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Financiarisation des marchés de matières premières

Editor

Listed:
  • Lautier, Delphine
  • Villeneuve, Bertrand

Author

Listed:
  • Lambinet, Rémy

Abstract

Commodity prices rise observed during the 2000s being concomitant with the increasing presence of financial agents has sparked the researchers’ interest. This price increase occurred while commodity markets have been transformed by new financial instruments or larger investments in these markets. The first chapter of this thesis are studying the impact on commodities of Exchange-Traded Products (ETPs) whose purpose is to provide investors a passive exposure to commodities. During this study, it is shown that the mechanism (called creation / redemption) used to deliver the performance of the underlying commodity to the investors has an impact on the price of the underlying asset, its volatility and its correlation with the stock market. The second chapter demonstrates that ETPs have become major contributors to the price discovery process whereas traditionally this function was performed by the futures market. The final chapter of this PhD thesis is studying seasonality in both the prices and positions of different types of agents on the futures market for agricultural commodities. The results show that seasonal positions in the futures market have been changed by the increased presence of financial agents. This thesis quantifies and demonstrates that new investment vehicles and an increasing number of positions of financial investors in the futures market have changed the financial and fundamental characteristics of commodity markets.

Suggested Citation

  • Lambinet, Rémy, 2014. "Financiarisation des marchés de matières premières," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14615 edited by Lautier, Delphine & Villeneuve, Bertrand.
  • Handle: RePEc:dau:thesis:123456789/14615
    Note: dissertation
    as

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    More about this item

    Keywords

    Financiarisation; Matières premières; Exchange-Traded Products; Saisonnalité; Financialization; Commodities; Exchange-Traded Products; Seasonality;
    All these keywords.

    JEL classification:

    • Q17 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agriculture in International Trade
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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