Speculators, commodities and cross-market linkages
We use a unique, non-public dataset of trader positions in 17 U.S. commodity futures markets to provide novel evidence on those markets' financialization in the past decade. We then show that the correlation between the rates of return on investible commodity and equity indices rises amid great...
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| Veröffentlicht in: | Journal of international money and finance 2014-04, Vol.42, p.38-70 |
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| container_title | Journal of international money and finance |
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| creator | Büyükşahin, Bahattin Robe, Michel A. |
| description | We use a unique, non-public dataset of trader positions in 17 U.S. commodity futures markets to provide novel evidence on those markets' financialization in the past decade. We then show that the correlation between the rates of return on investible commodity and equity indices rises amid greater participation by speculators generally, hedge funds especially, and hedge funds that hold positions in both equity and commodity futures markets in particular. We find no such relationship for commodity swap dealers, including index traders (CITs). The predictive power of hedge fund positions is weaker in periods of generalized financial market stress. Our results support the notion that who trades helps predict the joint distribution of commodity and equity returns. We find qualitatively similar but statistically weaker results using a proxy for hedge fund activity based on publicly available data. |
| doi_str_mv | 10.1016/j.jimonfin.2013.08.004 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0261-5606 |
| ispartof | Journal of international money and finance, 2014-04, Vol.42, p.38-70 |
| issn | 0261-5606 1873-0639 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1523806475 |
| source | Elsevier ScienceDirect Journals |
| subjects | Capital market Commodities Commodity futures Commodity index traders Correlation Cross-market linkages Dynamic conditional correlations (DCCs) Equities Experimental methods Financialization Futures market Hedge funds Hedging Index funds Investment analysis Personal finance Rates of return Speculators Studies U.S.A |
| title | Speculators, commodities and cross-market linkages |
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