Financialization and Commodity Markets Serial Dependence

• 成果类型: Article; Early Access
• 署名作者: Da, Zhi; Tang, Ke; Tao, Yubo; Yang, Liyan
• 署名单位: University of Notre Dame; Tsinghua University; University of Macau; University of Macau; University of Toronto; Peking University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4797
• 发表日期: 2023
• 关键词: financialization; return autocorrelations; index trading; News sentiment; ETF arbitrage; Price discovery

摘要

Recent financialization in commodity markets makes it easier for institutional investors to trade a portfolio of commodities via various commodity-indexed products. We present several pieces of novel causal evidence that daily exposure to such index trading results in price overshoots and reversals, as reflected in negative daily return autocorrelations, only among commodities in that index. This is because index trading propagates non fundamental noise to all indexed commodities. We present direct evidence for such noise propagation using commodity news sentiment data.