Spillovers between non-commercial traders’ activity and spot prices? Analysis of the financialization mechanism in the crude oil market

Spillovers between non-commercial traders’ activity and spot prices? Analysis of the financialization mechanism in the crude oil market

PurposeThe purpose of this stud is to analyze the financialization effect on oil prices.Design/methodology/approachThis study applied the technique of multibreak point analysis with Bai and Perron test plus VAR methodology.FindingsFindings revealed that there was no effect on oil prices.Originality/...

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Veröffentlicht in:China finance review international 2023-04, Vol.13 (2), p.157-182
1. Verfasser: Focacci, Antonio
Format: Artikel
Sprache:eng
Schlagworte:
Commodities
Crude oil prices
Debates
Futures market
Hedge funds
Hypotheses
Institutional investments
Interest rates
Inventory
Securities markets
Speculation
Spillover effect
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description PurposeThe purpose of this stud is to analyze the financialization effect on oil prices.Design/methodology/approachThis study applied the technique of multibreak point analysis with Bai and Perron test plus VAR methodology.FindingsFindings revealed that there was no effect on oil prices.Originality/valueTo the best of the author’s knowledge, this is the first paper combining the multibreakpoint analysis with VAR for the period analyzed in the present work.
doi_str_mv 10.1108/CFRI-07-2022-0110
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subjects Commodities
Crude oil prices
Debates
Futures market
Hedge funds
Hypotheses
Institutional investments
Interest rates
Inventory
Securities markets
Speculation
Spillover effect
title Spillovers between non-commercial traders’ activity and spot prices? Analysis of the financialization mechanism in the crude oil market
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