SAIF Regular Seminar Series (43)
Topic: SAIF Regular Seminar Series (43)
Time: Friday , 2011-07-08 12:00-08:00
Venue:
Speaker: ,
Affiliations: Princeton University
Topic:
SAIF Regular Seminar Series (43)
Time:
星期四,2011-07-08 10:30-12:00
Venue:
Room 505, Datong Building West Huaihai Road 211, SAIF
Speaker:
Wei Xiong

Index Investment and Financialization of Commodities

Abstract
This paper finds that concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of non-energy commodities in the US became increasingly correlated with oil and this trend was significantly more pronounced for commodities in the two popular SP-GSCI and DJ-UBS commodity indices. This finding reflects a financialization process of commodities markets and helps explain the largely increased price volatility of non-energy commodities around 2008.

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