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Convective Risk Flows in Commodity Futures Markets

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Cited by:

  1. Lim, Kian Guan & Nomikos, Nikos K. & Yap, Nelson, 2019. "Understanding the fundamentals of freight markets volatility," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 130(C), pages 1-15.
  2. Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., 2017. "Identifying the Impact of Financialization in Commodity Futures Prices from Index Rebalancing," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258504, Agricultural and Applied Economics Association.
  3. Miffre, Joëlle & Brooks, Chris, 2013. "Do long-short speculators destabilize commodity futures markets?," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 230-240.
  4. 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.
  5. Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2020. "The theory of storage in the crude oil futures market, the role of financial conditions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1160-1175, July.
  6. Mo, Xuan & Su, Zhi & Yin, Libo, 2019. "Can the skewness of oil returns affect stock returns? Evidence from China’s A-Share markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  7. Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., "undated". "The Relationship between Commodity Investment Flows and Crude Oil Futures Prices: Real or Spurious?," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235933, Agricultural and Applied Economics Association.
  8. Bonnier, Jean-Baptiste, 2021. "Speculation and informational efficiency in commodity futures markets," Journal of International Money and Finance, Elsevier, vol. 117(C).
  9. Camille Aït-Youcef, 2019. "How index investment impacts commodities : A story about the financialization of agricultural commodities," Post-Print hal-03484371, HAL.
  10. ap Gwilym, Rhys & Ebrahim, M. Shahid & El Alaoui, Abdelkader O. & Rahman, Hamid & Taamouti, Abderrahim, 2020. "Financial frictions and the futures pricing puzzle," Economic Modelling, Elsevier, vol. 87(C), pages 358-371.
  11. Xingguo Luo & Yuting Lin & Xiaoli Yu & Feng He, 2021. "How trading in commodity futures option markets impacts commodity futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1333-1347, August.
  12. Péter Kondor & Dimitri Vayanos, 2019. "Liquidity Risk and the Dynamics of Arbitrage Capital," Journal of Finance, American Finance Association, vol. 74(3), pages 1139-1173, June.
  13. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2021. "Economic news and the cross-section of commodity futures returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
  14. Raza, Syed Ali & Masood, Amna & Benkraiem, Ramzi & Urom, Christian, 2023. "Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach," Energy Economics, Elsevier, vol. 120(C).
  15. Marinella Davide & Paola Vesco, 2016. "Alternative Approaches for Rating INDCs: a Comparative Analysis," Working Papers 2016.18, Fondazione Eni Enrico Mattei.
  16. Algieri, Bernardina & Leccadito, Arturo, 2019. "Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 40-54.
  17. Büyükşahin, Bahattin & Robe, Michel A., 2014. "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 38-70.
  18. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Gonzalez-Fernandez, Marcos & Miffre, Joelle, 2020. "Fear of hazards in commodity futures markets," Journal of Banking & Finance, Elsevier, vol. 119(C).
  19. Mokni, Khaled & Al-Shboul, Mohammed & Assaf, Ata, 2021. "Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?," Resources Policy, Elsevier, vol. 74(C).
  20. Lyócsa, Štefan & Molnár, Peter & Todorova, Neda, 2017. "Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 228-247.
  21. Branger, Nicole & Grüning, Patrick & Schlag, Christian, 2016. "Commodities, financialization, and heterogeneous agents," SAFE Working Paper Series 131 [rev.], Leibniz Institute for Financial Research SAFE, revised 2016.
  22. Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2016. "Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 277-285.
  23. Mohammad Isleimeyyeh, 2020. "The role of financial investors in determining the commodity futures risk premium," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1375-1397, September.
  24. Conghui Hu & Zhibing Li & Xiaoyu Liu, 2020. "Liquidity shocks, commodity financialization, and market comovements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1315-1336, September.
  25. Boos, Dominik & Grob, Linus, 2023. "Tracking speculative trading," Journal of Financial Markets, Elsevier, vol. 64(C).
  26. Wu, Lei & Zeng, Hongchao, 2019. "The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market," Economic Modelling, Elsevier, vol. 83(C), pages 96-110.
  27. Michael Hachula & Malte Rieth, 2015. "Finanzspekulation und Rohstoffpreise," DIW Roundup: Politik im Fokus 63, DIW Berlin, German Institute for Economic Research.
  28. Ing-Haw Cheng & Wei Xiong, 2014. "Why Do Hedgers Trade So Much?," The Journal of Legal Studies, University of Chicago Press, vol. 43(S2), pages 183-207.
  29. Batista Soares, David & Borocco, Etienne, 2022. "Rational destabilization in commodity markets," Journal of Commodity Markets, Elsevier, vol. 25(C).
  30. Annastiina Silvennoinen & Susan Thorp, 2016. "Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(6), pages 522-544, June.
  31. Ing-Haw Cheng & Wei Xiong, 2014. "Financialization of Commodity Markets," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 419-441, December.
  32. Figuerola-Ferretti, Isabel & McCrorie, J. Roderick & Paraskevopoulos, Ioannis, 2020. "Mild explosivity in recent crude oil prices," Energy Economics, Elsevier, vol. 87(C).
  33. Peersman, Gert & Rüth, Sebastian K. & Van der Veken, Wouter, 2021. "The interplay between oil and food commodity prices: Has it changed over time?," Journal of International Economics, Elsevier, vol. 133(C).
  34. Irwin, Scott H., 2012. "Does the Masters Hypothesis Explain Recent Food Price Spikes?," Working Papers 126944, Structure and Performance of Agriculture and Agri-products Industry (SPAA).
  35. Wen, Xiaoqian & Xie, Yuxin & Pantelous, Athanasios A., 2022. "Extreme price co-movement of commodity futures and industrial production growth: An empirical evaluation," Energy Economics, Elsevier, vol. 108(C).
  36. Lyu, Yongjian & Yi, Heling & Hu, Yingyi & Yang, Mo, 2021. "Economic uncertainty shocks and China's commodity futures returns: A time-varying perspective," Resources Policy, Elsevier, vol. 70(C).
  37. KANAMURA Takashi, 2018. "Diversification Effect of Commodity Futures on Financial Markets," Discussion papers 18019, Research Institute of Economy, Trade and Industry (RIETI).
  38. Sanders, Dwight R. & Irwin, Scott H., 2014. "Energy futures prices and commodity index investment: New evidence from firm-level position data," Energy Economics, Elsevier, vol. 46(S1), pages 57-68.
  39. Adams, Zeno & Glück, Thorsten, 2013. "Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79949, Verein für Socialpolitik / German Economic Association.
  40. Xiao, Qin & Yan, Meilan & Zhang, Dalu, 2023. "Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach," International Review of Financial Analysis, Elsevier, vol. 89(C).
  41. Janzen, Joseph P. & Merener, Nicolas, "undated". "Supply Shocks, Futures Prices, and Trader Positions," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205622, Agricultural and Applied Economics Association.
  42. Tröster, Bernhard & Gunter, Ulrich, 2022. "Trading for speculators: The role of physical actors in the financialization of coffee, cocoa and cotton value chains," Working Papers 68, Austrian Foundation for Development Research (ÖFSE).
  43. Jean-François Carpantier, 2021. "Commodity Prices in Empirical Research," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 199-227, Springer.
  44. 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(1), pages 187-205, February.
  45. Lehecka, G., 2014. "Have food and financial markets integrated? An empirical assessment on aggregate data," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 49, March.
  46. Karin Martín-Bujack & Isabel Figuerola-Ferretti & Teresa Corzo & Ioannis Paraskevopoulos, 2022. "Building Knowledge in the Oil Market," SAGE Open, , vol. 12(1), pages 21582440211, January.
  47. Fernandez-Perez, Adrian & Indriawan, Ivan & Tse, Yiuman & Xu, Yahua, 2023. "Cross-asset time-series momentum: Crude oil volatility and global stock markets," Journal of Banking & Finance, Elsevier, vol. 154(C).
  48. Bianchi, Robert J. & Fan, John Hua & Todorova, Neda, 2020. "Financialization and de-financialization of commodity futures: A quantile regression approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
  49. Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022. "Common Drivers of Commodity Futures?," Working Papers 2207, Utrecht School of Economics.
  50. Liu, Lu & Zhang, Xiang, 2019. "Financialization and commodity excess spillovers," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 195-216.
  51. Itay Goldstein & Liyan Yang, 2022. "Commodity Financialization and Information Transmission," Journal of Finance, American Finance Association, vol. 77(5), pages 2613-2667, October.
  52. Lyu, Yongjian & Tuo, Siwei & Wei, Yu & Yang, Mo, 2021. "Time-varying effects of global economic policy uncertainty shocks on crude oil price volatility：New evidence," Resources Policy, Elsevier, vol. 70(C).
  53. Gao, Lin & Süss, Stephan, 2015. "Market sentiment in commodity futures returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 84-103.
  54. Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., 2022. "Sunshine vs. predatory trading effects in commodity futures markets: New evidence from index rebalancing," Journal of Commodity Markets, Elsevier, vol. 26(C).
  55. Badshah, Ihsan & Demirer, Riza & Suleman, Muhammad Tahir, 2019. "The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging," Energy Economics, Elsevier, vol. 84(C).
  56. Lyu, Yongjian & Wei, Yu & Hu, Yingyi & Yang, Mo, 2021. "Good volatility, bad volatility and economic uncertainty: Evidence from the crude oil futures market," Energy, Elsevier, vol. 222(C).
  57. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
  58. Barras, Laurent & Malkhozov, Aytek, 2016. "Does variance risk have two prices? Evidence from the equity and option markets," Journal of Financial Economics, Elsevier, vol. 121(1), pages 79-92.
  59. Steven J. Cochran & Iqbal Mansur & Babatunde Odusami, 2016. "Conditional higher order moments in metal asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 151-167, January.
  60. Reboredo, Juan C. & Uddin, Gazi Salah, 2016. "Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 284-298.
  61. Jaehwan Park & Byungkwon Lim, 2018. "Testing Efficiency of the London Metal Exchange: New Evidence," IJFS, MDPI, vol. 6(1), pages 1-10, March.
  62. Li, Bingxin, 2018. "Speculation, risk aversion, and risk premiums in the crude oil market," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 64-81.
  63. Peersman, Gert & Rüth, Sebastian K. & Van der Veken, Wouter, 2021. "The interplay between oil and food commodity prices: Has it changed over time?," Journal of International Economics, Elsevier, vol. 133(C).
  64. Christian A. Conrad, 2023. "Speculation in Food and Commodities - A Research Report: A Critical Discussion of the Econometric Research Method and an Alternative Analysis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(6), pages 1-14, June.
  65. Niaz Bashiri Behmiri, Maryam Ahmadi, Juha-Pekka Junttila, and Matteo Manera, 2021. "Financial Stress and Basis in Energy Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
  66. Pankaj K. Jain & Ayla Kayhan & Esen Onur, 2024. "Determinants of commodity market liquidity," The Financial Review, Eastern Finance Association, vol. 59(1), pages 9-30, February.
  67. Ana I. Sanjuán-López & Philip J. Dawson, 2017. "Volatility Effects of Index Trading and Spillovers on US Agricultural Futures Markets: A Multivariate GARCH Approach," Journal of Agricultural Economics, Wiley Blackwell, vol. 68(3), pages 822-838, September.
  68. Shimeng Shi, 2022. "Bitcoin futures risk premia," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2190-2217, December.
  69. Czudaj, Robert L., 2019. "Crude oil futures trading and uncertainty," Energy Economics, Elsevier, vol. 80(C), pages 793-811.
  70. Behmiri, Niaz Bashiri & Manera, Matteo & Nicolini, Marcella, 2016. "Understanding Dynamic Conditional Correlations between Commodities Futures Markets," ESP: Energy Scenarios and Policy 232223, Fondazione Eni Enrico Mattei (FEEM).
  71. Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian, 2015. "The impact of fundamental and financial traders on the term structure of oil," Energy Economics, Elsevier, vol. 48(C), pages 276-287.
  72. Algieri, Bernardina, 2018. "A Journey Through the History of Commodity Derivatives Markets and the Political Economy of (De)Regulation," Discussion Papers 281139, University of Bonn, Center for Development Research (ZEF).
  73. Algieri, Bernardina & Kalkuhl, Matthias & Koch, Nicolas, 2017. "A tale of two tails: Explaining extreme events in financialized agricultural markets," Food Policy, Elsevier, vol. 69(C), pages 256-269.
  74. Ordu-Akkaya, Beyza Mina & Soytas, Ugur, 2020. "Does foreign portfolio investment strengthen stock-commodity markets connection?," Resources Policy, Elsevier, vol. 65(C).
  75. Filippo Natoli, 2021. "Financialization Of Commodities Before And After The Great Financial Crisis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 488-511, April.
  76. Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun, 2013. "Limits to arbitrage and hedging: Evidence from commodity markets," Journal of Financial Economics, Elsevier, vol. 109(2), pages 441-465.
  77. Bierbaumer, Daniel & Rieth, Malte & Velinov, Anton, 2021. "The state-dependent trading behavior of banks in the oil futures market," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1011-1024.
  78. Awan, Obaid A., 2019. "Price discovery or noise: The role of arbitrage and speculation in explaining crude oil price behaviour," Journal of Commodity Markets, Elsevier, vol. 16(C).
  79. Matteo Bonato & Luca Taschini, 2016. "Comovement and the financialization of commodities," GRI Working Papers 215, Grantham Research Institute on Climate Change and the Environment.
  80. Uddin, Gazi Salah & Bekiros, Stelios & Ahmed, Ali, 2018. "The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 30-39.
  81. Brunetti, Celso & Büyükşahin, Bahattin & Harris, Jeffrey H., 2016. "Speculators, Prices, and Market Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(5), pages 1545-1574, October.
  82. Mixon, Scott & Onur, Esen & Riggs, Lynn, 2018. "Integrating swaps and futures: A new direction for commodity research," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 3-21.
  83. Covindassamy, Genevre & Robe, Michel A. & Wallen, Jonathan, 2016. "Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty," IDB Publications (Working Papers) 8588, Inter-American Development Bank.
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  85. Takashi Kanamura, 2023. "Portfolio diversification and sustainable assets from new perspectives," Journal of Asset Management, Palgrave Macmillan, vol. 24(7), pages 581-600, December.
  86. Ramesh Adhikari & Kyle J. Putnam, 2024. "Financial Market Stress and Commodity Returns: A Dynamic Approach," Commodities, MDPI, vol. 3(1), pages 1-23, January.
  87. Mikhail Stolbov & Maria Shchepeleva, 2021. "Macrofinancial linkages in Europe: Evidence from quantile local projections," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5557-5569, October.
  88. Daniel Bierbaumer & Malte Rieth & Anton Velinov, 2018. "Nonlinear Intermediary Pricing in the Oil Futures Market," Discussion Papers of DIW Berlin 1722, DIW Berlin, German Institute for Economic Research.
  89. Michael Hachula & Malte Rieth, 2017. "Identifying Speculative Demand Shocks in Commodity Futures Markets through Changes in Volatility," Discussion Papers of DIW Berlin 1646, DIW Berlin, German Institute for Economic Research.
  90. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
  91. Wimmer, Thomas & Geyer-Klingeberg, Jerome & Hütter, Marie & Schmid, Florian & Rathgeber, Andreas, 2021. "The impact of speculation on commodity prices: A Meta-Granger analysis," Journal of Commodity Markets, Elsevier, vol. 22(C).
  92. Dwight R. Sanders & Scott H. Irwin, 2017. "Bubbles, Froth and Facts: Another Look at the Masters Hypothesis in Commodity Futures Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 68(2), pages 345-365, June.
  93. Lyu, Yongjian & Yi, Heling & Wei, Yu & Yang, Mo, 2021. "Revisiting the role of economic uncertainty in oil price fluctuations: Evidence from a new time-varying oil market model," Economic Modelling, Elsevier, vol. 103(C).
  94. Bernardina Algieri, 2021. "Fast & furious: Do psychological and legal factors affect commodity price volatility?," The World Economy, Wiley Blackwell, vol. 44(4), pages 980-1017, April.
  95. Jacobs, Keri & Li, Ziran & Hayes, Dermot, 2016. "Price Responses in Forward Contracting: Do We Limit The Upside And Expose The Downside?," ISU General Staff Papers 201601010800001017, Iowa State University, Department of Economics.
  96. Kenneth J. Singleton, 2014. "Investor Flows and the 2008 Boom/Bust in Oil Prices," Management Science, INFORMS, vol. 60(2), pages 300-318, February.
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  122. Borg, Elin & Kits, Ilya & Junttila, Juha & Uddin, Gazi Salah, 2022. "Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions," Renewable Energy, Elsevier, vol. 190(C), pages 879-892.
  123. Laurent Barras & Aytek Malkhozov, 2015. "Does variance risk have two prices? Evidence from the equity and option markets," BIS Working Papers 521, Bank for International Settlements.
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  126. Idilbi-Bayaa, Yasmeen & Qadan, Mahmoud, 2022. "What the current yield curve says, and what the future prices of energy do," Resources Policy, Elsevier, vol. 75(C).
  127. Adams, Zeno & Glueck, Thorsten, 2014. "Financialization in Commodity Markets: A Passing Trend or the New Normal?," Working Papers on Finance 1413, University of St. Gallen, School of Finance, revised Aug 2015.
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