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,...

Supposed portfolio benefits of commodities and the increased availability of commodity linked investment products such as index funds contribute to a financialization of agricultural commodity markets. The parallel increase in price levels and short-term volatility for almost all major...