In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among...

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...

As a source of energy of biofuel and edible oil, the fluctuation of crude palm oil prices is the concern of producers and manufacturers. However, little is known about the impact of global financial crisis on informational efficiency of crude palm oil (CPO) futures market. Hence, this study aims...

We examine whether volatility spillover between US equity and commodity markets has significantly changed with the heavy influx of index traders in commodity derivatives markets, which is a phenomenon referred to as financialization. Previous findings show that institutional traders enter...