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Citations for "Index Investment and Financialization of Commodities"

by Ke Tang & Wei Xiong

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  1. Barbara Rossi, 2012. "The changing relationship between commodity prices and equity prices in commodity exporting," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1405, Department of Economics and Business, Universitat Pompeu Fabra.
  2. William Arrata & Alejandro Bernales & Virginie Coudert, 2013. "The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps," SUERF 50th Anniversary Volume Chapters, SUERF - The European Money and Finance Forum, SUERF - The European Money and Finance Forum.
  3. Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," Working Papers halshs-00793724, HAL.
  4. Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun, 2013. "Limits to arbitrage and hedging: Evidence from commodity markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(2), pages 441-465.
  5. Gospodinov, Nikolay & Jamali, Ibrahim, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," Working Paper, Federal Reserve Bank of Atlanta 2013-12, Federal Reserve Bank of Atlanta.
  6. Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2011. "Price Discovery in Agricultural Commodities: The Shifting Relationship Between Spot and Future Prices," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland, European Association of Agricultural Economists 114237, European Association of Agricultural Economists.
  7. repec:ipg:wpaper:19 is not listed on IDEAS
  8. Creti, Anna & Joëts, Marc & Mignon, Valérie, 2013. "On the links between stock and commodity markets' volatility," Energy Economics, Elsevier, Elsevier, vol. 37(C), pages 16-28.
  9. Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," Economic Modelling, Elsevier, Elsevier, vol. 29(6), pages 2651-2663.
  10. Cochran, Steven J. & Mansur, Iqbal & Odusami, Babatunde, 2012. "Volatility persistence in metal returns: A FIGARCH approach," Journal of Economics and Business, Elsevier, Elsevier, vol. 64(4), pages 287-305.
  11. Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011. "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis," Energy Economics, Elsevier, Elsevier, vol. 33(3), pages 497-503, May.
  12. Irwin, Scott H. & Sanders, Dwight R., 2012. "Testing the Masters Hypothesis in commodity futures markets," Energy Economics, Elsevier, Elsevier, vol. 34(1), pages 256-269.
  13. Lehecka, Georg, 2013. "Have food and financial markets integrated? An empirical assessment on aggregate data," 53rd Annual Conference, Berlin, Germany, September 25-27, 2013 156108, German Association of Agricultural Economists (GEWISOLA).
  14. Girardi, Daniele, 2012. "A brief essay on the financialization of agricultural commodity markets," MPRA Paper 44771, University Library of Munich, Germany.
  15. Ansgar Belke & Ingo Bordon & Ulrich Volz, 2012. "Effects of Global Liquidity on Commodity and Food Prices," Ruhr Economic Papers, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen 0323, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  16. Niels C. Thygesen & Robert N. McCauley & Guonan Ma & William R. White & Jakob de Haan & Willem van den End & Jon Frost & Christiaan Pattipeilohy & Mostafa Tabbae & Ernest Gnan & Morten Balling & Paul , 2013. "50 Years of Money and Finance: Lessons and Challenges," SUERF 50th Anniversary Volume - 50 Years of Money and Finance: Lessons and Challenges, SUERF - The European Money and Finance Forum, number 1 edited by Morten Balling & Ernest Gnan.
  17. Scott H. Irwin & Dwight R. Sanders, 2011. "Index Funds, Financialization, and Commodity Futures Markets," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, Agricultural and Applied Economics Association, vol. 33(1), pages 1-31.
  18. Libo Yin & Liyan Han, 2013. "Exogenous Shocks and Information Transmission in Global Copper Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(8), pages 724-751, 08.
  19. Karlygash Kuralbayeva & Samuel Malone, 2012. "The Determinants of Extreme Commodity Prices," OxCarre Working Papers, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford 096, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
  20. Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip, 2013. "Dissecting Corn Price Movements with Directed Acyclic Graphs," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C., Agricultural and Applied Economics Association 151279, Agricultural and Applied Economics Association.
  21. Gunther Capelle-Blancard & Dramane Coulibaly, 2011. "Index trading and agricultural commodity prices: A panel Granger causality analysis," Economie Internationale, CEPII research center, CEPII research center, issue 126-127, pages 51-72.
  22. Luciana Juvenal & Ivan Petrella, 2011. "Speculation in the oil market," Working Papers, Federal Reserve Bank of St. Louis 2011-027, Federal Reserve Bank of St. Louis.
  23. Umar M. Mustapha, 2012. "The Role of Speculation in the Determination of Energy Prices," International Journal of Energy Economics and Policy, Econjournals, Econjournals, vol. 2(4), pages 279-291.
  24. Vladimir Filimonov & David Bicchetti & Nicolas Maystre, 2013. "Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets," UNCTAD Discussion Papers, United Nations Conference on Trade and Development 212, United Nations Conference on Trade and Development.
  25. Sophie van Huellen, 2013. "Price Non-Convergence in Commodities: A Case Study of the Wheat Conundrum," Working Papers, Department of Economics, SOAS, University of London, UK 185, Department of Economics, SOAS, University of London, UK.
  26. Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M., 2014. "Diversification in Crude Oil and Other Commodities: A Comparative Analysis," MPRA Paper 56988, University Library of Munich, Germany.
  27. Chia-Hsing Huang & Liang-Chun Ho, 2011. "Do bio-fuel policies lead to speculative behavior?," Journal of Financial Economic Policy, Emerald Group Publishing, Emerald Group Publishing, vol. 3(2), pages 161-174, July.
  28. Bolong Cao & Shamila Jayasuriya & William Shambora, 2010. "Holding a commodity futures index fund in a globally diversified portfolio: A placebo effect?," Economics Bulletin, AccessEcon, vol. 30(3), pages 1842-1851.
  29. Dirk G Baur & Kristoffer Glover, 2012. "The Destruction of a Safe Haven Asset?," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 174, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  30. Ine Van Robays, 2012. "Macroeconomic Uncertainty and the Impact of Oil Shocks," CESifo Working Paper Series 3937, CESifo Group Munich.
  31. Girardi, Daniele, 2012. "Do financial investors affect the price of wheat?," MPRA Paper 40285, University Library of Munich, Germany.
  32. Martin Fukac, 2011. "Have rising oil prices become a greater threat to price stability?," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 27-53.
  33. Girardi, Daniele, 2011. "Do financial investors affect commodity prices? The case of Hard Red Winter Wheat," MPRA Paper 35670, University Library of Munich, Germany.
  34. Silvennoinen, Annastiina & Thorp, Susan, 2013. "Financialization, crisis and commodity correlation dynamics," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 24(C), pages 42-65.
  35. Marc Joëts, 2013. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," Working Papers, Department of Research, Ipag Business School 2013-031, Department of Research, Ipag Business School.
  36. Chevallier, Julien, 2013. "Price relationships in crude oil futures: new evidence from CFTC disaggregated data," Economics Papers from University Paris Dauphine 123456789/11712, Paris Dauphine University.
  37. Bassam Fattouh, Lutz Kilian, and Lavan Mahadeva, 2013. "The Role of Speculation in Oil Markets: What Have We Learned So Far?," The Energy Journal, International Association for Energy Economics, International Association for Energy Economics, vol. 0(Number 3).
  38. Péter Kondor & Dimitri Vayanos, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," FMG Discussion Papers, Financial Markets Group dp730, Financial Markets Group.
  39. Du, Xiaodong, 2012. "Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil, International Association of Agricultural Economists 125146, International Association of Agricultural Economists.
  40. Christopher L. Foote & Jane S. Little, 2011. "Oil and the macroeconomy in a changing world: a conference summary," Public Policy Discussion Paper, Federal Reserve Bank of Boston 11-3, Federal Reserve Bank of Boston.
  41. OHASHI Kazuhiko & OKIMOTO Tatsuyoshi, 2013. "Increasing Trends in the Excess Comovement of Commodity Prices," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI) 13048, Research Institute of Economy, Trade and Industry (RIETI).
  42. Bohl, Martin T. & Stephan, Patrick M., 2013. "Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, Southern Agricultural Economics Association, vol. 45(04), November.
  43. Bicchetti, David & Maystre, Nicolas, 2012. "The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data," MPRA Paper 37486, University Library of Munich, Germany.
  44. Delatte, A-L. & Lopez, C., 2013. "Commodity and Equity Markets: Some Stylized Facts from a Copula," Working papers, Banque de France 421, Banque de France.
  45. Wen, Xiaoqian & Wei, Yu & Huang, Dengshi, 2012. "Measuring contagion between energy market and stock market during financial crisis: A copula approach," Energy Economics, Elsevier, Elsevier, vol. 34(5), pages 1435-1446.
  46. Celso Brunetti & David Reiffen, 2011. "Commodity index trading and hedging costs," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2011-57, Board of Governors of the Federal Reserve System (U.S.).
  47. Maria Grith & Wolfgang Karl Härdle & Volker Krätschmer, 2013. "Reference Dependent Preferences and the EPK Puzzle," SFB 649 Discussion Papers SFB649DP2013-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  48. Tonn, Victor Lux & Li, H.C. & McCarthy, Joseph, 2010. "Wavelet domain correlation between the futures prices of natural gas and oil," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 50(4), pages 408-414, November.
  49. Sévi, Benoît & Le Pen, Yannick & Chevallier, Julien & Bunn, Derek, 2013. "Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices," Economics Papers from University Paris Dauphine 123456789/11692, Paris Dauphine University.
  50. Michał Falkowski, 2011. "Financialization of commodities," Contemporary Economics, University of Finance and Management in Warsaw, University of Finance and Management in Warsaw, vol. 5(4), December.
  51. Le Pen, Yannick & Sévi, Benoît, 2011. "Macro factors in oil futures returns," Economics Papers from University Paris Dauphine 123456789/11663, Paris Dauphine University.
  52. M.Fatih Oztek & Nadir Ocal, 2013. "Financial Crises, Financialization of Commodity Markets and Correlation of Agricultural Commodity Index with Precious Metal Index and S&P500," ERC Working Papers, ERC - Economic Research Center, Middle East Technical University 1302, ERC - Economic Research Center, Middle East Technical University, revised Feb 2013.
  53. Nikolaos Sariannidis, 2011. "Stock, Energy and Currency Effects on the Asymmetric Wheat Market," International Advances in Economic Research, Springer, Springer, vol. 17(2), pages 181-192, May.
  54. Bargawi, H. & Newman, S.A., 2013. "From futures markets to the farm-gate," ISS Working Papers - General Series, International Institute of Social Studies of Erasmus University Rotterdam (ISS), The Hague 577, International Institute of Social Studies of Erasmus University Rotterdam (ISS), The Hague.
  55. Girardi, Daniele, 2013. "Financialization of food - The determinants of the time-varying relation between agricultural prices and stock market dynamics," MPRA Paper 52043, University Library of Munich, Germany, revised 16 Nov 2013.
  56. Arora, Vipin & Tanner, Matthew, 2011. "How important are real interest rates for oil prices?," MPRA Paper 35883, University Library of Munich, Germany.
  57. Thomas Philippon, 2012. "Has the U.S. Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation," NBER Working Papers 18077, National Bureau of Economic Research, Inc.
  58. Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz, 2013. "Commodity and Asset Pricing Models: An Integration," NBER Working Papers 19167, National Bureau of Economic Research, Inc.
  59. Dirk G Baur & Kristoffer Glover, 2012. "A Gold Bubble?," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 175, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  60. Belousova, Julia & Dorfleitner, Gregor, 2012. "On the diversification benefits of commodities from the perspective of euro investors," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(9), pages 2455-2472.
  61. Vivian, Andrew & Wohar, Mark E., 2012. "Commodity volatility breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(2), pages 395-422.
  62. Daskalaki, Charoula & Skiadopoulos, George, 2011. "Should investors include commodities in their portfolios after all? New evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(10), pages 2606-2626, October.
  63. Wen, Xiaoqian & Guo, Yanfeng & Wei, Yu & Huang, Dengshi, 2014. "How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China," Energy Economics, Elsevier, Elsevier, vol. 41(C), pages 63-75.
  64. Joseph W. Gruber & Robert J. Vigfusson, 2012. "Interest rates and the volatility and correlation of commodity prices," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1065, Board of Governors of the Federal Reserve System (U.S.).
  65. West, Kenneth D. & Wong, Ka-Fu, 2014. "A factor model for co-movements of commodity prices," Journal of International Money and Finance, Elsevier, Elsevier, vol. 42(C), pages 289-309.
  66. Buetzer, Sascha & Habib, Maurizio Michael & Stracca, Livio, 2012. "Global exchange rate configurations: Do oil shocks matter?," Working Paper Series, European Central Bank 1442, European Central Bank.
  67. Marco Jacopo Lombardi, 2013. "On the correlation between commodity and equity returns: implications for portfolio allocation," BIS Working Papers 420, Bank for International Settlements.
  68. Alex Callinicos, 2012. "Contradictions of austerity," Cambridge Journal of Economics, Oxford University Press, Oxford University Press, vol. 36(1), pages 65-77.
  69. repec:fip:fedlwp:2011-005 is not listed on IDEAS
  70. Nicolas Merener, 2012. "Globally Distributed Production and Asset Pricing:the Rise of Latin America in CME Soybean Futures," Business School Working Papers, Universidad Torcuato Di Tella 2012-01, Universidad Torcuato Di Tella.
  71. Alexandra Dwyer & George Gardner & Thomas Williams, 2011. "Global Commodity Markets - Price Volatility and Financialisation," RBA Bulletin, Reserve Bank of Australia, pages 49-58, June.
  72. Delatte, Anne-Laure & Lopez, Claude, 2013. "Commodity and Equity Markets: Some Stylized Facts from a Copula Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9558, C.E.P.R. Discussion Papers.
  73. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "Liquidity commonality in commodities," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(1), pages 11-20.
  74. Martin, William J., 2012. "Managing High and Volatile Food Prices," Trade Policy Issues Papers, International Agricultural Trade Research Consortium 142732, International Agricultural Trade Research Consortium.
  75. Bassam Fattouh, 2012. "Speculation and Oil Price Formation," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, Fondazione Eni Enrico Mattei, February.