Index investment and the financialization of commodities

K Tang, W Xiong - Financial Analysts Journal, 2012 - Taylor & Francis
The authors found that, concurrent with the rapidly growing index investment in commodity
markets since the early 2000s, prices of non-energy commodity futures in the United States …

Facts and fantasies about commodity futures

G Gorton, KG Rouwenhorst - Financial Analysts Journal, 2006 - Taylor & Francis
For this study of the simple properties of commodity futures as an asset class, an equally
weighted index of monthly returns of commodity futures was constructed for the July 1959 …

Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH

SA Basher, P Sadorsky - Energy Economics, 2016 - Elsevier
While much research uses multivariate GARCH to model volatility dynamics and risk
measures, one particular type of multivariate GARCH model, GO-GARCH, has been …

The strategic and tactical value of commodity futures

CB Erb, CR Harvey - Financial Analysts Journal, 2006 - Taylor & Francis
Investors face numerous challenges when seeking to estimate the prospective performance
of a longonly investment in commodity futures. For instance, historically, the average …

Network connectedness and net spillover between financial and commodity markets

SM Yoon, M Al Mamun, GS Uddin, SH Kang - The North American Journal …, 2019 - Elsevier
We extend the prior literature on market connectedness and spillover by quantifying the size
of return connectedness across markets (assets). Applying the network spillover …

An anatomy of commodity futures risk premia

M Szymanowska, F De Roon, T Nijman… - The Journal of …, 2014 - Wiley Online Library
We identify two types of risk premia in commodity futures returns: spot premia related to the
risk in the underlying commodity, and term premia related to changes in the basis. Sorting …

Commodities and Equities:'A Market of One'?

B Buyuksahin, MS Haigh, MA Robe - Available at SSRN 1069862, 2008 - papers.ssrn.com
Amidst a sharp rise in commodity investing, many have asked whether commodities
nowadays move in sync with traditional financial assets. Using daily, weekly and monthly …

Time-varying dependence dynamics between international commodity prices and Australian industry stock returns: a Perspective for portfolio diversification

AK Tiwari, EJA Abakah, NK Karikari, S Hammoudeh - Energy Economics, 2022 - Elsevier
This paper investigates the time-varying dependence dynamics between the international
commodity prices of Brent crude oil, natural gas, cocoa, and Australia's sectoral stock …

Financial crises and the nature of correlation between commodity and stock markets

MF Öztek, N Öcal - International Review of Economics & Finance, 2017 - Elsevier
This paper models time-varying correlations between commodity and stock markets to
uncover the dynamic nature of correlations during the financialization of commodity markets …

The tactical and strategic value of commodity futures

CB Erb, CR Harvey - 2005 - nber.org
Historically, commodity futures have had excess returns similar to those of equities. But what
should we expect in the future? The usual risk factors are unable to explain the time-series …