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 25 Aug 2020 00:23
URI: https://www.alexandria.unisg.ch/publications/250782

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Citation

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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