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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

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

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

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

Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency

Alexander, Carol; Dimitriu, Anca - Henley Business School, University of Reading - 2003

This paper examines the performance of a general dynamic equity indexing strategy based on cointegration, from a market efficiency perspective. A consistent return in excess of the benchmark is demonstrated over different time horizons and in different, real world and simulated stock markets. A...

Persistent link: https://www.econbiz.de/10005357662

The determinants of international commercial real estate investments

Lieser, Karsten; Groh, Alexander P. - IESE Business School, Universidad de Navarra - 2011

We examine the determinants of commercial real estate investments using a unique set of panel data series for 47 countries worldwide, ranging from 2000 to 2009. We explore how different socio-economic, demographic and institutional characteristics affect commercial real estate investment...

Persistent link: https://www.econbiz.de/10009320553

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

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

DETERMINANTES DE LA ELECCIÓN DE ADMINISTRADORA DE PENSIONES: PRIMERAS ESTIMACIONES A PARTIR DE AGREGADOS

Arango, Luis Eduardo; Melo, Luis Fernando - BANCO DE LA REPÚBLICA - 2006

Utilizando información del sistema de ahorro individual entre 1998 y 2005, se encuentra evidencia de que la tasa de retorno real de los fondos y la población ocupada son los determinantes principales del número de cotizantes a las distintas AFP. El valor promedio del fondo, utilizado como...

Persistent link: https://www.econbiz.de/10005597549

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