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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 - In: Credit and capital markets : Kredit und Kapital 48 (2015) 2, pp. 171-206
Persistent link: https://www.econbiz.de/10011414231
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When passive funds affect prices : evidence from volatility and commodity ETFs
Todorov, Karamfil - In: Review of finance : journal of the European Finance … 28 (2024) 3, pp. 831-863
Persistent link: https://www.econbiz.de/10015046166
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Portfolio speculation and commodity price volatility in a stochastic storage model
Vercammen, James Alfred; Doroudian, Ali - In: American journal of agricultural economics 96 (2014) 2, pp. 517-532
Persistent link: https://www.econbiz.de/10010411908
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Does futures speculation destabilize spot prices? : new evidence for commodity markets
Bohl, Martin T.; Stephan, Patrick Maurice - In: Journal of agricultural and applied economics 45 (2013) 4, pp. 595-616
Persistent link: https://www.econbiz.de/10010207641
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Commodity price comovement and financial speculation : the case of cotton
Janzen, Joseph P.; Smith, Aaron D.; Carter, Colin Andre - In: American journal of agricultural economics 100 (2018) 1, pp. 264-285
Persistent link: https://www.econbiz.de/10011959365
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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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Do long-short speculators destabilize commodity futures markets?
Miffre, Joëlle; Brooks, Chris - In: International review of financial analysis 30 (2013), pp. 230-240
Persistent link: https://www.econbiz.de/10010460310