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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CitationKartsakli, 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). Statisticshttps://www.alexandria.unisg.ch/id/eprint/250782
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