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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

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

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

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

Booms and Busts in Commodity Markets : Bubbles or Fundamentals?

Brooks, Chris - 2019

belief that the extreme price movements observed in commodity markets were caused by pure speculation to be unsustainable …

Persistent link: https://www.econbiz.de/10012905029

Does index speculation impact commodity prices? : an intraday analysis

Tse, Yiuman; Williams, Michael - In: The financial review : the official publication of the … 48 (2013) 3, pp. 365-383

Persistent link: https://www.econbiz.de/10009782136

The impact of speculation on commodity prices : a Meta-Granger analysis

Wimmer, Thomas; Geyer-Klingeberg, Jerome; Hütter, Marie; … - In: Journal of commodity markets 22 (2021), pp. [1-19]

Persistent link: https://www.econbiz.de/10012807728

Commodities and policy uncertainty channel(s)

Smimou, Kamal; Bosch, David; Filbeck, Greg - In: International review of economics & finance : IREF 92 (2024), pp. 351-379

Persistent link: https://www.econbiz.de/10014534909

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

Commodity market risk : examining price co-movements in the Pakistan mercantile exchange

Shear, Falik; Bilal, Muhammad; Ashraf, Badar Nadeem; … - In: Risks : open access journal 12 (2024) 6, pp. 1-15

diversification and limit risk mitigation potential. While international markets often exhibit strong price linkages, understanding … significant diversification potential, opening promising avenues for risk-reduction strategies within the national market. …

Persistent link: https://www.econbiz.de/10014636838