For a considerable time, long-only index funds have been suspected of being responsible for price increases on agricultural futures markets, particularly those for grain. Utilizing partial equilibrium concepts, we analyze the market impacts of long-only index funds. Our analysis reveals that...

The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on the large literature for equity markets and by allowing for heterogeneity of investors beliefs proxied by open interest. In addition, time-varying effects on the transmission...

The increasing inflow of institutional investors replicating broad based indices into commodity futures markets has been linked to excessive calendar spreads and anomalies in futures curves. At the same time, these investors have been welcomed as liquidity providers. This paper hypothesises that...

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities. To achieve this goal, we decompose an oil price shock to its underlying components, including macroeconomics and oil specific shocks. The applied methodology is the structural...

This aim of this paper is to analyse possibilities and potential effects of soft commodity derivative market on the development of risk management practice within the CEE. Agricultural producers and other participants in the soft commodity market in CEE are lacking local commodity market. As a...

Crude oil futures play an important role in the global financial and energy markets, yet the dynamics of liquidity in this crucial market have largely been ignored. Understanding how macroeconomic events shape liquidity in this market is crucial for both hedgers and speculators, particularly...

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,...

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,...

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of...

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of...