From 2000s onwards, new institutional players have massively entered the futures markets with important capital inflows. Such professional newcomers followed investment strategies on commodity indexes as they used to do for traditional stocks and bonds. Generally labeled by the term financializa¬tion of commodity markets, integration between traditional financial assets and futures markets has spurred several concerns for potential spillover effects on commodity price levels and return volatilities. Using a Vector Autoregressive (VAR) approach applied to datasets referred to the conventional pre- and post financialization periods, we empirically investigate whether management strategies implemented by non-commercial traders may be identified as a key factor in affecting oil price paths.

Focacci A. (2021). HAVE INSTITUTIONAL INVESTORS STOCKS PORTFOLIO STRATEGIES AFFECTED OIL PRICES IN A FINANCIALIZATION CONTEXT?. STUDIES IN ECONOMICS AND FINANCE, 38(5), 1007-1039 [10.1108/SEF-02-2021-0062].

HAVE INSTITUTIONAL INVESTORS STOCKS PORTFOLIO STRATEGIES AFFECTED OIL PRICES IN A FINANCIALIZATION CONTEXT?

Focacci A.
2021

Abstract

From 2000s onwards, new institutional players have massively entered the futures markets with important capital inflows. Such professional newcomers followed investment strategies on commodity indexes as they used to do for traditional stocks and bonds. Generally labeled by the term financializa¬tion of commodity markets, integration between traditional financial assets and futures markets has spurred several concerns for potential spillover effects on commodity price levels and return volatilities. Using a Vector Autoregressive (VAR) approach applied to datasets referred to the conventional pre- and post financialization periods, we empirically investigate whether management strategies implemented by non-commercial traders may be identified as a key factor in affecting oil price paths.
2021
Focacci A. (2021). HAVE INSTITUTIONAL INVESTORS STOCKS PORTFOLIO STRATEGIES AFFECTED OIL PRICES IN A FINANCIALIZATION CONTEXT?. STUDIES IN ECONOMICS AND FINANCE, 38(5), 1007-1039 [10.1108/SEF-02-2021-0062].
Focacci A.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/835393
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