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
Hauptverfasser:	Büyükşahin, Bahattin, Robe, Michel A.
Format:	Artikel
Sprache:	eng
Schlagworte:	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
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