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• W3103727571 abstract "Recent financialization in commodity markets makes it easier for institutional investors to trade a portfolio of commodities via various commodity-indexed products. We present novel causal evidence that exposure to such index trading results in negative daily return autocorrelations among commodities in that index. This is because index trading propagates nonfundamental noises to indexed commodities, giving rise to price overshoots and subsequent reversals, consistent with the prediction of a stylized model. We present direct evidence for such noise propagation using commodity news sentiment data." @default.
• W3103727571 created "2020-11-23" @default.
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• W3103727571 date "2018-01-01" @default.
• W3103727571 modified "2023-10-18" @default.
• W3103727571 title "Financialization and Commodity Market Serial Dependence" @default.
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• W3103727571 doi "https://doi.org/10.2139/ssrn.3285541" @default.
• W3103727571 hasPublicationYear "2018" @default.
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