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Global Commodity Markets - Price Volatility and Financialisation

Citations

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Cited by:

  1. Yonggu Kim & Keeyoung Shin & Joseph Ahn & Eul-Bum Lee, 2017. "Probabilistic Cash Flow-Based Optimal Investment Timing Using Two-Color Rainbow Options Valuation for Economic Sustainability Appraisement," Sustainability, MDPI, vol. 9(10), pages 1-16, October.
  2. Tariq Aziz & Ranjeeta Sadhwani & Ume Habibah & Mazin A. M. Al Janabi, 2020. "Volatility Spillover Among Equity and Commodity Markets," SAGE Open, , vol. 10(2), pages 21582440209, May.
  3. Khan, Aftab & Masih, Mansur, 2019. "Do Islamic stocks and commodity markets comove at different investment horizons ? evidence from wavelet time-frequency approach," MPRA Paper 100992, University Library of Munich, Germany.
  4. Allegret, Jean-Pierre & Mignon, Valérie & Sallenave, Audrey, 2015. "Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies," Economic Modelling, Elsevier, vol. 49(C), pages 232-247.
  5. Sadorsky, Perry, 2014. "Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat," Energy Economics, Elsevier, vol. 43(C), pages 72-81.
  6. Osvaldo U. Becerril Torres & Juan Andrés Godínez Enciso & Rosa Azalea Canales García, 2018. "Innovation And Productivity In The Metal-Mechanic Industry Of Mexico, The Current Context, 2010-2016," Economia Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Economicas y Sociales 'Jose Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Economicas, Administrativas y Financieras, Universidad Autonoma Gabriel Rene Moreno, vol. 3(4), pages 55-88.
  7. Saif Siddiqui & Preeti Roy, 2019. "Predicting Volatility and Dynamic Relation Between Stock Market, Exchange Rate and Select Commodities," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 67(6), pages 1597-1611.
  8. Bondatti, Massimiliano & Rillo, Giovanni, 2022. "Commodity tail-risk and exchange rates," Finance Research Letters, Elsevier, vol. 47(PA).
  9. repec:dau:papers:123456789/14980 is not listed on IDEAS
  10. Bekiros, Stelios & Boubaker, Sabri & Nguyen, Duc Khuong & Uddin, Gazi Salah, 2017. "Black swan events and safe havens: The role of gold in globally integrated emerging markets," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 317-334.
  11. Knop, Stephen J. & Vespignani, Joaquin L., 2014. "The sectorial impact of commodity price shocks in Australia," Economic Modelling, Elsevier, vol. 42(C), pages 257-271.
  12. Bernardina Algieri, 2014. "A roller coaster ride: an empirical investigation of the main drivers of the international wheat price," Agricultural Economics, International Association of Agricultural Economists, vol. 45(4), pages 459-475, July.
  13. Akihiro Omura & Neda Todorova, 2019. "The quantile dependence of commodity futures markets on news sentiment," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 818-837, July.
  14. Bekiros, Stelios & Nguyen, Duc Khuong & Sandoval Junior, Leonidas & Uddin, Gazi Salah, 2017. "Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets," European Journal of Operational Research, Elsevier, vol. 256(3), pages 945-961.
  15. Jozef Baruník, Evzen Kocenda and Lukáa Vácha, 2015. "Volatility Spillovers Across Petroleum Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  16. Schalck, Christophe & Chenavaz, Régis, 2015. "Oil commodity returns and macroeconomic factors: A time-varying approach," Research in International Business and Finance, Elsevier, vol. 33(C), pages 290-303.
  17. Alejandro Fonseca Ramírez & Roberto J. Santillan Salgado, 2018. "Incidence Of Minerals Price-Volatility On The Volatility Of The Stock Prices Of The Mining Industry In Mexico (2008-2015)," Economia Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Economicas y Sociales 'Jose Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Economicas, Administrativas y Financieras, Universidad Autonoma Gabriel Rene Moreno, vol. 3(4), pages 1-30.
  18. Mario Virginio Avila Lema & Marco Antonio Vides Oña, 2019. "Regulation Of Interest Rates And Portafolio Quotas In The Bolivian Financial Sistem," Economia Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Economicas y Sociales 'Jose Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Economicas, Administrativas y Financieras, Universidad Autonoma Gabriel Rene Moreno, vol. 4(2), pages 53-80.
  19. Duc Khuong Nguyen & Thomas Walther, 2020. "Modeling and forecasting commodity market volatility with long‐term economic and financial variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
  20. Monoj Kumar Majumder & Mala Raghavan & Joaquin Vespignani, 2020. "Commodity price volatility, fiscal balance and real interest rate," CAMA Working Papers 2020-79, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  21. Sensoy, Ahmet & Hacihasanoglu, Erk & Nguyen, Duc Khuong, 2015. "Dynamic convergence of commodity futures: Not all types of commodities are alike," Resources Policy, Elsevier, vol. 44(C), pages 150-160.
  22. Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2013. "On the short- and long-run efficiency of energy and precious metal markets," Energy Economics, Elsevier, vol. 40(C), pages 832-844.
  23. Westgaard, Sjur & Frydenberg, Stein & Mohanty, Sunil K., 2022. "Fourteen large commodity trading disasters: What happened and what can we learn?," Journal of Commodity Markets, Elsevier, vol. 27(C).
  24. Andrew J. Seltzer, 2021. "Globalisation, migration, trade and growth: Honouring the contribution of Jeff Williamson to Australian and Asia‐Pacific economic history—Guest Editor's introduction," Australian Economic History Review, Economic History Society of Australia and New Zealand, vol. 61(2), pages 128-135, July.
  25. Pablo Matías Herrera & Javier García Fronti, 2019. "Response To A Financial Crisis In Argentina: How To Deal With Wealth Inequality," Economia Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Economicas y Sociales 'Jose Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Economicas, Administrativas y Financieras, Universidad Autonoma Gabriel Rene Moreno, vol. 4(2), pages 1-18.
  26. Terence Tai-Leung Chong & Sunny Chun Tsui & Wing Hong Chan, 2017. "Factor pricing in commodity futures and the role of liquidity," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1745-1757, November.
  27. Majumderad, Monoj Kumar & Raghavan, Mala & Vespignani, Joaquin, 2020. "Oil Curse," MPRA Paper 101138, University Library of Munich, Germany, revised 2020.
  28. Majumder, Monoj Kumar & Raghavan, Mala & Vespignani, Joaquin, 2020. "Oil curse, economic growth and trade openness," Energy Economics, Elsevier, vol. 91(C).
  29. Sit Tsui & Lau Kin Chi & Qiu Jiansheng & Yan Xiaohui & Ji Han & Wen Tiejun, 2017. "Grain Financialization and Food Security: A Chinese Perspective," Agrarian South: Journal of Political Economy, Centre for Agrarian Research and Education for South, vol. 6(3), pages 306-333, December.
  30. Benigno Caballero Claure & Claudia Mabel Bohórquez Coro & Rolando Caballero Martínez, 2019. "Regional Convergence And Economic Growth In China 1978-2013. A Space Analysis," Economia Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Economicas y Sociales 'Jose Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Economicas, Administrativas y Financieras, Universidad Autonoma Gabriel Rene Moreno, vol. 4(1), pages 35-78.
  31. Adam Zaremba, 2015. "Portfolio Diversification with Commodities in Times of Financialization," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 4(1), pages 18-36, January.
  32. Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2012. "Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? Ein Literaturüberblick zum aktuellen Stand der empirischen Forschung," Discussion Papers 2012-26, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
  33. Adam Zaremba, 2021. "Strategic Asset Allocation in the Times of Financialized Commodity Markets," Journal of International Business Research and Marketing, Inovatus Services Ltd., vol. 6(4), pages 19-28, May.
  34. Awaworyi-Churchill, Sefa & Inekwe, John & Ivanovski, Kris & Smyth, Russell, 2022. "Breaks, trends and correlations in commodity prices in the very long-run," Energy Economics, Elsevier, vol. 108(C).
  35. Creti, Anna & Joëts, Marc & Mignon, Valérie, 2013. "On the links between stock and commodity markets' volatility," Energy Economics, Elsevier, vol. 37(C), pages 16-28.
  36. Tom Erik Sønsteng Henriksen & Alois Pichler & Sjur Westgaard & Stein Frydenberg, 2019. "Can commodities dominate stock and bond portfolios?," Annals of Operations Research, Springer, vol. 282(1), pages 155-177, November.
  37. Buncic, Daniel & Moretto, Carlo, 2015. "Forecasting copper prices with dynamic averaging and selection models," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 1-38.
  38. Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Energy Economics, Elsevier, vol. 41(C), pages 1-18.
  39. Algieri, Bernardina, 2013. "A Roller Coaster Ride: an empirical investigation of the main drivers of wheat price," Discussion Papers 145556, University of Bonn, Center for Development Research (ZEF).
  40. Gülin Vardar & Yener Coşkun & Tezer Yelkenci, 2018. "Shock transmission and volatility spillover in stock and commodity markets: evidence from advanced and emerging markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 8(2), pages 231-288, August.
  41. Emma Liliana Navarrete López & Yuliana Gabriela Román Sánchez, 2019. "School Opportunities For Young People In Two Mexican Cities," Economia Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Economicas y Sociales 'Jose Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Economicas, Administrativas y Financieras, Universidad Autonoma Gabriel Rene Moreno, vol. 4(2), pages 19-52.
  42. Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah & Sjö, Bo, 2016. "On the time scale behavior of equity-commodity links: Implications for portfolio management," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 30-46.
  43. Niu, Hongli & Hu, Ziang, 2021. "Information transmission and entropy-based network between Chinese stock market and commodity futures market," Resources Policy, Elsevier, vol. 74(C).
  44. Jean‐Paul Chavas & Jian Li, 2020. "A quantile autoregression analysis of price volatility in agricultural markets," Agricultural Economics, International Association of Agricultural Economists, vol. 51(2), pages 273-289, March.
  45. Enrique Benavides Rosales, 2017. "Time-series and cross-sectional momentum and contrarian strategies within the commodity futures markets," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1339772-133, January.
  46. Carlos Mendez-Guerra, 2018. "Investment Constraints And Productivity Cycles In Bolivia," Economia Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Economicas y Sociales 'Jose Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Economicas, Administrativas y Financieras, Universidad Autonoma Gabriel Rene Moreno, vol. 3(4), pages 31-54.
  47. Lee, Dongwon, 2023. "Commodity terms of trade volatility and industry growth," European Economic Review, Elsevier, vol. 156(C).
  48. Omura, Akihiro & Li, Bin & Chung, Richard & Todorova, Neda, 2018. "Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals," Economic Modelling, Elsevier, vol. 70(C), pages 496-510.
  49. Knop, Stephen J & Vespignani, Joaquin L., 2014. "Industrial Impact of Commodity Price Shocks in Australia," MPRA Paper 104678, University Library of Munich, Germany.
  50. Drachal, Krzysztof, 2018. "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, vol. 74(C), pages 208-251.
  51. Henry Leung & Frank Furfaro, 2020. "Comovement of dairy product futures and firm value: returns and volatility," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 64(3), pages 632-654, July.
  52. Khan, Aftab & Masih, Mansur, 2014. "Correlation between Islamic stock and Commodity markets: An investigation into the impact of financial crisis and financialization of commodity markets," MPRA Paper 56979, University Library of Munich, Germany.
  53. Mofleh Alshogeathri & Jamel Jouini, 2017. "Linkages Between Equity and Global Food Markets: New Evidence from Including Structural Changes," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(3), pages 166-198, June.
  54. Juan Alberto Vázquez Muñoz & Alejandro Adán Chávez Palma & Josué Zavaleta González, 2019. "Capital Accumulation And The Endogeneity Of The Natural Rate Of Growth: An Application For The Mexican Economy And Its States," Economia Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Economicas y Sociales 'Jose Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Economicas, Administrativas y Financieras, Universidad Autonoma Gabriel Rene Moreno, vol. 4(1), pages 1-34.
  55. Jena, Pratap Kumar, 2015. "Commodity Prices and Macroeconomic Variables in India: An Auto-Regressive Distributed Lag (ARDL) Approach," MPRA Paper 73892, University Library of Munich, Germany.
  56. Martin Enilov & Giorgio Fazio & Atanu Ghoshray, 2023. "Global connectivity between commodity prices and national stock markets: A time‐varying MIDAS analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2607-2619, July.
  57. Basher, Syed Abul & Sadorsky, Perry, 2016. "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," Energy Economics, Elsevier, vol. 54(C), pages 235-247.
  58. Andreasson, Pierre & Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah, 2016. "Impact of speculation and economic uncertainty on commodity markets," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 115-127.
  59. Wajdi Hamma & Ahmed Ghorbel & Anis Jarboui, 2021. "Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 179-199, May.
  60. Mensi, Walid & Al Rababa'a, Abdel Razzaq & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets," Energy Economics, Elsevier, vol. 98(C).
  61. Jorge Luis Moranchel-Bustos & Yolanda Carbajal Suárez, 2019. "Factors That Determine The Development Of A Territory," Economia Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Economicas y Sociales 'Jose Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Economicas, Administrativas y Financieras, Universidad Autonoma Gabriel Rene Moreno, vol. 4(1), pages 79-114.
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