Current financialization process involving commodity markets spurred controversial issues among policy-makers, practitioners and scholars about spillover effects on the price levels, and inherent consequences on the whole economy. In this debate, it is possible to distinguish between two basic and different positions. On one side are “financialization supporters” advocating the influence of institu¬tional investors’ portfolio management strategies. On the opposite, are all those considering traditional economic factors linked to supply-demand imbalances. In the present paper, with the aim to contribute to the discussion, a cross-correlation function (ccf) is applied between Stock Exchange Indexes and main international quoted industrial prices to investigate the lead-lag relationship resulting from the new potential asset linkages. In order to propose a wide analysis, data pertaining some industrialized Countries (Germany, United Kingdom and United States) as well as some important developing Countries (Brazil, China and India) are processed.
CROSS-CORRELATION ANALYSIS OF FINANCIALIZATION WITHIN INTERNATIONAL MAIN INDUSTRIAL METALS MARKETS / Focacci A.. - STAMPA. - (2018), pp. 5-16. (Intervento presentato al convegno MIRDEC 7th International Academic Conference on Social Science, Multidisciplinary and Globalization Studies tenutosi a Madrid nel 26-29 March 2018).
CROSS-CORRELATION ANALYSIS OF FINANCIALIZATION WITHIN INTERNATIONAL MAIN INDUSTRIAL METALS MARKETS
Focacci A.
2018
Abstract
Current financialization process involving commodity markets spurred controversial issues among policy-makers, practitioners and scholars about spillover effects on the price levels, and inherent consequences on the whole economy. In this debate, it is possible to distinguish between two basic and different positions. On one side are “financialization supporters” advocating the influence of institu¬tional investors’ portfolio management strategies. On the opposite, are all those considering traditional economic factors linked to supply-demand imbalances. In the present paper, with the aim to contribute to the discussion, a cross-correlation function (ccf) is applied between Stock Exchange Indexes and main international quoted industrial prices to investigate the lead-lag relationship resulting from the new potential asset linkages. In order to propose a wide analysis, data pertaining some industrialized Countries (Germany, United Kingdom and United States) as well as some important developing Countries (Brazil, China and India) are processed.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
