New institutional players entered the futures markets with additional important capital inflows from 2000s onwards. Generally labeled by the term financialisa¬tion of commodity markets, integration between traditional financial assets and futures markets raised several concerns for potential spillover effects on commodity price levels and return volatilities. The aim of this paper is to empirically investigate the plausibility of a lead-lag relationship ignited by institutional investors portfolio management strategies. In order to pursue this goal, a cross-correlation function (ccf) is applied to Stock Exchange Indexes and main international commodity spot prices. The key findings are that the overall effects of such an increased integration/participation appear quite controversial. Oil seem to support (with weak signals detected) this reaction mechanism. Substantially, not significant results are observable for industrial and agricultural commodities.

Institutional investors’ stocks portfolio strategies and commodity prices: a cross-correlation analysis in a financialisation context

Focacci A.
2019

Abstract

New institutional players entered the futures markets with additional important capital inflows from 2000s onwards. Generally labeled by the term financialisa¬tion of commodity markets, integration between traditional financial assets and futures markets raised several concerns for potential spillover effects on commodity price levels and return volatilities. The aim of this paper is to empirically investigate the plausibility of a lead-lag relationship ignited by institutional investors portfolio management strategies. In order to pursue this goal, a cross-correlation function (ccf) is applied to Stock Exchange Indexes and main international commodity spot prices. The key findings are that the overall effects of such an increased integration/participation appear quite controversial. Oil seem to support (with weak signals detected) this reaction mechanism. Substantially, not significant results are observable for industrial and agricultural commodities.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/708201
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