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Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement

Cordier, Jean; Gohin, Alexandre - Laboratoire Études et Recherches Économiques … - 2012

The financial development of agricultural markets is not recent. But, starting early 2000, a large amount of investments on commodity markets, including agriculture, have been realized using innovative instruments. And in 2007-08, the continuous increase of investment was simultaneous with...

Persistent link: https://www.econbiz.de/10011114826

Speculators, commodities and cross-market linkages

Büyükşahin, Bahattin; Robe, Michel A. - In: Journal of International Money and Finance 42 (2014) C, pp. 38-70

We use a unique, non-public dataset of trader positions in 17 U.S. commodity futures markets to provide novel evidence on those markets' financialization in the past decade. We then show that the correlation between the rates of return on investible commodity and equity indices rises amid...

Persistent link: https://www.econbiz.de/10011048477

Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index

Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014

spot-futures price efficiency improvement observed after ETF introduction is explained either by the direct effect of ETF … shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the … way index traders distribute across index markets, with the ETF market absorbing the liquidity demand from some hedgers or …

Persistent link: https://www.econbiz.de/10010799319

Determinantes de la elección de administradora de pensiones en Colombia: primeras estimaciones a partir de agregados

Thomas, Luis Eduardo Arango; Velandia, Luis Fernando Melo - In: Lecturas de Economía (2007) 66, pp. 173-212

This paper is aimed at studying the main determinants of people’s choice of a pension fund manager. By using information of the individual saving system (the private system) between 1998 and 2005, and applying panel cointegration techniques, the paper provides evidence in the sense that the...

Persistent link: https://www.econbiz.de/10005464645

Determinants of equity pension plan flows

Ballester, Carmen Pilar Martí - In: Estudios de Economia 41, 1 Year 2014, pp. 125-148

The aim of this study is to analyze investor response to different measures of pension plan performance. To do this, we implement a fixed effects panel data methodology corrected by heteroskedasticity, serial correlation and cross-sectional dependence, as proposed by Vogelsang (2012). The...

Persistent link: https://www.econbiz.de/10010779930

Determinants of equity pension plan flows

Ballester, Martí; Pilar, Carmen - Institut für Weltwirtschaft (IfW) - 2013

Persistent link: https://www.econbiz.de/10010983172

Pension funds and Market Efficiency: A review

Thomas, Ashok; Spataro, Luca - Dipartimento di Economia e Management, Università … - 2013

The literature on the relationship between pension funds development and market efficiency has been flourishing in the past decades. In this paper we provide an updated review of the theoretical and empirical advances in this field of study, with particular focus on the effects that pension...

Persistent link: https://www.econbiz.de/10010933012

Pension funds and Stock Market Volatility: An Empirical Analysis of OECD countries

Thomas, Ashok; Spataro, Luca; Mathew, Nanditha - Dipartimento di Economia e Management, Università … - 2013

The paper explores the empirical relationship between the share of pension fund s’assets invested in stocks and stock market volatility in OECD markets. For this purpose, by using panel data of 34 OECD countries from 2000 to 2010, we estimate both a random effects panel model and a...

Persistent link: https://www.econbiz.de/10010933028

Pension funds and stock market volatility: An empirical analysis of OECD countries

Thomas, Ashok; Spataro, Luca; Mathew, Nanditha - In: Journal of Financial Stability 11 (2014) C, pp. 92-103

The paper explores the empirical relationship between the share of pension funds assets invested in stocks and stock market volatility in OECD markets. For this purpose, by using panel data of 34 OECD countries from 2000 to 2010, we estimate both a random-effects panel model and a...

Persistent link: https://www.econbiz.de/10010753192

Tamaño de los Fondos de Pensiones en Chile y su Desempeño Financiero

Arrau, Patricio; Chumacero, Rómulo - In: Latin American Journal of Economics-formerly Cuadernos … 35 (1998) 105, pp. 205-236

Walker (1993a, 1993b) conclude that there is a systematic relationship between returns and the size of Chilean Pension …

Persistent link: https://www.econbiz.de/10005730057