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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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Commodity index investing : speculation or diversification?
Stoll, Hans R.; Whaley, Robert E. - In: The journal of alternative investments 14 (2011/12) 1, pp. 50-60
Persistent link: https://www.econbiz.de/10009269778
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The impact of index funds in commodity futures markets : a systems approach
Sanders, Dwight R.; Irwin, Scott H. - In: The journal of alternative investments 14 (2011/12) 1, pp. 40-49
Persistent link: https://www.econbiz.de/10009269780
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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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Does the impact of exchange-traded funds flows on commodities prices involve stockpiling as a signature? : an empirical investigation
Ohana, Steve; Huang, Xiaoying - In: The journal of energy markets 11 (2018) 2, pp. 37-60
Persistent link: https://www.econbiz.de/10011999489
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The measurement of tracking errors of commodity ETFs in China
Pan, Wei-Fong; Li, Ting - In: Investment management and financial innovations 13 (2016) 2, pp. 184-188
Persistent link: https://www.econbiz.de/10011665444
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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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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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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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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