This paper relates to internet, noise trading and commodity futures prices. The theoretical framework is the Mixture Distribution Hypothesis (MDH) that posits a joint dependence of return volatility and information. We use two different proxies for the observed component of information flows, which allows to separate the effect of internet searches and information published in newspapers. We analyse the effect of information from the internet using the Internet Search Volume from Google Insight. Empirical results support the MDH and highlight that the search of information on internet by noise traders can amplify volatility.

Internet, noise trading and commodity futures prices / M. Peri, D. Vandone, L. Baldi. - In: INTERNATIONAL REVIEW OF ECONOMICS & FINANCE. - ISSN 1059-0560. - 33(2014 Sep), pp. 82-89. [10.1016/j.iref.2014.03.006]

Internet, noise trading and commodity futures prices

M. Peri;D. Vandone;L. Baldi
2014

Abstract

This paper relates to internet, noise trading and commodity futures prices. The theoretical framework is the Mixture Distribution Hypothesis (MDH) that posits a joint dependence of return volatility and information. We use two different proxies for the observed component of information flows, which allows to separate the effect of internet searches and information published in newspapers. We analyse the effect of information from the internet using the Internet Search Volume from Google Insight. Empirical results support the MDH and highlight that the search of information on internet by noise traders can amplify volatility.
C32; Corn price volatility; EGARCH; G13; G14; Information; Mixture Distribution Hypothesis; Noise trading; Q11
Settore AGR/01 - Economia ed Estimo Rurale
Settore SECS-P/11 - Economia degli Intermediari Finanziari
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/256412
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