IDEAS home Printed from https://ideas.repec.org/a/taf/eurjfi/v29y2023i10p1187-1206.html
   My bibliography  Save this article

Rebalancing effects of commodity indices on open interest, volume and prices

Author

Listed:
  • Florian Schmid
  • Herbert Mayer
  • Markus Wanner
  • Andreas W. Rathgeber

Abstract

The investment volume for commodity indices has increased rapidly over the past years. This financialization is intensively discussed in politics and science with mixed results because of several problems. We use a novel idea to measure the effect of the growing investment volume of index investors by looking at index rebalancing, in which only financial traders are forced to trade. Analyzing 289 rebalancing between 2006 and 2021 for the BCOM and the S&P GSCI, we observe significant results—with abnormal returns up to 14.1%—only for open interest and volume data. We cannot prove an effect on prices and, therefore, no effect of financialization on the real economy.

Suggested Citation

  • Florian Schmid & Herbert Mayer & Markus Wanner & Andreas W. Rathgeber, 2023. "Rebalancing effects of commodity indices on open interest, volume and prices," The European Journal of Finance, Taylor & Francis Journals, vol. 29(10), pages 1187-1206, July.
    • Handle: RePEc:taf:eurjfi:v:29:y:2023:i:10:p:1187-1206
    DOI: 10.1080/1351847X.2022.2098793
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1351847X.2022.2098793
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1351847X.2022.2098793?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:29:y:2023:i:10:p:1187-1206. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/REJF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.