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Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization

Listed author(s):
  • Adams, Zeno

    ()

  • Kartsakli, Maria

    ()

Registered author(s):

    The financialization of crude oil markets over the last decade has changed the behavior of oil prices in fundamental ways. In this paper, we uncover the gradual transformation of crude oil from a physical to a financial asset. Although economic demand and supply factors continue to play an important role, recent indicators associated with financialization have emerged since 2008. We show that financial variables have become the main driving factors explaining the variation in crude oil returns and volatility today. Our findings have important implications for portfolio analysis and for the effectiveness of hedging in crude oil markets.

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    File URL: http://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1710.pdf
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    Paper provided by University of St. Gallen, School of Finance in its series Working Papers on Finance with number 1710.

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    Length: 31 pages
    Date of creation: Jun 2017
    Handle: RePEc:usg:sfwpfi:2017:10
    Contact details of provider: Phone: +41 71 243 40 11
    Fax: +41 71 243 40 40
    Web page: http://www.unisg.ch/de/universitaet/schools/finance

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    16. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-248, April.
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