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Have institutional investors stocks portfolio strategies affected oil prices in a financialization context?

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  • Antonio Focacci

Abstract

Purpose - The purpose of this paper is to investigate whether management strategies implemented by non-commercial traders may be identified as a key factor in affecting oil price paths in the conventional pre- and post-financialization periods. Design/methodology/approach - By using a vector autoregressive approach the dynamic analysis of the daily stock indexes for some of the most important world economies and the oil prices is conducted starting from 1992 to the end of 2020. Findings - The findings do not support the idea that the financial markets act as a privileged conduit in transmitting the shocks to the oil spot quotations. Originality/value - Such a direct assessment has not been previously proposed in literature wherein – under a financial perspective – the returns are generally taken into consideration.

Suggested Citation

  • Antonio Focacci, 2021. "Have institutional investors stocks portfolio strategies affected oil prices in a financialization context?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 38(5), pages 1007-1039, June.
    • Handle: RePEc:eme:sefpps:sef-02-2021-0062
    DOI: 10.1108/SEF-02-2021-0062
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    More about this item

    Keywords

    Vector autoregressive model; Oil prices; Financialization; Impulse response analysis; C32; D84; G12; G15; Q41;
    All these keywords.

    JEL classification:

    • 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
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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