Financialization of commodity markets: New evidence from temporal and spatial domains
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DOI: 10.1002/fut.22514
Abstract: To address the ongoing contention surrounding the impact of financialization, this study adopts a ripple‐spreading network model to analyze the transmission of information across 13 globally significant commodity markets. By juxtaposing the pre‐ and postfinancialization… read more here.
Keywords: markets new; financialization commodity; commodity markets; commodity ... See more keywords
Financialization of Commodity Markets Co‐Movement Behind‐the‐Scenes
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DOI: 10.1002/fut.70045
Abstract: In the early 2000s, institutional investors entered the commodity futures markets en masse with passive, long only, index‐type positions in sharp contrast with those typically assumed by traditional expert participants. A heated public debate soon… read more here.
Keywords: markets movement; financialization commodity; commodity markets; movement behind ... See more keywords
Relative value arbitrage in European commodity markets
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DOI: 10.1016/j.eneco.2017.11.005
Abstract: Abstract This study offers insights into the profitability of convergence trading in European commodity markets, thereby shedding light on the compensation for enforcing the Law of One Price. We analyze profits of a cointegration-based statistical… read more here.
Keywords: relative value; value arbitrage; arbitrage; european commodity ... See more keywords
The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis
Sign Up to like & getrecommendations! Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2017.03.005
Abstract: This paper analyses the causal relationship between commodities funds and returns using monthly data for the period May 1997 to August 2015. Linear Granger causality tests fail to detect any evidence of causal relationships. However,… read more here.
Keywords: commodity; period; relationship commodity; causality ... See more keywords
The financialization of Chinese commodity markets
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DOI: 10.1016/j.frl.2020.101438
Abstract: Abstract This study investigates the financialization of China's futures market from a market-integration perspective. First, this study examines the integration between the commodity market and financial capital markets (stock/bond/foreign exchange markets) by using multivariate GARCH… read more here.
Keywords: chinese commodity; market; financialization chinese; commodity markets ... See more keywords
Variance risk in commodity markets
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Banking and Finance"
DOI: 10.1016/j.jbankfin.2017.05.003
Abstract: We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly negative realized variance swap payoffs in most markets. We find evidence of commonalities among the realized payoffs of commodity… read more here.
Keywords: risk commodity; variance risk; variance swaps; commodity markets ... See more keywords
Speculation and its impact on liquidity in commodity markets
Sign Up to like & getrecommendations! Published in 2019 at "Resources Policy"
DOI: 10.1016/j.resourpol.2018.05.005
Abstract: Abstract In recent years, there has been extensive debate about the increasing speculative activity in commodity markets and passive index-investments, which are blamed for causing extreme long-term variations and price bubbles. This study sheds light… read more here.
Keywords: speculation impact; speculative activity; commodity markets; commodity ... See more keywords
Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach
Sign Up to like & getrecommendations! Published in 2021 at "Resources Policy"
DOI: 10.1016/j.resourpol.2021.102049
Abstract: Abstract We examine the energy-food nexus using the dependence-switching copula model. Specifically, we look at the dependence for four distinct market states, such as, increasing oil–increasing commodity, declining oil–declining commodity, increasing oil–declining commodity, as well… read more here.
Keywords: oil agricultural; commodity markets; oil; commodity ... See more keywords
Intraday spillover between commodity markets
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DOI: 10.1016/j.resourpol.2021.102278
Abstract: Abstract The aim of this study is to investigate intraday interactions between commodity markets. Accordingly, we use Diebold and Yilmaz’s 2009, 2012 framework to estimate the returns and volatility spillovers across commodity subsectors (i.e., agriculture,… read more here.
Keywords: commodity markets; spillover commodity; intraday spillover; commodity ... See more keywords
Climate extremes and agricultural commodity markets: A global economic analysis of regionally simulated events
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DOI: 10.1016/j.wace.2019.100193
Abstract: Abstract Agroclimatic extremes can be seen as typical supply shifters that, on a par with economic and structural drivers, distort supply, demand, trade, and induce price variability. Economic simulation models typically operate under the assumption… read more here.
Keywords: commodity markets; extremes agricultural; agricultural commodity; markets global ... See more keywords
Regulation, financialization and fraud in Chinese commodity markets after the Global Financial Crisis
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DOI: 10.1080/00343404.2018.1537482
Abstract: ABSTRACT The Chinese government’s 2008 fiscal stimulus resulted in a surge of liquidity flowing into the country’s shadow banking system. The paper focuses on two financing channels: the Fanya Metal Exchange and the commodity collateral… read more here.
Keywords: financialization fraud; regulation financialization; commodity markets; commodity ... See more keywords