Accounting & Finance Seminar: Financialization of commodities: an asset pricing perspective.

Event Date: 18 February 2015

Accounting & Finance Research Seminar

Presenter: Olivier Bautheac, University of Strathclyde

Abstract:

We analyze the effects of financialization on commodity futures prices using asset pricing techniques. We find increased co-movement between a selected group of commodities, and identify phases in which these effects were particularly pronounced. Our analysis provides a link between financialization, co-movement and hedging pressure which may be useful to researchers in economics and finance studying the effects of financialization and allows us to isolate a sub-set of commodities that appear to have been most directly affected by financialization

Published: 4 November 2015