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

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  • Antonio Focacci

Abstract

Purpose - The purpose of this stud is to analyze the financialization effect on oil prices. Design/methodology/approach - This study applied the technique of multibreak point analysis with Bai and Perron test plus VAR methodology. Findings - Findings revealed that there was no effect on oil prices. Originality/value - To 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.

Suggested Citation

  • Antonio Focacci, 2023. "Spillovers between non-commercial traders’ activity and spot prices? Analysis of the financialization mechanism in the crude oil market," China Finance Review International, Emerald Group Publishing Limited, vol. 13(2), pages 157-182, January.
    • Handle: RePEc:eme:cfripp:cfri-07-2022-0110
    DOI: 10.1108/CFRI-07-2022-0110
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    Citations

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    Cited by:

    1. Foglia, Matteo & Palomba, Giulio & Tedeschi, Marco, 2023. "Disentangling the geopolitical risk and its effects on commodities. Evidence from a panel of G8 countries," Resources Policy, Elsevier, vol. 85(PB).

    More about this item

    Keywords

    Financialization; Oil prices; Multibreakpoint analysis; VAR models; Linear cointegration; Threshold cointegration; C01 (Econometrics); C32 (time series models); D84 (Expectations/Speculations); G12 (Asset Pricing) G15 (International financial markets);
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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