Order Flows and Financial Investor Impacts in Commodity Futures Markets

• 成果类型: Article
• 署名作者: Ready, Mark J.; Ready, Robert C.
• 署名单位: University of Wisconsin System; University of Wisconsin Madison; University of Oregon
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac008
• 发表日期: 2022
• 页码: 4712
• 关键词: price; speculation; securities; RISK

摘要

Using intraday data, we document statistically strong, but temporary, impacts of commodity index trade flows on commodity futures prices. We also examine the previously documented positive returns around the issuance of commodity-linked notes and find that these returns are an order of magnitude too large to be caused by the small trades necessary to hedge the notes. We provide new evidence that they are instead the result of endogenous issuance. Our results provide novel support for commodity financialization but highlight the importance of measuring the magnitude of financial investment, since even large financial flows have economically modest impacts on prices.