Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/284742 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Futures Markets [ISSN:] 1096-9934 [Volume:] 41 [Issue:] 12 [Year:] 2021 [Pages:] 1988-2008
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
Commodity financialization has been a subject of discussion since the 2008 financial crisis. It is estimated that between 2003 and 2008, index investorsʼ positions increased from $13 billion to $317 billion. Surprisingly, most studies, predominantly based on Granger‐causality testing, find no relationship between financialization and commodity prices. We examine the effects of shocks to the common stochastic trends in the index positions, the spot and futures prices of Chicago corn and soybeans, WTI crude oil and Henry Hub natural gas. The results show that financialization has contributed to the price movements of these commodities.
Subjects: 
commodities
common trends
financialization
futures prices
index investors
spot prices
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
Document Version: 
Published Version

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