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Citations for "Index Investment and Financialization of Commodities"

by Ke Tang & Wei Xiong

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  1. Delatte, Anne-Laure & Lopez, Claude, 2013. "Commodity and equity markets: Some stylized facts from a copula approach," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5346-5356.
  2. Luciana Juvenal & Ivan Petrella, 2012. "Speculation in the oil market," Economic Synopses, Federal Reserve Bank of St. Louis.
  3. 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.
  4. Dimitri Vayanos & Peter Kondor, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," 2014 Meeting Papers 912, Society for Economic Dynamics.
  5. Belke, Ansgar & Bordon, Ingo G. & Volz, Ulrich, 2012. "Effects of Global Liquidity on Commodity and Food Prices," Ruhr Economic Papers 323, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  6. Bargawi, H. & Newman, S.A., 2013. "From futures markets to the farm-gate," ISS Working Papers - General Series 50215, International Institute of Social Studies of Erasmus University Rotterdam (ISS), The Hague.
  7. 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, 00.
  8. Sophie van Huellen, 2013. "Price Non-Convergence in Commodities: A Case Study of the Wheat Conundrum," Working Papers 185, Department of Economics, SOAS, University of London, UK.
  9. Li, Ziran & Sun, Jiajing & Wang, Shouyang, 2013. "An information diffusion-based model of oil futures price," Energy Economics, Elsevier, vol. 36(C), pages 518-525.
  10. Scott H. Irwin & Dwight R. Sanders, 2011. "Index Funds, Financialization, and Commodity Futures Markets," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 1-31.
  11. Joseph W. Gruber & Robert J. Vigfusson, 2012. "Interest rates and the volatility and correlation of commodity prices," International Finance Discussion Papers 1065, Board of Governors of the Federal Reserve System (U.S.).
  12. repec:kap:iaecre:v:17:y:2011:i:2:p:181-192 is not listed on IDEAS
  13. repec:dau:papers:123456789/11382 is not listed on IDEAS
  14. Arora, Vipin & Tanner, Matthew, 2013. "Do oil prices respond to real interest rates?," Energy Economics, Elsevier, vol. 36(C), pages 546-555.
  15. 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, vol. 33(3), pages 497-503, May.
  16. Umar M. Mustapha, 2012. "The Role of Speculation in the Determination of Energy Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 2(4), pages 279-291.
  17. Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Wang, Tianyang, 2016. "An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments," Energy Economics, Elsevier, vol. 54(C), pages 213-223.
  18. Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai, 2011. "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," NBER Working Papers 16875, National Bureau of Economic Research, Inc.
  19. Wen, Xiaoqian & Wei, Yu & Huang, Dengshi, 2012. "Measuring contagion between energy market and stock market during financial crisis: A copula approach," Energy Economics, Elsevier, vol. 34(5), pages 1435-1446.
  20. 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.
  21. Gatfaoui, Hayette, 2015. "Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas," Energy Policy, Elsevier, vol. 87(C), pages 270-283.
  22. 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.
  23. Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A., 2015. "Does the euro area macroeconomy affect global commodity prices? Evidence from a SVAR approach," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 485-503.
  24. Cochran, Steven J. & Mansur, Iqbal & Odusami, Babatunde, 2012. "Volatility persistence in metal returns: A FIGARCH approach," Journal of Economics and Business, Elsevier, vol. 64(4), pages 287-305.
  25. Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013. "Carry," NBER Working Papers 19325, National Bureau of Economic Research, Inc.
    • Koijen, Ralph & Moskowitz, Tobias J & Pedersen, Lasse Heje & Vrugt, Evert B., 2013. "Carry," CEPR Discussion Papers 9771, C.E.P.R. Discussion Papers.
  26. Girardi, Daniele, 2011. "Do financial investors affect commodity prices? The case of Hard Red Winter Wheat," MPRA Paper 35670, University Library of Munich, Germany.
  27. Thomas Philippon, 2015. "Has the US Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation," American Economic Review, American Economic Association, vol. 105(4), pages 1408-38, April.
  28. Barbara Rossi, 2012. "The changing relationship between commodity prices and equity prices in commodity exporting," Economics Working Papers 1405, Department of Economics and Business, Universitat Pompeu Fabra.
  29. 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.
  30. James D. Hamilton & Jing Cynthia Wu, 2015. "Effects Of Index‐Fund Investing On Commodity Futures Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56, pages 187-205, 02.
  31. Hamilton, James D. & Wu, Jing Cynthia, 2014. "Risk premia in crude oil futures prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 9-37.
  32. David Bicchetti & Nicolas Maystre, 2012. "The Synchronized And Long-Lasting Structural Change On Commodity Markets: Evidence From High Frequency Data," UNCTAD Discussion Papers 208, United Nations Conference on Trade and Development.
  33. Irwin, Scott H. & Sanders, Dwight R., 2012. "Testing the Masters Hypothesis in commodity futures markets," Energy Economics, Elsevier, vol. 34(1), pages 256-269.
  34. Gospodinov, Nikolay & Jamali, Ibrahim, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," FRB Atlanta Working Paper 2013-12, Federal Reserve Bank of Atlanta.
  35. Zhang, Bing & Li, Xiao-Ming, 2016. "Recent hikes in oil-equity market correlations: Transitory or permanent?," Energy Economics, Elsevier, vol. 53(C), pages 305-315.
  36. 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. 151279, Agricultural and Applied Economics Association.
  37. Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, 06.
  38. Anna Creti & Marc Joëts & Valérie Mignon, 2013. "On the links between stock and commodity markets’ volatility," Post-Print hal-01385868, HAL.
  39. Buetzer, Sascha & Habib, Maurizio Michael & Stracca, Livio, 2012. "Global exchange rate configurations: Do oil shocks matter?," Working Paper Series 1442, European Central Bank.
  40. Kazuhiko Ohashi & Tatsuyoshi Okimoto, 2016. "Increasing Trends in the Excess Comovement of Commodity Prices," CAMA Working Papers 2016-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  41. 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.
  42. Bassam Fattouh & Lavan Mahadeva, 2014. "Causes and Implications of Shifts in Financial Participation in Commodity Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(8), pages 757-787, 08.
  43. Chevallier, Julien, 2011. "Detecting instability in the volatility of carbon prices," Energy Economics, Elsevier, vol. 33(1), pages 99-110, January.
  44. Philippe Charlot & Olivier Darné & Zakaria Moussa, 2014. "Commodity returns co-movements: Fundamentals or "style" effect?," Working Papers hal-01093631, HAL.
  45. Celso Brunetti & David Reiffen, 2011. "Commodity index trading and hedging costs," Finance and Economics Discussion Series 2011-57, Board of Governors of the Federal Reserve System (U.S.).
  46. Gunther Capelle-Blancard & Dramane Coulibaly, 2011. "Index trading and agricultural commodity prices: A panel Granger causality analysis," International Economics, CEPII research center, issue 126-127, pages 51–71.
  47. Christopher L. Foote & Jane Sneddon Little, 2011. "Oil and the macroeconomy in a changing world: a conference summary," Public Policy Discussion Paper 11-3, Federal Reserve Bank of Boston.
  48. Robert Czudaj & Joscha Beckmann, 2012. "Spot and futures commodity markets and the unbiasedness hypothesis - evidence from a novel panel unit root test," Economics Bulletin, AccessEcon, vol. 32(2), pages 1695-1707.
  49. Julien Chevallier, 2013. "Price relationships in crude oil futures: new evidence from CFTC disaggregated data," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 15(2), pages 133-170, April.
  50. West, Kenneth D. & Wong, Ka-Fu, 2014. "A factor model for co-movements of commodity prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 289-309.
  51. Xiaodong Du and Lihong Lu McPhail, 2012. "Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  52. Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, vol. 28(1-2), pages 557-567, January.
  53. Josef Zuckerstätter & Maria Maltschnig, 2013. "Finanzmärkte und Rohstoffpreise," Working Paper Reihe der AK Wien - Materialien zu Wirtschaft und Gesellschaft 121, Kammer für Arbeiter und Angestellte für Wien, Abteilung Wirtschaftswissenschaft und Statistik.
  54. Marc Joëts, 2013. "Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics," Working Papers 2013.32, Fondazione Eni Enrico Mattei.
  55. 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.
  56. 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, vol. 50(4), pages 408-414, November.
  57. Chia-Hsing Huang & Liang-Chun Ho, 2011. "Do bio-fuel policies lead to speculative behavior?," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 3(2), pages 161-174, July.
  58. Dirk G Baur & Kristoffer Glover, 2012. "The Destruction of a Safe Haven Asset?," Working Paper Series 174, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  59. 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.
  60. Van Robays, Ine, 2012. "Macroeconomic uncertainty and the impact of oil shocks," Working Paper Series 1479, European Central Bank.
  61. Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," Working Papers halshs-00793724, HAL.
  62. Girardi, Daniele, 2012. "Do financial investors affect the price of wheat?," MPRA Paper 40285, University Library of Munich, Germany.
  63. Dirk G Baur, 2012. "The Structure and Degree of Dependence - A Quantile Regression Approach," Working Paper Series 170, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  64. Michael Graham & Jarno Kiviaho & Jussi Nikkinen, 2013. "Short-term and long-term dependencies of the S&P 500 index and commodity prices," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 583-592, March.
  65. Vivian, Andrew & Wohar, Mark E., 2012. "Commodity volatility breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 395-422.
  66. 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.
  67. Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2012. "Convective Risk Flows in Commodity Futures Markets," NBER Working Papers 17921, National Bureau of Economic Research, Inc.
  68. Nicolas Merener, 2012. "Globally Distributed Production and Asset Pricing:the Rise of Latin America in CME Soybean Futures," Business School Working Papers 2012-01, Universidad Torcuato Di Tella.
  69. Alex Callinicos, 2012. "Contradictions of austerity," Cambridge Journal of Economics, Oxford University Press, vol. 36(1), pages 65-77.
  70. Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2014. "Internet, noise trading and commodity futures prices," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 82-89.
  71. Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," MPRA Paper 39903, University Library of Munich, Germany.
  72. Ing-Haw Cheng & Wei Xiong, 2013. "The Financialization of Commodity Markets," NBER Working Papers 19642, National Bureau of Economic Research, Inc.
  73. Filimonov, Vladimir & Bicchetti, David & Maystre, Nicolas & Sornette, Didier, 2014. "Quantification of the high level of endogeneity and of structural regime shifts in commodity markets," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 174-192.
  74. Karlygash Kuralbayeva & Samuel Malone, 2012. "The Determinants of Extreme Commodity Prices," OxCarre Working Papers 096, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
  75. 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 1302, ERC - Economic Research Center, Middle East Technical University, revised Feb 2013.
  76. Nicole M. Aulerich & Scott H. Irwin & Philip Garcia, 2014. "Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files," NBER Chapters, in: The Economics of Food Price Volatility, pages 211-253 National Bureau of Economic Research, Inc.
  77. repec:dau:papers:123456789/11692 is not listed on IDEAS
  78. 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 114237, European Association of Agricultural Economists.
  79. repec:dau:papers:123456789/11663 is not listed on IDEAS
  80. Annastiina Silvennoinen & Susan Thorp, 2010. "Financialization, Crisis and Commodity Correlation Dynamics," Research Paper Series 267, Quantitative Finance Research Centre, University of Technology, Sydney.
  81. Lehecka, Georg V., 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).
  82. Baur, Dirk G. & Glover, Kristoffer J., 2014. "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 116-133.
  83. Fattouh, Bassam & Kilian, Lutz & Mahadeva, Lavan, 2012. "The Role of Speculation in Oil Markets: What Have We Learned So Far?," CEPR Discussion Papers 8916, C.E.P.R. Discussion Papers.
  84. Bassam Fattouh, 2012. "Speculation and Oil Price Formation," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, February.
  85. 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, vol. 45(04), November.
  86. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "Liquidity commonality in commodities," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 11-20.
  87. Mugera, Harriet & Gilbert, Christopher, 2015. "Structural Change in the Relationship Between Energy and Food Prices," 2015 Conference, August 9-14, 2015, Milan, Italy 212505, International Association of Agricultural Economists.
  88. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Regime-dependent adjustment in energy spot and futures markets," Economic Modelling, Elsevier, vol. 40(C), pages 400-409.
  89. Marco Jacopo Lombardi, 2013. "On the correlation between commodity and equity returns: implications for portfolio allocation," BIS Working Papers 420, Bank for International Settlements.
  90. Olle Östensson, 2012. "The 2008 commodity price boom: did speculation play a role?," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 25(1), pages 17-28, July.
  91. Daskalaki, Charoula & Skiadopoulos, George, 2011. "Should investors include commodities in their portfolios after all? New evidence," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2606-2626, October.
  92. Shalini, Velappan & Prasanna, Krishna, 2016. "Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics," Energy Economics, Elsevier, vol. 53(C), pages 40-57.
  93. Martin, William J., 2012. "Managing High and Volatile Food Prices," Trade Policy Issues Papers 142732, International Agricultural Trade Research Consortium.
  94. Georg Lehecka, 2015. "Do hedging and speculative pressures drive commodity prices, or the other way round?," Empirical Economics, Springer, vol. 49(2), pages 575-603, September.
  95. Michał Falkowski, 2011. "Financialization of commodities," Contemporary Economics, University of Finance and Management in Warsaw, vol. 5(4), December.
  96. Roache, Shaun K. & Rossi, Marco, 2010. "The effects of economic news on commodity prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 377-385, August.
  97. Dwight R. Sanders and Scott H. Irwin, 2013. "Measuring Index Investment in Commodity Futures Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  98. Michael Sockin & Wei Xiong, 2013. "Informational Frictions and Commodity Markets," NBER Working Papers 18906, National Bureau of Economic Research, Inc.
  99. 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, vol. 41(C), pages 63-75.
  100. Alexandra Dwyer & George Gardner & Thomas Williams, 2011. "Global Commodity Markets - Price Volatility and Financialisation," RBA Bulletin, Reserve Bank of Australia, pages 49-58, June.
  101. repec:ipg:wpaper:19 is not listed on IDEAS
  102. Dirk G Baur & Kristoffer Glover, 2012. "A Gold Bubble?," Working Paper Series 175, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  103. Girardi, Daniele, 2012. "A brief essay on the financialization of agricultural commodity markets," MPRA Paper 44771, University Library of Munich, Germany.
  104. Belousova, Julia & Dorfleitner, Gregor, 2012. "On the diversification benefits of commodities from the perspective of euro investors," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2455-2472.
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