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• W2881528690 abstract "This paper investigates the financialization and structural co-movement of several commodity futures using factor variance decomposition and predictability of technical indicators and macro variables. We find that financialization is still a dominant player in the commodity market and that recent commodity price fluctuations can be significantly and robustly forecasted by technical analyses of commodity index investments. Moreover, the co-movement of commodities is demonstrated by variance decomposition and explained as commodity index investment, which provides evidence of financialization. The overall empirical analysis reveals that technical indicators and macro variables can statistically and economically forecast the indexed investment and off-index trading, respectively, which indicates that they are suitable predictors of the commodity markets." @default.
• W2881528690 created "2018-07-19" @default.
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• W2881528690 date "2017-01-01" @default.
• W2881528690 modified "2023-09-22" @default.
• W2881528690 title "Predictability of Financialization and Co-Movement in Commodity Market: What Is the Role of Technical Indicators" @default.
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• W2881528690 doi "https://doi.org/10.2139/ssrn.2934878" @default.
• W2881528690 hasPublicationYear "2017" @default.
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