Financialization of commodity markets ten years later

doi:10.1016/j.jcomm.2023.100313

Residential College	false
Status	已發表Published
	Financialization of commodity markets ten years later
	Kang, Wenjin 1; Tang, Ke 2; Wang, Ningli 2
	2023-06-01
Source Publication	Journal of Commodity Markets
ISSN	2405-8513
Volume	30
Abstract	In this study, we examine whether the key findings in Tang and Xiong (2012) hold in the more recent sample years after their publication. We also explore the impact of financialization on different aspects of commodity futures markets in more detail. Our analysis shows that financialization leads to a significant increase of the correlation between the commodity and stock market returns. This return correlation structure change is robust to different commodity and stock market return computation methods, and is persistent for the more recent post-Tang-and-Xiong-(2012) subsample period. We find that after financialization, the importance of non-commercial traders elevates, the pairwise correlation between the indexed commodity futures increases, and the basis becomes more negative on commodity futures markets.
Keyword	Basis Commodity markets Cross-market return correlation Financialization Pairwise return correlation Traders composition
DOI	10.1016/j.jcomm.2023.100313
URL	View the original
Language	英語English
Scopus ID	2-s2.0-85153480031
Fulltext Access	View Full-Text via DOI View Full-Text via Web of Science View Full-Text via Scopus
Citation statistics
Document Type	Journal article
Collection	University of Macau
Affiliation	1.Department of Finance and Business Economics, Faculty of Business Administration, University of Macau, Macau SAR, China 2.Institute of Economics, School of Social Sciences, Tsinghua University, Beijing, 100084, China
First Author Affilication	Faculty of Business Administration
Recommended Citation GB/T 7714	Kang, Wenjin,Tang, Ke,Wang, Ningli. Financialization of commodity markets ten years later[J]. Journal of Commodity Markets, 2023, 30.
APA	Kang, Wenjin., Tang, Ke., & Wang, Ningli (2023). Financialization of commodity markets ten years later. Journal of Commodity Markets, 30.
MLA	Kang, Wenjin,et al."Financialization of commodity markets ten years later".Journal of Commodity Markets 30(2023).

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