IDEAS home Printed from https://ideas.repec.org/a/oup/rfinst/v35y2022i10p4712-4755..html
   My bibliography  Save this article

Order Flows and Financial Investor Impacts in Commodity Futures Markets

Author

Listed:
  • Mark J Ready
  • Robert C Ready

Abstract

Using intraday data, we document statistically strong, but temporary, impacts of commodity index trade flows on commodity futures prices. We also examine the previously documented positive returns around the issuance of commodity-linked notes and find that these returns are an order of magnitude too large to be caused by the small trades necessary to hedge the notes. We provide new evidence that they are instead the result of endogenous issuance. Our results provide novel support for commodity financialization but highlight the importance of measuring the magnitude of financial investment, since even large financial flows have economically modest impacts on prices.

Suggested Citation

  • Mark J Ready & Robert C Ready, 2022. "Order Flows and Financial Investor Impacts in Commodity Futures Markets," The Review of Financial Studies, Society for Financial Studies, vol. 35(10), pages 4712-4755.
    • Handle: RePEc:oup:rfinst:v:35:y:2022:i:10:p:4712-4755.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/rfs/hhac008
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

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

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Stewart, Shamar L. & Massa, Olga Isengildina & Hassman, Colburn & Leon, Maximo de, 2023. "ETP tracking of U.S. agricultural and energy markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
    2. Scott H. Irwin & Dwight R. Sanders & Lei Yan, 2023. "The order flow cost of index rolling in commodity futures markets," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 45(2), pages 1025-1050, June.
    3. Itay Goldstein & Liyan Yang, 2022. "Commodity Financialization and Information Transmission," Journal of Finance, American Finance Association, vol. 77(5), pages 2613-2667, October.

    More about this item

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    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:oup:rfinst:v:35:y:2022:i:10:p:4712-4755.. 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: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/sfsssea.html .

    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.