849***& 0.15716***  & 0.05268***& -0.11874   & -0.01489** & -0.05119    & -0.06161***& 0.17723***  & 0.00976    & -0.02018    \\ 
\textbf{Existing home sales}          & 0.09536***   & -0.80184***& -0.00676   & 0.01184     & -0.01163  & 0.07853    & -0.02082** & -0.01303    & 0.01267    & -0.05028    & 0.01320    & 0.05330     \\ 
\textbf{Factory orders}               & -0.02429     & 0.21872    & -0.04389***& 0.06866     & 0.05024** & -0.14478   & 0.00322    & 0.01249     & -0.01854   & -0.00031    & 0.04152**  & 0.38741**   \\ 
\textbf{Gross domestic product}       & 0.04408*     & -0.25171   & -0.08308***& 0.02306     & 0.12802***& -0.18740** & 0.00637    & 0.02704     & -0.05987***& 0.02416     & -0.00388   & -0.28244*   \\ 
\textbf{Housing starts}               & -0.01672     & 0.19837    & -0.02757***& 0.00801     & 0.04577***& -0.03650   & 0.00348    & 0.02420     & 0.00214    & -0.04053*   & -0.01298   & 0.14226     \\ 
\textbf{Industrial production}        & -0.00324     & -0.03528   & -0.02254** & -0.02049    & -0.02215  & -0.10057   & -0.00675   & -0.03402    & -0.03174   & 0.04511     & -0.01321   & 0.23336     \\ 
\textbf{New home sales}               & 0.03959      & -0.20140   & -0.03508***& 0.05297     & 0.03238** & 0.06133    & -0.02410***& -0.04529    & -0.01226   & 0.03240     & 0.00382    & -0.18259    \\ 
\textbf{Non-farm employment}          & 0.79766***   & -4.07313***& -0.51670***& 2.14516***  & 0.77114***& -4.43004***& -0.01496*  & 0.61309***  & 0.02467    & -0.16206    & -0.00450   & -0.95575    \\ 
\textbf{Pending home sales}           & 0.05641      & -0.31219   & -0.01885*  & 0.00739     & -0.02053  & 0.01626    & -0.01554*  & -0.03397    & -0.01511   & 0.05025     & 0.01033    & -0.26951    \\ 
\textbf{Personal consumption}         & 0.09082**    & -0.64077***& -0.01948** & 0.04335     & 0.00547   & -0.06372   & -0.00024   & 0.08100     & 0.01162    & -0.04886    & -0.02503   & 0.23224     \\ 
\textbf{Personal income}              & 0.05847      & -0.50101   & 0.01713    & -0.09655    & 0.14463** & -0.83394** & -0.00826   & -0.20026    & -0.01654   & 0.00889     & 0.00405    & -1.05049*   \\ 
\textbf{Producer price index}         & 0.03892*     & -0.32583*  & -0.05523***& 0.13297***  & -0.00600  & -0.12185   & -0.00347   & -0.03082    & -0.02220   & 0.05468     & -0.02632   & -0.11214    \\ 
\textbf{Trade balance}                & 0.00732      & -0.10801   & -0.03076** & 0.08094*    & -0.00911  & 0.03998    & 0.00382    & -0.11800    & -0.02494   & 0.06033     & -0.00010   & -0.26851    \\ 
\textbf{Crude Oil Weekly inventory}   & -0.07233***  & -0.61043***&             &             &            &            &             &             &             &              &             &             \\ 
\textbf{Natural Gas Weekly inventory} &              &            &             &             &            &            &             &             &             &              & -0.35459*** & -0.12230    \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{1,193,455} & \multicolumn{2}{c}{1,190,001} & \multicolumn{2}{c}{1,180,816} & \multicolumn{2}{c}{1,138,696} & \multicolumn{2}{c}{749,168}  & \multicolumn{2}{c}{1,101,836} \\ 
\textbf{$R^2 (\%)$}                        & \multicolumn{2}{c}{0.181} & \multicolumn{2}{c}{0.151} & \multicolumn{2}{c}{0.0923} & \multicolumn{2}{c}{0.0284} & \multicolumn{2}{c}{0.0235} & \multicolumn{2}{c}{0.113} \\ \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 money manager-only speculative trading intensity variable $NLS_{t,MM}$, calculated with the money manager positions. The period covered is from 2007-04-01 to 2024-02-11. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of speculative trading intensity.
\end{tablenotes}
\end{sidewaystable}


%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

\renewcommand\thetable{9(b)}  
\begin{sidewaystable}
\caption{Effects of Macro Announcements and Speculative Trading Intensity (Swap Dealers only) on Futures Returns}
\label{tab:macro_fin_sd_fut_returns_full}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lSSSSSSSSSSSS@{}}
%\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}       & -0.18601*** & -0.76285*** & 0.36069*** & 1.02251***  & 0.01407    & -0.51053   & 0.08238**  & 0.44801**  & 0.00571    & -0.03460    & -0.00709   & 0.23566    \\ 
\textbf{ADP Employment}               & 0.42554***  & 1.77009***  & -0.73172***& -1.92332*** & 0.14323*** & 1.90790*** & 0.10514    & -0.41655   & -0.08432*  & -0.37900*   & -0.07015***& 1.98134*** \\ 
\textbf{CB Consumer}                  & 0.08606***  & 0.38665***  & -0.02682***& 0.06149     & 0.04702*** & 0.04493    & -0.05678***& -0.25240***& -0.02421** & -0.13691**  & 0.02902    & 0.01534    \\ 
\textbf{Advance retail sales}         & 0.18764***  & 0.83656***  & -0.22074***& -0.62235*** & 0.02334*   & 0.32997    & -0.05224** & -0.34386** & -0.02373   & 0.03729     & -0.01204   & 0.18256    \\ 
\textbf{Building permit}              & 0.01182     & 0.03350     & -0.02794***& -0.06415**  & 0.03852*** & 0.19589*   & 0.00878    & -0.00836   & -0.01490** & 0.06228     & 0.06712**  & -0.57136***\\ 
\textbf{Construction spending}        & 0.00921     & 0.10371     & -0.01531*  & -0.03974    & 0.01559    & 0.15444    & -0.04579** & -0.19927** & 0.01295    & 0.06733     & -0.00588   & -0.03512   \\ 
\textbf{Consumer credit}              & -0.00057    & 0.00723     & -0.00297   & 0.00152     & -0.00353   & 0.00472    & 0.00671    & -0.01905   & 0.00686    & 0.02748     & -0.02010   & 0.18485    \\ 
\textbf{Consumer price index}         & -0.05142*** & -0.12282    & -0.04196***& -0.11608**  & 0.10927*** & 0.50120*** & -0.07969***& -0.20611** & -0.05426***& -0.28370*** & 0.04152    & -0.40373   \\ 
\textbf{Durable goods orders}         & 0.08229***  & 0.40797***  & -0.02824***& -0.02785    & 0.02337**  & 0.27759*** & -0.00067   & 0.04659    & 0.00927    & -0.09008**  & 0.01138    & -0.01219   \\ 
\textbf{Existing home sales}          & 0.02521**   & 0.28450***  & -0.00669   & -0.02050    & -0.00093   & 0.07534    & -0.06009***& -0.33603***& -0.00636   & 0.05054     & 0.05433    & -0.33599   \\ 
\textbf{Factory orders}               & -0.00312    & -0.03814    & -0.00410   & 0.14500**   & 0.03244*** & -0.19383   & 0.01462    & -0.04673   & -0.01972   & -0.03200    & 0.09608*** & -0.62225** \\ 
\textbf{Gross domestic product}       & 0.03848**   & 0.17661**   & -0.09123***& -0.06216    & 0.09968*** & -0.15355   & -0.02494   & 0.14602**  & -0.05188***& -0.00867    & -0.03176   & 0.30154    \\ 
\textbf{Housing starts}               & 0.03038**   & 0.13425*    & -0.05461***& -0.14857*** & 0.05147*** & 0.21799**  & -0.01782   & 0.11965*   & -0.01043   & 0.02270     & 0.01927    & -0.32116   \\ 
\textbf{Industrial production}        & 0.02354     & 0.19850*    & -0.00350   & 0.10713**   & 0.03408*** & 0.14657    & -0.02953   & 0.09807    & -0.01335   & -0.01264    & -0.02947   & 0.09028    \\ 
\textbf{New home sales}               & 0.07156***  & 0.34303***  & -0.04011***& -0.08154*   & 0.03797*** & 0.09004    & -0.03774** & -0.28795***& 0.00009    & -0.02615    & 0.01621    & -0.11025   \\ 
\textbf{Non-farm employment}          & 1.81964***  & 8.77192***  & -3.07930***& -8.25792*** & 0.22593*** & 3.88087*** & -0.48535***& -2.66148***& -0.14565*  & -0.68396*   & -0.06665** & 2.42302**  \\ 
\textbf{Pending home sales}           & 0.04227***  & 0.27467***  & -0.01662   & 0.00210     & -0.01694   & 0.07454    & -0.03279   & 0.19949**  & 0.00391    & -0.02496    & -0.00429   & 0.25203    \\ 
\textbf{Personal consumption}         & -0.00158    & -0.00543    & -0.01737*  & -0.02729    & 0.00538    & 0.32148**  & -0.00779   & 0.03095    & -0.00577   & 0.07145     & 0.00273    & -0.38325   \\ 
\textbf{Personal income}              & -0.02221    & 0.00621     & -0.05774*  & -0.15405    & 0.08167*** & 1.82948*** & -0.09051   & 0.43742    & -0.02297   & 0.03880     & -0.00815   & 0.53016    \\ 
\textbf{Producer price index}         & 0.00818     & 0.07471     & -0.02420***& -0.00196    & 0.02453*** & 0.08862    & -0.03150   & 0.11098    & -0.00586   & -0.03594    & -0.03630   & 0.15142    \\ 
\textbf{Trade balance}                & -0.00089    & 0.03751     & -0.01618   & -0.06246    & -0.01214   & -0.23857   & -0.04471   & 0.14389    & -0.01350   & -0.22026*   & 0.00043    & 0.12505    \\ 
\textbf{Crude Oil Weekly inventory}   & -0.14367*** & 0.03576     &             &             &            &            &             &             &             &              &             &             \\ 
\textbf{Natural Gas Weekly inventory} &              &            &             &             &            &            &             &             &             &              & -0.47323***& 0.90803*** \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{1,193,455} & \multicolumn{2}{c}{1,190,001} & \multicolumn{2}{c}{1,180,816} & \multicolumn{2}{c}{1,138,696} & \multicolumn{2}{c}{749,168}  & \multicolumn{2}{c}{1,101,836} \\ 
\textbf{$R^2 (\%)$}                        & \multicolumn{2}{c}{0.196} & \multicolumn{2}{c}{0.206} & \multicolumn{2}{c}{0.0809} & \multicolumn{2}{c}{0.0337} & \multicolumn{2}{c}{0.0195} & \multicolumn{2}{c}{0.123} \\ \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 swap dealer-specific speculative trading intensity variable $NLS_{t,SD}$, calculated with the swap dealer positions. The period covered is from 2007-04-01 to 2024-02-11. The $\gamma_m$ coefficients capture the instantaneous change in return when an announcement has just occurred. The coefficients $\theta_m$ capture the instantaneous change in return when an announcement has just occurred in conjunction with the level of speculative trading intensity.
\end{tablenotes}
\end{sidewaystable}


%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
\setcounter{table}{9}   
\renewcommand\thetable{10(a)}  
\begin{sidewaystable}
\caption{Effects of Macro Announcements and Speculative Trading Intensity (Money Managers only) on Futures Conditional Variance}
\label{tab:macro_fin_mm_var_full}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lSSSSSSSSSSSS@{}}
%\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}       & 0.08555*** & -0.47011*** & 0.05181*** & 0.01050    & 0.10409*** & -0.17922*** & 0.02685*** & -0.04784*** & 0.12581*** & -0.13984*** & -0.01102** & -0.04846    \\ 
\textbf{ADP Employment}               & 0.00118    & -0.03201    & 0.04021*** & -0.02019   & 0.05068*** & -0.02457    & 0.02543*** & -0.06310*   & -0.02832*  & 0.01564     & 0.01156    & 0.05686     \\ 
\textbf{CB Consumer}                  & 0.11197*** & -0.66649*** & 0.03980*** & -0.01979   & 0.04828*** & 0.01872     & 0.03063*** & -0.04699    & 0.06245*** & -0.10441*** & -0.00788   & -0.04287    \\ 
\textbf{Advance retail sales}         & 0.14174*** & -0.96296*** & 0.08087*** & -0.01399   & 0.12479*** & -0.08493    & 0.03330*** & -0.11206*** & 0.12530*** & -0.20972*** & 0.03867*** & 0.27501**   \\ 
\textbf{Building permit}              & 0.10251*** & -0.75666*** & 0.02103*** & 0.02773    & 0.04613*** & -0.16591*** & 0.00635    & -0.03797    & 0.08523*** & -0.10006*** & 0.02777**  & 0.07714     \\ 
\textbf{Construction spending}        & 0.14202*** & -0.78417*** & 0.06648*** & -0.04959*  & 0.07206*** & -0.04082    & 0.04891*** & -0.17441*** & 0.05608*** & -0.01314    & 0.00738    & -0.30331*** \\ 
\textbf{Consumer credit}              & 0.03931    & -0.28727    & 0.00369    & 0.01455    & 0.00970    & 0.05397     & 0.00119    & 0.03617     & -0.00823   & 0.03933     & 0.00029    & 0.00914     \\ 
\textbf{Consumer price index}         & 0.05875*   & 0.03855     & 0.15937*** & -0.21038***& 0.23368*** & -0.51978*** & 0.10425*** & -0.21797*** & 0.18249*** & -0.28192*** & 0.02276    & 0.01481     \\ 
\textbf{Durable goods orders}         & 0.05652**  & -0.21010    & 0.02385*** & 0.02141    & 0.04912*** & -0.02468    & 0.00903    & -0.03221    & 0.07695*** & -0.06578*   & 0.00235    & -0.15833    \\ 
\textbf{Existing home sales}          & 0.11456*** & -0.69145*** & 0.02386*** & 0.03978    & 0.04052*** & -0.05757    & 0.02726*** & -0.11502*** & 0.05097*** & -0.07660**  & 0.03224*** & -0.08380    \\ 
\textbf{Factory orders}               & 0.16239*** & -1.11410*** & 0.03236*** & -0.07028** & 0.02909*** & -0.13809**  & 0.03208*** & -0.13161*** & 0.04159*** & -0.04631    & 0.03273*** & -0.46006*** \\ 
\textbf{Gross domestic product}       & 0.08125*** & -0.53798**  & 0.05453*** & 0.04432    & 0.09089*** & -0.02946    & 0.02457*** & 0.00785     & 0.12198*** & -0.15871*** & -0.02217*  & -0.24014**  \\ 
\textbf{Housing starts}               & 0.11207*** & -0.85733*** & 0.02082*** & 0.02774    & 0.04880*** & -0.17498*** & 0.01059*   & -0.05686    & 0.06737*** & -0.07388**  & 0.01719    & 0.09484     \\ 
\textbf{Industrial production}        & 0.12021*** & -1.14614*** & 0.01389**  & 0.03136    & 0.03199*** & -0.09631    & 0.00429    & -0.06702*   & 0.02154    & -0.07965**  & -0.01891   & -0.21217*   \\ 
\textbf{New home sales}               & 0.07830*** & -0.53409**  & 0.04935*** & -0.01730   & 0.06779*** & -0.03253    & 0.02495*** & -0.00382    & 0.06925*** & -0.12089*** & -0.00394   & -0.15829    \\ 
\textbf{Non-farm employment}          & 0.30168*** & -1.11309*** & 0.19942*** & -0.24293***& 0.34791*** & 0.03828     & 0.13642*** & -0.17279*** & 0.17368*** & -0.05267    & 0.05711*** & -0.32357*** \\ 
\textbf{Pending home sales}           & 0.12382*** & -0.82687*** & 0.02174*** & -0.03272   & 0.02609**  & 0.02470     & 0.02837*** & 0.00193     & 0.06077*** & -0.09181*** & 0.01005    & -0.33617*** \\ 
\textbf{Personal consumption}         & 0.03205    & -0.20100    & 0.06603*** & -0.14244***& 0.08686*** & -0.27403*** & 0.00835    & -0.03042    & 0.12020*** & -0.17807*** & 0.06250*** & -0.19183    \\ 
\textbf{Personal income}              & 0.03464    & -0.18771    & 0.06633*** & -0.11505***& 0.09950*** & -0.30582*** & 0.01641**  & -0.05830    & 0.10262*** & -0.13314*** & 0.04515*** & -0.21897*   \\ 
\textbf{Producer price index}         & 0.12303*** & -0.72893*** & 0.03575*** & 0.04448    & 0.08899*** & -0.12987**  & 0.01285**  & -0.03913    & 0.12713*** & -0.09331**  & 0.00855    & 0.02351     \\ 
\textbf{Trade balance}                & 0.10961*** & -0.46684*   & 0.01732**  & -0.20946***& 0.03656*** & -0.31451*** & 0.00883    & 0.00687     & 0.10595*** & -0.09640*** & 0.00668    & 0.03687     \\   
\textbf{Crude Oil Weekly inventory}   & 0.05271*   & 0.55262**   &            &            &            &             &            &             &            &              &            &             \\ 
\textbf{Natural Gas Weekly inventory} &            &            &            &            &            &             &            &             &            &              & 0.59765*** & -0.38025*** \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{1,193,455} & \multicolumn{2}{c}{1,190,001} & \multicolumn{2}{c}{1,180,816} & \multicolumn{2}{c}{1,138,696} & \multicolumn{2}{c}{749,168}  & \multicolumn{2}{c}{1,101,836} \\ 
\textbf{$R^2$}                        & \multicolumn{2}{c}{7.869} & \multicolumn{2}{c}{8.237} & \multicolumn{2}{c}{7.398} & \multicolumn{2}{c}{7.119} & \multicolumn{2}{c}{7.50} & \multicolumn{2}{c}{13.643} \\ \bottomrule 
\end{tabular}
}
\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eqn:VarianceEqn} using the speculative trading intensity variable $NLS_{t,MM}$, 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 2007-04-01 to 2024-02-11. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of speculative trading intensity.
\end{tablenotes}
\end{sidewaystable}





%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
 
\setcounter{table}{9}   
\renewcommand\thetable{10(b)} 
\begin{sidewaystable}
\caption{Effects of Macro Announcements and Speculative Trading Intensity (Swap Dealers only) on Futures Conditional Variance }
\label{tab:macro_fin_sd_var_full}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lSSSSSSSSSSSS@{}}
%\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}       & 0.05822*** & 0.23343*** & 0.03845*** & 0.09404*** & 0.08327*** & 0.26382*** & 0.01604** & 0.17118*** & 0.07776*** & 0.21244*** & -0.02694** & 0.14805*  \\ 
\textbf{ADP Employment}               & 0.01013    & 0.12754    & 0.03466*** & -0.00761   & 0.04490*** & -0.11581   & -0.00362  & 0.13183**  & -0.02324** & -0.06171   & 0.01926    & -0.08546  \\ 
\textbf{CB Consumer}                  & 0.06461*** & 0.24214*** & 0.02474*** & 0.06479**  & 0.05249*** & 0.09368    & 0.06041***& 0.37330*** & 0.02534**  & 0.16265*** & 0.00279    & -0.07654  \\ 
\textbf{Advance retail sales}         & 0.09553*** & 0.54512*** & 0.07545*** & -0.01412   & 0.11206*** & -0.05012   & 0.06957***& 0.41281*** & 0.05474*** & 0.28103*** & 0.04847**  & -0.17485  \\ 
\textbf{Building permit}              & 0.04924*** & 0.24970*** & 0.03390*** & 0.04372    & 0.02824*** & 0.23562*** & 0.06755***& 0.32009*** & 0.05311*** & 0.13539*** & -0.01950   & 0.37466** \\ 
\textbf{Construction spending}        & 0.08554*** & 0.28910*** & 0.05709*** & 0.00763    & 0.06924*** & 0.19964**  & 0.07736***& 0.49540*** & 0.05126*** & 0.03006    & 0.00924    & 0.08375   \\ 
\textbf{Consumer credit}              & 0.02409*   & 0.15378*   & 0.00977    & 0.01706    & 0.01612**  & -0.06572   & 0.01001   & -0.03267   & 0.00416    & -0.08387   & -0.00125   & 0.00774   \\ 
\textbf{Consumer price index}         & 0.03913**  & 0.23500**  & 0.08146*** & 0.20522*** & 0.16575*** & 0.29275*** & 0.05399** & 0.17749**  & 0.08766*** & 0.44880*** & -0.02157   & 0.35991*  \\ 
\textbf{Durable goods orders}         & 0.06383*** & 0.28226*** & 0.02366*** & -0.02745   & 0.04815*** & 0.19932**  & 0.03407** & 0.17902*** & 0.05428*** & 0.10969**  & -0.04285** & 0.43043***\\ 
\textbf{Existing home sales}          & 0.03173**  & -0.05715   & 0.03054*** & -0.00958   & 0.03451*** & 0.13272    & -0.02703  & 0.21180*** & 0.02430**  & 0.16807*** & 0.03280    & 0.02110   \\ 
\textbf{Factory orders}               & 0.06008*** & 0.19180**  & 0.01488**  & 0.19247*** & 0.04458*** & 0.23291*** & -0.02611  & 0.21673*** & 0.02510**  & 0.08760    & -0.02845   & 0.67174***\\ 
\textbf{Gross domestic product}       & 0.05612*** & 0.34455*** & 0.02232*** & 0.24770*** & 0.08973*** & 0.16653*   & -0.00972  & 0.13666*   & 0.06717*** & 0.24490*** & -0.05860** & 0.36187** \\ 
\textbf{Housing starts}               & 0.04932*** & 0.28860*** & 0.02698*** & 0.00304    & 0.02806*** & 0.19249**  & 0.06481***& 0.31655*** & 0.04260*** & 0.09632*   & -0.01498   & 0.24401   \\ 
\textbf{Industrial production}        & 0.03118**  & 0.31942*** & 0.03257*** & 0.07688**  & 0.01915*** & 0.02450    & -0.01125  & 0.05783    & -0.00415   & 0.13347**  & -0.02739   & 0.14104   \\ 
\textbf{New home sales}               & 0.04779*** & 0.27850*** & 0.03898*** & -0.04063   & 0.06594*** & 0.18551**  & -0.02060  & 0.19254*** & 0.02760*** & 0.20740*** & -0.02547   & 0.23051   \\ 
\textbf{Non-farm employment}          & 0.26824*** & 0.84150*** & 0.24170*** & -0.05819*  & 0.36074*** & 0.48117*** & 0.01816   & 0.47516*** & 0.15490*** & 0.18734*** & 0.06170*** & 0.06634   \\ 
\textbf{Pending home sales}           & 0.06020*** & 0.26392*** & 0.01544**  & 0.00401    & 0.03015*** & 0.03614    & 0.03653** & 0.26870*** & 0.02869*** & 0.15020*** & 0.01378    & 0.07586   \\ 
\textbf{Personal consumption}         & 0.00517    & -0.04382   & 0.03137*** & -0.01852   & 0.05089*** & 0.26220*** & 0.01457   & -0.04014   & 0.05675*** & 0.31626*** & -0.04473*  & 0.91871***\\ 
\textbf{Personal income}              & 0.00784    & -0.05332   & 0.06246*** & 0.12366*** & 0.06217*** & 0.45491*** & 0.01766   & -0.02283   & 0.05419*** & 0.23258*** & -0.06483***& 0.99017***\\ 
\textbf{Producer price index}         & 0.06156*** & 0.16722*   & 0.03764*** & -0.04623   & 0.07112*** & 0.05176    & -0.02949  & 0.16895**  & 0.09461*** & 0.18704*** & 0.02017    & -0.10796  \\ 
\textbf{Trade balance}                & 0.07471*** & 0.15035*   & 0.03543*** & 0.15511*** & 0.06670*** & 0.75961*** & 0.01410   & -0.02210   & 0.07275*** & 0.12279**  & 0.01722    & -0.10359  \\  
\textbf{Crude Oil Weekly inventory}   & 0.11644*** & 0.00487    &            &            &            &            &            &            &            &             &            &            \\ 
\textbf{Natural Gas Weekly inventory} &            &            &            &            &            &            &            &            &            &             & 0.48444*** & 1.02519***\\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{1,193,455} & \multicolumn{2}{c}{1,190,001} & \multicolumn{2}{c}{1,180,816} & \multicolumn{2}{c}{1,138,696} & \multicolumn{2}{c}{749,168}  & \multicolumn{2}{c}{1,101,836} \\ 
\textbf{$R^2 (\%)$}                        & \multicolumn{2}{c}{7.01} & \multicolumn{2}{c}{7.716} & \multicolumn{2}{c}{8.023} & \multicolumn{2}{c}{7.975} & \multicolumn{2}{c}{7.732} & \multicolumn{2}{c}{13.66} \\ \bottomrule 
\end{tabular}
}

\begin{tablenotes}
\singlespacing
\footnotesize
This table presents estimates of eq. \ref{eqn:VarianceEqn} using the speculative trading intensity variable $NLS_{t,SD}$, 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 2007-04-01 to 2024-02-11. The $\Phi_m$ coefficients capture the instantaneous change in the conditional variance when an announcement has just occurred. The $\phi_m$ coefficients capture the conditional variance when an announcement has just occurred in conjunction with the level of speculative trading intensity.
\end{tablenotes}
\end{sidewaystable}


%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
\setcounter{table}{10}   
\renewcommand\thetable{11(a)} \begin{sidewaystable}
\caption{Effects of Macro Announcements and Speculative Trading Intensity (Money Managers only) on  Futures Price Bid-Ask Spreads}
\label{tab:macro_fin_mm_fut_spread_full}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lSSSSSSSSSSSS@{}}
%\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}       & -2.46565** & 9.75050     & 0.22202     & -6.10718    & -0.41391   & -2.99267    & -1.52013**  & -5.80854    & -7.73754*   & 10.17312    & -2.06909** & 2.89216      \\ 
\textbf{ADP Employment}               & -1.10495   & 4.87377     & -0.03119    & 0.31326     & -0.44597   & -0.60609    & -0.46357    & 0.04112     & 11.32547    & -20.08663   & -1.56664   & 9.51315      \\ 
\textbf{CB Consumer}                  & -0.88291   & -7.59047    & -1.07264**  & -21.88274***& -0.60931   & -6.32195    & -2.26961*   & -5.00564    & -4.89368    & 6.32172     & -6.10967***& 29.78721     \\ 
\textbf{Advance retail sales}         & -1.75295   & 6.53863     & -1.84813    & 4.41188     & -1.50715*  & -4.13973    & -1.11161    & -5.34223    & -8.47285    & 16.81488    & -2.52082   & -23.72607    \\ 
\textbf{Building permit}              & 0.04804    & -5.08377    & 0.12315     & -2.62534    & -0.43797   & -3.66026    & -0.85890    & -0.39189    & -16.80677** & -9.47013    & -2.48078   & -3.85074     \\ 
\textbf{Construction spending}        & 0.71484    & -21.50516   & 0.41072     & -19.63649** & -2.03618** & -6.82194    & -0.78189    & 1.91535     & -3.65053    & 14.68763    & -6.18198***& 14.39348     \\ 
\textbf{Consumer credit}              & -0.39090   & -2.14483    & -0.23236    & 0.92328     & -0.63429   & -0.72773    & 0.72304     & 4.26292     & 2.89371     & 0.82550     & -2.08503   & -10.93259    \\ 
\textbf{Consumer price index}         & -1.79444   & 13.11087    & -0.32839    & -2.43101    & -0.59389   & -0.57386    & -1.52632    & -7.46228    & -28.00983** & 33.08946    & -2.16619   & 17.81488     \\ 
\textbf{Durable goods orders}         & -2.20101   & 5.98876     & 0.23721     & -7.01173    & -1.02867   & -5.37622    & -2.46602*   & -19.42954** & -19.84697** & -52.26667***& -3.50474   & 22.77345     \\ 
\textbf{Existing home sales}          & -0.49431   & -6.37862    & 0.15230     & -2.61367    & -0.83207   & -5.40951    & -1.45784    & -2.82054    & -5.47968    & 6.15830     & -5.71583***& 23.65943     \\ 
\textbf{Factory orders}               & -2.69030   & 15.96650    & -0.51700    & -6.28637    & -1.62052*  & -9.04768    & -1.96193    & -1.64059    & -0.55217    & 28.54841    & -4.09505** & 17.20082     \\ 
\textbf{Gross domestic product}       & -3.81281   & 16.72542    & -1.27400    & -5.90060    & -1.18407   & -6.39056    & -1.55842    & -17.41209*  & -10.42842   & 13.46385    & -2.79300   & 6.61661      \\ 
\textbf{Housing starts}               & -0.26839   & -3.67286    & 0.02239     & -2.47882    & -0.32593   & -3.62060    & -0.12310    & -1.59499    & -14.93911*  & -11.91340   & -2.48037   & -3.10561     \\ 
\textbf{Industrial production}        & 0.99908    & -10.14181   & -0.03976    & 8.87670     & -0.26830   & -0.37440    & 0.52140     & 0.47759     & 7.05215     & -13.19391   & -3.89105*  & 10.56246     \\ 
\textbf{New home sales}               & 0.51742    & -13.67619   & -0.31951    & -4.68388    & -0.54238   & -2.95472    & -0.87358    & -12.35468   & -8.91154    & 6.44362     & -4.41648** & 11.79880     \\ 
\textbf{Non-farm employment}          & -1.43941   & 1.49780     & -0.83880    & -7.00960    & -3.09250***& -24.19358***& -0.26216    & -5.05771    & -19.80034** & 22.46053    & -2.06886   & 19.68747     \\ 
\textbf{Pending home sales}           & -1.22436   & 4.32860     & 0.23288     & -3.30352    & -0.65997   & -2.14049    & -2.38112*   & -5.64287    & 4.60257     & -14.70125   & -5.08845***& 10.99935     \\ 
\textbf{Personal consumption}         & -1.58014   & 8.27394     & -0.38176    & 2.58232     & 0.28583    & -1.30713    & -0.71712    & -10.63446   & -14.71023*  & -0.85336    & -2.60387   & 16.06990     \\ 
\textbf{Personal income}              & -1.83332   & 4.18659     & 0.03450     & -0.93297    & -0.54847   & -3.16160    & -1.78660    & -3.12819    & -18.44907** & -7.56018    & -3.68559   & 15.01741     \\ 
\textbf{Producer price index}         & 1.23242    & -25.45917   & 0.17337     & -5.42396    & -1.58493   & -8.72610    & 0.46325     & -4.84467    & -3.85292    & -6.53376    & -0.31231   & 7.49785      \\ 
\textbf{Trade balance}                & 0.77994    & -13.30115   & -0.00374    & 0.05686     & 0.13732    & -10.60780   & -0.44476    & -5.85479    & -11.44187   & 39.18528    & -0.22393   & 5.23703      \\  
\textbf{Crude Oil Weekly inventory}   & 0.49358    & -12.74294   &             &             &            &             &             &             &             &             &            &              \\ 
\textbf{Natural Gas Weekly inventory} &             &             &             &             &            &             &             &             &             &             & -7.59576***& -19.17343*   \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{1,041,497} & \multicolumn{2}{c}{1,022,592} & \multicolumn{2}{c}{1,023,897} & \multicolumn{2}{c}{1,022,006} & \multicolumn{2}{c}{683,875}  & \multicolumn{2}{c}{995,919}  \\ 
\textbf{$R^2 (\%)$}                        & \multicolumn{2}{c}{0.0572} & \multicolumn{2}{c}{0.115} & \multicolumn{2}{c}{0.12} & \multicolumn{2}{c}{0.118} & \multicolumn{2}{c}{0.034} & \multicolumn{2}{c}{0.0942} \\ \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 speculative trading intensity and macroeconomic announcements on the bid-ask spread using the speculative trading intensity variable $NLS_{t,MM}$, calculated with the money manager positions. The period covered is from 2007-04-01 to 2024-02-11. 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 speculative trading intensity variable $NLS_{t,MM}$. The $\theta_m$ coefficients capture the interaction effect between macroeconomic announcements and speculative trading intensity. The $\beta$ coefficient represents the effect of the lagged bid-ask spread. 
\end{tablenotes}

\end{sidewaystable}

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
\setcounter{table}{10}   
\renewcommand\thetable{11(b)} 
\begin{sidewaystable}
\caption{Effects of Macro Announcements and Speculative Trading Intensity (Swap Dealers only) on  Futures Price Bid-Ask Spreads}
\label{tab:macro_fin_sd_fut_spread_full}
\centering
\resizebox{\linewidth}{!}{%
\begin{tabular}{@{}lSSSSSSSSSSSS@{}}
%\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}       & -2.76158*** & 8.99275*    & -2.06041    & -5.31071    & -0.63502    & -2.29125    & 1.03040     & -14.26906   & -4.55195    & -14.41688   & -0.23562    & -20.00611   \\ 
\textbf{ADP Employment}               & -1.53692    & -6.19939    & 1.56579     & 4.65731     & -1.00409    & -6.69557    & -0.02006    & -3.16419    & 4.42780     & 8.98661     & 1.48355     & -32.33990   \\ 
\textbf{CB Consumer}                  & -2.10022    & -2.32545    & -8.62678**  & -22.90121   & -1.03518    & -2.63864    & 1.08755     & -19.13223   & -2.84047    & -14.63955   & 1.02725     & 76.98272*** \\ 
\textbf{Advance retail sales}         & -0.39770    & 4.05260     & -4.03721    & -14.26039   & -2.88363**  & 16.59467*   & -1.58737    & 4.11864     & -3.70598    & -15.43327   & -3.91203    & 24.52836    \\ 
\textbf{Building permit}              & -0.47588    & 0.18138     & -1.72855    & -6.97984    & -0.98877    & -5.01949    & -2.65095    & 12.39262    & -20.04496***& 17.71476    & -1.26962    & -10.40198   \\ 
\textbf{Construction spending}        & -2.17096    & -3.44095    & -3.30488    & 5.82834     & -3.51547**  & -15.86227   & 1.24637     & -12.79038   & 1.03029     & -16.52376   & -2.31365    & -39.77206   \\ 
\textbf{Consumer credit}              & -1.20889    & -3.80213    & -4.20991    & -19.23425   & -1.53730    & -10.76448   & -2.64266    & 18.44068    & 3.18871     & 5.41810     & -0.78792    & -12.38910   \\ 
\textbf{Consumer price index}         & -0.73150    & -2.25239    & -3.39799    & -10.56428   & -1.30151    & -8.59060    & 0.41782     & -9.96604    & -16.99259** & -50.19107   & 1.32430     & -41.28821   \\ 
\textbf{Durable goods orders}         & -1.77394    & -1.82834    & -2.58254    & -8.90295    & -1.86417    & -8.85290    & -1.15772    & -7.40161    & -3.72137    & 56.42319*   & -1.13899    & -26.70623   \\ 
\textbf{Existing home sales}          & -3.86759**  & 17.19577*   & -1.30608    & -5.41876    & -1.44836    & -5.31788    & 1.86846     & -18.96790   & -3.19545    & -16.48154   & -0.81606    & -51.32055*  \\ 
\textbf{Factory orders}               & -1.79369    & -5.86609    & -7.11295*   & -20.33911   & -3.07893**  & -13.68582   & 6.84761**   & 52.38087*** & 9.27291     & -49.32580   & 1.51334     & 62.45159**  \\ 
\textbf{Gross domestic product}       & -3.16022*   & -8.26499    & -2.81458    & -1.40512    & -2.08926    & -8.87196    & -1.76528    & -1.47472    & -5.93161    & -23.15106   & -0.13820    & -30.61457   \\ 
\textbf{Housing starts}               & -0.58545    & 0.77527     & -2.08499    & -8.11537    & -0.88969    & -4.66326    & -3.39511    & 20.13366    & -18.99183***& 23.19105    & -0.84224    & -15.89329   \\ 
\textbf{Industrial production}        & -0.29436    & -1.05059    & 5.50709     & 13.45477    & -0.04290    & 1.71610     & -2.71137    & 19.60256    & 2.81663     & 10.15067    & -0.86143    & -33.18089   \\ 
\textbf{New home sales}               & -2.88999    & -11.62913   & -0.67553    & 2.29246     & -1.33152    & -7.42828    & 0.00223     & -5.27181    & -6.63642    & -19.19409   & 1.59693     & 66.71395**  \\ 
\textbf{Non-farm employment}          & -2.46100    & -7.53641    & -3.23439    & -3.80813    & -5.00635*** & 12.32649    & 0.73351     & -7.12626    & -13.54711*  & -21.50040   & 2.51278     & 55.39346*   \\ 
\textbf{Pending home sales}           & -2.61983    & -11.86787   & 1.00528     & 1.47548     & -1.26851    & -4.63955    & 0.42822     & -15.44296   & -0.19188    & 5.13867     & -2.25446    & -28.30922   \\ 
\textbf{Personal consumption}         & -1.67718    & -6.90320    & -9.79488**  & 50.08330**  & 0.15770     & 0.20581     & 0.92260     & -10.78664   & -14.99575*  & 0.79995     & -0.64875    & -19.87802   \\ 
\textbf{Personal income}              & -4.57034**  & -20.24571   & -4.80584    & -25.18481   & -1.16029    & -5.97089    & 1.28405     & -17.01679   & -21.24693***& 17.20807    & -0.65659    & -31.76262   \\ 
\textbf{Producer price index}         & -1.37042    & 1.60079     & -4.05858    & -13.59722   & -3.14320**  & -14.84227   & -2.95390    & 17.63070    & -5.66177    & 0.27909     & 0.31519     & -8.87114    \\ 
\textbf{Trade balance}                & -1.05000    & -2.68201    & 0.70212     & 3.23724     & -0.23813    & 6.58851     & 2.77586     & -18.99333   & -0.38237    & -34.84505   & -0.46430    & 2.48295     \\  
\textbf{Crude Oil Weekly inventory}   & 0.05943     & 7.79488     &             &             &             &             &             &             &             &             &             &             \\ 
\textbf{Natural Gas Weekly inventory} &             &             &             &             &             &             &             &             &             &             & -1.31214    & 67.43257*** \\  \midrule

\textbf{Observations}                 & \multicolumn{2}{c}{1,041,497} & \multicolumn{2}{c}{1,022,592} & \multicolumn{2}{c}{1,023,897} & \multicolumn{2}{c}{1,022,006} & \multicolumn{2}{c}{683,875}  & \multicolumn{2}{c}{995,919}  \\ 
\textbf{$R^2 (\%)$}                        & \multicolumn{2}{c}{0.071} & \multicolumn{2}{c}{0.063} & \multicolumn{2}{c}{0.20} & \multicolumn{2}{c}{0.29} & \multicolumn{2}{c}{0.031} & \multicolumn{2}{c}{0.48} \\ \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 speculative trading intensity variable $NLS_{t,SD}$, calculated with the swap dealer positions. The period covered is from 2007-04-01 to 2024-02-11. 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 speculative trading intensity variable $NLS_{t,SD}$. The $\theta_m$ coefficients capture the interaction effect between macroeconomic announcements and speculative trading intensity. The $\beta$ coefficient represents the effect of the lagged bid-ask spread.
\end{tablenotes}
\end{sidewaystable}
