We examine the impact that information asymmetry has on the relationship between commodity futures contracts’ time-to-maturity and return volatility. Using mediation analysis, we find strong evidence that time-varying asymmetric information plays a significant role in influencing the time-to-maturity pattern of commodity futures return volatility. We argue that these results are partly a consequence of the financialization of commodity markets that has led to significant trading activity by uninformed hedgers as contracts mature.

中文翻译：

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到期时间和商品期货收益波动：时变不对称信息的作用

我们研究了信息不对称对商品期货合约到期时间和收益波动之间关系的影响。使用中介分析，我们发现强有力的证据表明，时变不对称信息在影响商品期货收益波动的到期时间模式方面发挥着重要作用。我们认为，这些结果部分是商品市场金融化的结果，随着合同的成熟，这种金融化导致了不知情的套期保值者的大量交易活动。