| Residential College | false |
| Status | 已發表Published |
| Financialization and Commodity Markets Serial Dependence | |
Da, Zhi1; Tang, Ke2; Tao, Yubo3 ; Yang, Liyan4
| |
| 2024-04 | |
| Source Publication | Management Science
 |
| ABS Journal Level | 4* |
| ISSN | 0025-1909 |
| Volume | 70Issue:4Pages:2122-2143 |
| Contribution Rank | 1 |
| Abstract | Recent financialization in commodity markets makes it easier for institutional investors to trade a portfolio of commodities via various commodity-indexed products. We present several pieces of novel causal evidence that daily exposure to such index trading results in price overshoots and reversals, as reflected in negative daily return autocorrelations, only among commodities in that index. This is because index trading propagates non-fundamental noise to all indexed commodities. We present direct evidence for such noise propagation using commodity news sentiment data. |
| Keyword | Financialization Return Autocorrelations News Sentiment Etf Arbitrage Return Autocorrelations Index Trading |
| DOI | 10.1287/mnsc.2023.4797 |
| URL | View the original |
| Indexed By | SCIE ; SSCI |
| Language | 英語English |
| Funding Project | Machine Learning-Based Modeling of Trading Volume and Volatility |
| WOS Research Area | Business & Economics ; Operations Research & Management Science |
| WOS Subject | Management ; Operations Research & Management Science |
| WOS ID | WOS:000995796500001 |
| Publisher | INFORMS, 5521 RESEARCH PARK DR, SUITE 200, CATONSVILLE, MD 21228 |
| Scopus ID | 2-s2.0-85191347330 |
| Fulltext Access | |
| Citation statistics | |
| Document Type | Journal article |
| Collection | Faculty of Social Sciences DEPARTMENT OF ECONOMICS ASIA-PACIFIC ACADEMY OF ECONOMICS AND MANAGEMENT |
| Corresponding Author | Yang, Liyan |
| Affiliation | 1.Department of Finance, Mendoza College of Business, University of Notre Dame 2.Institute of Economics, Faculty of Social Sciences, Tsinghua University 3.Department of Economics, Faculty of Social Sciences, University of Macau 4.Department of Finance, Joseph L. Rotman School of Management, University of Toronto |
| Recommended Citation GB/T 7714 | Da, Zhi,Tang, Ke,Tao, Yubo,et al. Financialization and Commodity Markets Serial Dependence[J]. Management Science, 2024, 70(4), 2122-2143. |
| APA | Da, Zhi., Tang, Ke., Tao, Yubo., & Yang, Liyan (2024). Financialization and Commodity Markets Serial Dependence. Management Science, 70(4), 2122-2143. |
| MLA | Da, Zhi,et al."Financialization and Commodity Markets Serial Dependence".Management Science 70.4(2024):2122-2143. |
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