Title: Commodity futures: Does the traded volume influence research interest?
Authors: Ioannis Paraskevopoulos - BANKIA (Spain)
M Teresa Corzo - Universidad Pontificia Comillas (Spain)
Karin Martin-Bujack - Universidad Pontificia Comillas (Spain)
Isabel Catalina Figuerola-Ferretti Garrigues - Universidad Pontificia Comillas (Spain) [presenting]
Abstract: The aim is to establish the process of building up knowledge from commodity markets using market observables from commodity futures trading activity. We analyze the way in which knowledge feeds back into market prices via the channels of different regulation policies. Employing a textual analysis, we build our proxies of knowledge using the total number of publications in commodities and oil specific markets and run a cointegration test for the 2000-2018 period, against two measures of trading activity. Academics observe prices and volumes traded and respond with more research. For oil, the number of papers published are substantially higher than the number of papers found under the commodity text search. We also find strong cointegration between research activity and the dollar value of futures trading volumes in the oil market. We split the sample into two subperiods to take account of the effects of the Global Financial Crises. Knowledge explains market activity under our crude oil market measures during the post-crises period.