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Index Investment and Financialization of Commodities
Open accessAbstract
This paper finds that concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of different commodities in the US became increasingly correlated with each other and this trend was significantly more pronounced for commodities in the two popular GSCI and DJ-UBS commodity indices. This finding reflects a financialization process of commodities markets and helps explain the synchronized price boom and bust of a broad set of seemingly unrelated commodities in the US in 2006-2008. In contrast, such commodity price comovements were absent in China, which refutes growing commodity demands from emerging economies as the driver.
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Citations
Cited by
Financialization, crisis and commodity correlation dynamics
Silvennoinen, A., & Thorp, S. (2013) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2012.11.007 · Cited by 650
A model of financialization of commodities
BASAK, S., & PAVLOVA, A. (2016) · The Journal of Finance · doi:10.1111/jofi.12408 · Cited by 595
Index Funds, Financialization, and Commodity Futures Markets
Irwin, S. H., & Sanders, D. R. (2011) · Applied Economic Perspectives and Policy · doi:10.1093/aepp/ppq032 · Cited by 488
Cherp, A., & Jewell, J. (2011) · Current Opinion in Environmental Sustainability · doi:10.1016/j.cosust.2011.07.001 · Cited by 367
Effects of Index-fund Investing on Commodity Futures Prices
Hamilton, J. D., & Wu, J. C. (2015) · International Economic Review · doi:10.1111/iere.12099 · Cited by 241
Metadata
- Authors
- Tang, K., & Xiong, W.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 2010-09
- OpenAlex
- W2969793651
- Cited by
- 723
- References
- 0
- Type
- report
- Language
- en
- Open access
- green
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- Tang, K., & Xiong, W. (2010). Index Investment and Financialization of Commodities. National Bureau of Economic Research. https://doi.org/10.3386/w16385
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
