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Volatility spillovers arising from the financialization of commodities
Chan, Wing Hong; Shelton, Bryce; Wu, Yan Wendy - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-12
This paper examines whether the proliferation of new index products, such as commodity-tracking exchange-traded funds (ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility spillover effects among crude oil, metals, agriculture,...
Persistent link: https://www.econbiz.de/10011961264
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Volatility spillovers arising from the financialization of commodities
Shelton, Bryce; Chan, Wing Hong - 2016
Persistent link: https://www.econbiz.de/10011798631
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Have exchange traded funds influenced commodity market volatility?
Corbet, Shaen; Twomey, Cian - In: International journal of economics and financial issues … 4 (2014) 2, pp. 323-335
Persistent link: https://www.econbiz.de/10010520048
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Cross-Market Investor Sentiment in Commodity Exchange-Traded Funds
Chen, Hsiu-Lang - 2015
This study shows how the investor sentiment in the stock market affects prices of commodity exchange-traded funds (ETFs). The study provides quantitative evidence that the tracking errors of commodity ETFs differ in the bullish versus the bearish stock market, and the aggregate tracking error of...
Persistent link: https://www.econbiz.de/10013015719
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Price effects from the financialization of agricultural commodity markets
Grosche, Stephanie-Carolin - 2015
Supposed portfolio benefits of commodities and the increased availability of commodity linked investment products such as index funds contribute to a financialization of agricultural commodity markets. The parallel increase in price levels and short-term volatility for almost all major...
Persistent link: https://www.econbiz.de/10011429338
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Commodity Pricing : Time-Varying Discount Rates vs. Investors’ Heterogeneity
Bredin, Donal; Potì, Valerio; Salvador, Enrique - 2023
On the 30th anniversary of the seminal article by Pindyck (1993), we re-evaluate the evidence for the classical rational model of commodity prices, extending it to admit time- varying discount rates, investors’ heterogeneity or both. Discount factors specifications are flexible enough to allow...
Persistent link: https://www.econbiz.de/10014351164
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The commodities market bubble : money manager capitalism and the financialization of commodities
Wray, L. Randall (contributor) - 2008
Money manager capitalism - characterized by highly leveraged funds seeking maximum returns in an environment that systematically underprices risk - has resulted in a series of boom-and-bust cycles in equities, real estate, and commodities. Because subsequent cycles have been increasingly...
Persistent link: https://www.econbiz.de/10003811613
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Futures price volatility in commodities markets : the role of short term vs long term speculation
Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2013
This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt … four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long … speculators over total open interest in future markets, which proxy for long term speculation, and scalping, which proxies for …
Persistent link: https://www.econbiz.de/10009756298
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Futures Price Volatility in Commodities Markets : The Role of Short Term vs Long Term Speculation
Manera, Matteo - 2013
This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt … four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long … speculators over total open interest in future markets, which proxy for long term speculation, and scalping, which proxies for …
Persistent link: https://www.econbiz.de/10013081164
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Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity Markets
Bohl, Martin T. - 2012
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the rapidly growing market shares of futures speculators have destabilized commodity spot prices. We approximate conditional volatility and regress it on expected and unexpected speculative open interest....
Persistent link: https://www.econbiz.de/10013112917