Skip to main content

What Drives Daily Volatility in Lumber Futures Markets?

Buy Article:

$29.50 plus tax (Refund Policy)

Abstract:

Most financial asset returns exhibit volatility persistence. This article investigates this phenomenon in the context of daily returns in lumber futures markets. The volatility of lumber futures is found to vary with different phases of the United States-Canada softwood lumber trade dispute. Daily price volatility was the highest in the post-Softwood Lumber Agreement period (2001‐2005), followed by the Softwood Lumber Agreement period (1996‐2000) and the period with trade disputes and temporary tariffs (1992‐1995). An inverse relationship between inventory levels and volatility is found. Further, the inventory effect on volatility varies across the different periods of the trade dispute. An inverse relation between time to delivery and volatility is also found. Moreover, it is shown that although volatility persistence exists in the lumber futures market, the time gap between the arrival of news to the markets and the delivery time of futures contracts is the fundamental variable in explaining volatility persistence.

Keywords: futures markets; lumber; theory of storage; trade dispute; volatility; volatility persistence

Document Type: Research Article

Publication date: 2011-10-01

More about this publication?
  • Forest Science is a peer-reviewed journal publishing fundamental and applied research that explores all aspects of natural and social sciences as they apply to the function and management of the forested ecosystems of the world. Topics include silviculture, forest management, biometrics, economics, entomology & pathology, fire & fuels management, forest ecology, genetics & tree improvement, geospatial technologies, harvesting & utilization, landscape ecology, operations research, forest policy, physiology, recreation, social sciences, soils & hydrology, and wildlife management.
    Forest Science is published bimonthly in February, April, June, August, October, and December.

    2015 Impact Factor: 1.702
    Ranking: 16 of 66 in forestry

    Also published by SAF:
    Journal of Forestry
    Other SAF Publications
  • Submit a Paper
  • Membership Information
  • Author Guidelines
  • Podcasts
  • Ingenta Connect is not responsible for the content or availability of external websites
  • Access Key
  • Free ContentFree content
  • Partial Free ContentPartial Free content
  • New ContentNew content
  • Open Access ContentOpen access content
  • Partial Open Access ContentPartial Open access content
  • Subscribed ContentSubscribed content
  • Partial Subscribed ContentPartial Subscribed content
  • Free Trial ContentFree trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more