When US sneezes, clichés spread: How do the commodity index funds react then?
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DOI: 10.1016/j.resourpol.2020.101858
Abstract: Abstract This study examines the financialisation aspect of major commodities traded on the US market platforms. Our main aim is to measure the sensitivity of the Goldman Sachs Commodity Index (GSCI) and its sub-indices energy… read more here.
Keywords: commodity index; market; economic uncertainty; financial stress ... See more keywords
The components of the bid‐ask spread: Evidence from the corn futures market
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DOI: 10.1111/agec.12423
Abstract: This article examines whether USDA announcements and commodity index fund rolling activity have an impact on liquidity costs, measured by the bid†ask spread. Using Huang and Stoll's (1997) model of liquidity costs, we estimate… read more here.
Keywords: liquidity; index fund; commodity index; liquidity costs ... See more keywords