New Evidence on the Financialization of Commodity Markets

• 成果类型: Article
• 署名作者: Henderson, Brian J.; Pearson, Neil D.; Wang, Li
• 署名单位: George Washington University; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu091
• 发表日期: 2015
• 页码: 1285
• 关键词: DEMAND CURVES; arbitrage; stocks

摘要

This paper uses a novel dataset of commodity-linked notes (CLNs) to examine the impact of the flows of financial investors on commodity futures prices. Investor flows into and out of CLNs are passed to and withdrawn from the futures markets via issuers' trades to hedge their CLN liabilities. The flows are not based on information about futures price movements but nonetheless cause increases and decreases in commodity futures prices when they are passed through to and withdrawn from the futures markets. These finding are consistent with the hypothesis that non-information-based financial investments have important impacts on commodity prices.