Have Commodities Become a Financial Asset? Evidence from Ten Years of Financialization

Item Type	Journal paper
Abstract	The financialization of commodity markets over the last decade has changed the behavior of commodity prices in fundamental ways. In this paper, we uncover the gradual transformation of commodities from a physical to a financial asset. Although economic demand and supply factors continue to play an important role, recent indicators associated with financialization have emerged since 2008. We show that financial variables have become the main driving factors explaining the variation in commodity returns and volatility today. Our findings have important implications for portfolio analysis and for the effectiveness of hedging in commodity markets.
Authors	Kartsakli, Maria; Adams, Zeno & Collot, Solène Marine Sophie
Journal or Publication Title	Energy Economics
Language	English
Keywords	Crude oil; commodities; financialization; R-squared decomposition
Subjects	business studies economics finance
HSG Classification	contribution to scientific community
HSG Profile Area	SOF - System-wide Risk in the Financial System
Refereed	Yes
Date	June 2020
Publisher	Elsevier
Volume	Volume 89, June 2020, 104769
Number	89
Number of Pages	20
Publisher DOI	https://doi.org/10.1016/j.eneco.2020.104769
Official URL	https://www.sciencedirect.com/science/article/pii/...
Contact Email Address	zeno.adams@unisg.ch
Depositing User	Beatrix Kobelt-Glock
Date Deposited	02 May 2017 09:57
Last Modified	20 Jul 2022 17:30
URI:	https://www.alexandria.unisg.ch/publications/250782

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Kartsakli, Maria; Adams, Zeno & Collot, Solène Marine Sophie (2020) Have Commodities Become a Financial Asset? Evidence from Ten Years of Financialization. Energy Economics, Volume 89, June 2020, 104769 (89).

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https://www.alexandria.unisg.ch/id/eprint/250782

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