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Diversification And Financialization In Commodity Markets
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Book Synopsis Diversification and Financialization in Commodity Markets by : Yong Chen
Download or read book Diversification and Financialization in Commodity Markets written by Yong Chen and published by . This book was released on 2019 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine commodity trading advisors (CTAs) to understand the causes and consequences of the financialization of commodity markets. We find that CTAs can hedge against stock market tail risk and that CTAs with better hedging properties attract more investor flows. Meanwhile, the aggregate CTA size is positively associated with their return comovement with stocks, implying declined diversification benefits with increased capital in commodity markets. Exploiting exogenous shocks to cross-market hedging demand, we present causal evidence that hedging motivated trades in commodities increase the commodity-stock return comovement. Overall, our findings highlight the link between dynamics of diversification benefits and commodity financialization.
Book Synopsis The Financialization of Commodity Markets by : A. Zaremba
Download or read book The Financialization of Commodity Markets written by A. Zaremba and published by Springer. This book was released on 2015-04-01 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: The landscape of commodity markets has drastically changed in recent years. Once a market of refineries and mines, it has become the market of investment funds and commodity trading advisors. Given this transformation, are commodity investments still as beneficial as 20 or 30 years ago? This book is an attempt to answer these questions.
Book Synopsis Financialization of Commodity by : Mohammad Isleimeyyeh
Download or read book Financialization of Commodity written by Mohammad Isleimeyyeh and published by . This book was released on 2017 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the role of financial investors on commodity markets, which is referred as financialization of commodity. The content of the dissertation splits to theoretical and empirical work. The implemented researches are motivated by the participation of investors, who own stock portfolios, in commodity futures markets for diversification reasons. Furthermore, that diversification is likely achieved by investing in a basket of commodities. The first chapter investigates, theoretically, the interaction between commodity and stock markets. The second chapter studies, empirically, the impact of financial investors on the commodities futures risk premium. It focuses on studying three commodities: crude oil (WTI), heating oil and natural gas. The third chapter examines, theoretically, the integration between two commodity markets. We clarify the hesitating of the previous literature in finding evidences of the impact of financialization. We confirm the influential power of investment in commodity market. However, that depends on the financial investors positions taken in the futures market. Generally, financialization increases the spot prices, the futures prices and inventory levels. We find, also, that investors are a transmission channel between commodity markets. Their effects spread out restricted to the cross commodity markets correlation. Finally, stock market returns became effective determinant of the futures risk premium after 2008 financial crisis. Also, the effect of the stock returns indifferent between short and long maturities.
Book Synopsis Financialisation Impacting Diversification? Evidence from Indian Equity & Commodity Markets by : Narsimhulu Siddula
Download or read book Financialisation Impacting Diversification? Evidence from Indian Equity & Commodity Markets written by Narsimhulu Siddula and published by . This book was released on 2016 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors are constantly looking at diversification of risks by combining equities with other assets in their portfolio. Apart from fixed income securities and real estate related instruments, commodities are also being increasingly used as a portfolio diversification strategy. But the overwhelming presence of financial institutions and funds in the commodity markets has resulted in financialisation of commodity markets leading to a greater correlation between equities and commodities especially during recession. This has lead to a reduction in diversification benefits. The paper attempts to study the diversification benefits of investing both in Indian commodities and equities markets in different economic environments using VAR Impulse Response Functions with an aim to find out whether financialization exists. The research found that there was absence of interdependence between the Indian equity and commodities markets which offered a good opportunity for diversification. Also the equities market and commodities market during recession were totally decoupled which showed that the financialization was not present in Indian commodities market and there was a greater scope for diversification during the recession.
Download or read book Commodities written by Harold Kent Baker and published by Oxford University Press. This book was released on 2018 with total page 681 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities: Markets, Performance, and Strategies provides a comprehensive look at commodity markets along many dimensions. Its coverage includes physical commodity fundamentals, financial products and strategies for commodity exposure, and current issues relating to commodities. Readers interested in commodity market basics or more nuanced details related to commodity investment can benefit.
Book Synopsis Portfolio Diversification with Commodities in Times of Financialization by : Adam Zaremba
Download or read book Portfolio Diversification with Commodities in Times of Financialization written by Adam Zaremba and published by . This book was released on 2015 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study concentrates on the benefits of passive commodity investments in the context of the phenomenon of financialization. The research investigates the implications of increase in the correlation coefficients between equity and commodity investments for investors in financial markets. The paper is composed of several parts. First, the attributes of commodity investments and their benefits in the portfolio optimization are explored. Second, the phenomenon of the financialization is described and the research hypothesis is developed. Next, an empirical analysis is performed. I simulate the mean-variance spanning tests to examine the benefits of commodity investments before and after accounting for the impact of financialization. I proceed separate analysis for pre- and post-financialization period. The empirical research is based on asset classes' returns and other related variables from years 1991-2012. The performed investigations indicate that the market financialization may have significant implications for commodity investors. Due to increase in correlation coefficients, the inclusion of the commodity futures in the traditional stockbond portfolio appears to be no longer reasonable.
Book Synopsis Has the Financialization of the Commodity Markets Reduced the Equity Diversification Benefits of Commodity Derivatives? by : Joe McGrath
Download or read book Has the Financialization of the Commodity Markets Reduced the Equity Diversification Benefits of Commodity Derivatives? written by Joe McGrath and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Commodity Markets and the Global Economy by : Blake C. Clayton
Download or read book Commodity Markets and the Global Economy written by Blake C. Clayton and published by Cambridge University Press. This book was released on 2016 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a clear-eyed analysis of questions at the intersection of commodity markets, natural resource economics, and public policy.
Book Synopsis The Handbook of Commodity Investing by : Frank J. Fabozzi
Download or read book The Handbook of Commodity Investing written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2008-07-08 with total page 1018 pages. Available in PDF, EPUB and Kindle. Book excerpt: Filled with a collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. The handbook covers a range of issues, including the risk and return of commodities and diversification benefits.
Book Synopsis Financial Markets for Commodities by : Joel Priolon
Download or read book Financial Markets for Commodities written by Joel Priolon and published by John Wiley & Sons. This book was released on 2019-01-03 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: Agricultural, energy or mineral commodities are traded internationally in two market categories: physical markets and financial markets. More specifically, on the financial markets, contracts are negotiated, the price of which depends on the price of a commodity. These contracts are called derivatives (futures, options contracts, swaps). This book presents, on the one hand, the characteristics of these derivatives and the markets on which they are traded and, on the other hand, those transactions that typically combine an action on the physical market and a transaction on the corresponding financial market. The understanding of commodity financial markets mainly relies on the resources of economic analysis, especially the financial economy, because the use of this discipline is essential to understanding the major operations that are conducted daily by the operators of these markets: traders, producers, processors, financiers.
Book Synopsis Financialisation of the Commodity Markets by :
Download or read book Financialisation of the Commodity Markets written by and published by . This book was released on 2015 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financialization and Style Investing in Commodity Markets by : Frederic Engelen
Download or read book Financialization and Style Investing in Commodity Markets written by Frederic Engelen and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the early 2000s, commodity markets have experienced an unprecedented inflow of investments from investors who were traditionally allocated to equities and bonds. As commodity futures markets became more integrated with other financial markets, the price behavior of commodities began to resemble that of financial assets. This change in behavior, often referred to as the "financialization of commodities", has since been subject to a large body of academic research. This thesis applies the state-dependent sensitivity value at risk (SDSVar) model proposed by Adams and Glück (2015) to investigate whether commodity financialization still persists today. It is shown that commodity prices, on average, remain sensitive to shocks in equity markets. The level of risk spillover varies greatly between commodities, and some sectors such as energy and metals appear to be more vulnerable than others, such as the agricultural sector. However, the results also show a strong relationship between financialization and investment inflows. The results of this thesis support the hypothesis that commodities have become an investment style for investors and that the change in price behavior will therefore likely persist as long as investors channel funds into commodity markets.
Book Synopsis Handbook of Multi-Commodity Markets and Products by : Andrea Roncoroni
Download or read book Handbook of Multi-Commodity Markets and Products written by Andrea Roncoroni and published by John Wiley & Sons. This book was released on 2015-02-17 with total page 1067 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Multi-Commodity Markets and ProductsOver recent decades, the marketplace has seen an increasing integration, not only among different types of commodity markets such as energy, agricultural, and metals, but also with financial markets. This trend raises important questions about how to identify and analyse opportunities in and manage risks of commodity products. The Handbook of Multi-Commodity Markets and Products offers traders, commodity brokers, and other professionals a practical and comprehensive manual that covers market structure and functioning, as well as the practice of trading across a wide range of commodity markets and products. Written in non-technical language, this important resource includes the information needed to begin to master the complexities of and to operate successfully in today’s challenging and fluctuating commodity marketplace. Designed as a practical practitioner-orientated resource, the book includes a detailed overview of key markets – oil, coal, electricity, emissions, weather, industrial metals, freight, agricultural and foreign exchange – and contains a set of tools for analysing, pricing and managing risk for the individual markets. Market features and the main functioning rules of the markets in question are presented, along with the structure of basic financial products and standardised deals. A range of vital topics such as stochastic and econometric modelling, market structure analysis, contract engineering, as well as risk assessment and management are presented and discussed in detail with illustrative examples to commodity markets. The authors showcase how to structure and manage both simple and more complex multi-commodity deals. Addressing the issues of profit-making and risk management, the book reveals how to exploit pay-off profiles and trading strategies on a diversified set of commodity prices. In addition, the book explores how to price energy products and other commodities belonging to markets segmented across specific structural features. The Handbook of Multi-Commodity Markets and Products includes a wealth of proven methods and useful models that can be selected and developed in order to make appropriate estimations of the future evolution of prices and appropriate valuations of products. The authors additionally explore market risk issues and what measures of risk should be adopted for the purpose of accurately assessing exposure from multi-commodity portfolios. This vital resource offers the models, tools, strategies and general information commodity brokers and other professionals need to succeed in today’s highly competitive marketplace.
Book Synopsis Financialization and De-Financialization of Commodity Futures by : Robert J. Bianchi
Download or read book Financialization and De-Financialization of Commodity Futures written by Robert J. Bianchi and published by . This book was released on 2019 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the relationship between commodity futures and global stocks. For the first time, we examine the financialization of commodity futures by employing a quantile regression approach. From 2004-2013, we confirm a strong degree of dependence in energy commodities with moderate effects in metals and lesser magnitudes in agriculturals. During the 2008-2009 global financial crisis, our findings show a strengthening in the financialization of energy commodities while there were weaker effects in agriculturals and a decoupling or de-financialization in metal markets. With the recent closure of commodity trading units in Wall Street in 2013, the findings reveal the de-financialization of metals and agricultural markets from 2014-2017. Overall, our findings cast doubt on the diversification benefits of energy-dominated commodity indices after 2013. We argue the impact of financialization on commodity futures markets is more permanent than previously thought.
Book Synopsis Comovement, Index Investing and the Financialization of Commodities by : Matteo Bonato
Download or read book Comovement, Index Investing and the Financialization of Commodities written by Matteo Bonato and published by . This book was released on 2018 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last two decades, commodity indices have been increasingly used to achieve investment portfolio diversification. At the same time, the rise in the popularity of these indices has prompted questions on whether commodities remained segmented from traditional financial asset markets, which can affect diversification decisions. Using futures data from 1998 to 2017 for 25 US-traded commodities, we find a statistically significant increase in comovement among non-energy index-commodities. This increase is only temporary. In contrast, no change in comovement is observed for off-index commodities over the entire period. Off-commodities, in other words, are the only one remaining segmented. Our results are robust to alternative explanations - non-trading effects and common supply characteristics. The analysis of high-frequency returns dynamics reinforces the results. Such comovement 'index effect' is in line with the predictions of theoretical models of the financialization of commodity markets and consistent with the role of style investing.
Book Synopsis Financialization of the Commodities Futures Markets and Its Effects on Prices by : Manisha Pradhananga
Download or read book Financialization of the Commodities Futures Markets and Its Effects on Prices written by Manisha Pradhananga and published by . This book was released on 2014 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: After declining for almost three decades, the food price index of the Food and Agricultural Organization (FAO) rose by 90 percent between January 2002 and June 2008. Besides the magnitude, the rise in prices was remarkable for its breadth, affecting a broad range of commodities including agricultural (wheat, corn, soybeans, cocoa, coffee), energy (crude oil, gasoline), and metals (copper, aluminum). According to the US Department of Agriculture, this price spike was responsible for increasing the number of malnourished people by 80 million. These dramatic developments in prices coincided with a rapid inflow of investment into the commodities futures market -- the number of open contracts between 2001 and June 2008 increased by more than six-fold, from around 6 million to 37 million. The new investment was primarily driven by portfolio diversification motives of a new class of traders who were neither producers nor direct consumers of the underlying commodities. This dissertation examines the potential causal links between this financialization of the commodities futures market and the 2008 global spike in food prices and other commodities. The dissertation consists of three major chapters. The second chapter analyses the relationship between spot and futures markets for a range of commodities. The third and fourth chapters seek to understand the role of financialization in causing the 2008 price developments. Chapter 3 explores commodity markets individually, studying the correlation between the inflow of liquidity and price changes. Chapter 4 studies the issue at a more macro level by investigating if the inflow of investment can explain the increase in comovement of prices between unrelated commodities. My results show that i) for many commodities, prices are determined in the futures markets, and ii) financialization of the futures market was an important factor in causing the 2008 price rises for a range of commodities. These results underscore the increasingly important role of financial motive, financial markets, and financial instruments in the operation of the commodities market. The findings are especially relevant with respect to debates as to the relative efficiency of financial markets and the need to regulate them.
Book Synopsis Commodity Trading Advisors by : Greg N. Gregoriou
Download or read book Commodity Trading Advisors written by Greg N. Gregoriou and published by John Wiley & Sons. This book was released on 2011-09-02 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Authoritative, up-to-date research and analysis that provides a dramatic new understanding of the rewards-and risks-of investing in CTAs Commodity Trading Advisors (CTAs) are an increasingly popular and potentially profitable investment alternative for institutional investors and high-net-worth individuals. Commodity Trading Advisors is one of the first books to study their performance in detail and analyze the "survivorship bias" present in CTA performance data. This book investigates the many benefits and risks associated with CTAs, examining the risk/return characteristics of a number of different strategies deployed by CTAs from a sophisticated investor's perspective. A contributed work, its editors and contributing authors are among today's leading voices on the topic of commodity trading advisors and a veritable "Who's Who" in hedge fund and CTA research. Greg N. Gregoriou (Plattsburgh, NY) is a Visiting Assistant Professor of Finance and Research Coordinator in the School of Business and Economics at the State University of New York. Vassilios N. Karavas (Amherst, MA) is Director of Research at Schneeweis Partners. Francois-Serge Lhabitant (Coppet, Switzerland) is a FAME Research Fellow, and a Professor of Finance at EDHEC (France) and at HEC University of Lausanne (Switzerland). Fabrice Rouah (Montreal, Quebec) is Institut de Finance Mathématique de Montréal Scholar in the finance program at McGill University.
