The evolution of commodity market financialization: Implications for portfolio diversification

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE Journal of Commodity Markets Pub Date : 2023-09-21 DOI:10.1016/j.jcomm.2023.100360

Renée Fry-McKibbin, Kate McKinnon

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Abstract

The financialization of commodity markets is a well-documented phenomenon spurred by the massive growth of institutional funds directed into commodity indices from the mid-2000s. More recent research suggests that a subsequent era of de-financialization has coincided with the retreat of institutional investors. This paper uses a latent factor model to examine the dynamic impact of commodity market financialization on spot currency, commodity and equity market linkages, focusing on countries with ‘commodity currencies’. The financialization period is characterized by increased interdependence of non-oil and oil commodity markets with each other and with other asset markets, implying reduced diversification potential. We find that commodity markets have become more highly interconnected with currency and equity markets of the large commodity exporters over the most recent sub-sample. We suggest that apparent de-financialization may be attributable to contagion effects from global crisis events, including the Great Recession and the European Debt Crisis of 2012.

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商品市场金融化的演变:对投资组合多样化的影响

大宗商品市场的金融化是一个有充分证据证明的现象，这一现象是由2000年代中期以来大量机构资金流入大宗商品指数所推动的。最近的研究表明，随后的去金融化时代恰逢机构投资者的撤退。本文使用潜在因素模型来考察商品市场金融化对现货货币、商品和股票市场联系的动态影响，重点关注拥有“商品货币”的国家。金融化时期的特点是非石油和石油商品市场彼此之间以及与其他资产市场之间的相互依赖增加，这意味着多样化的潜力减少。我们发现，在最近的子样本中，大宗商品市场与大宗商品出口国的货币和股票市场的联系更加紧密。我们认为，明显的去金融化可能归因于全球危机事件的传染效应，包括大衰退和2012年的欧洲债务危机。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.