Index Investment and Financialization of Commodities
AbstractThis paper finds that, concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of different commodities in the US became increasingly correlated with each other and this trend was significantly more pronounced for commodities in the two popular GSCI and DJ-UBS commodity indices. This finding reflects a financialization process of commodities markets and helps explain the synchronized price boom and bust of a broad set of seemingly unrelated commodities in the US in 2006-2008. In contrast, such commodity price comovements were absent in China, which refutes growing commodity demands from emerging economies as the driver.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 16385.
Date of creation: Sep 2010
Date of revision:
Publication status: published as “Index Investment and Financialization of Commodities” (with Ke Tang) Financial Analysts Journal , 2012, Vol. 68, 54-74.
Note: AP ME
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Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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Open Access publications from Tilburg University
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