Does 'Paper Oil' Matter? Energy Markets’ Financialization and Co-Movements with Equity Markets

Autor:	Bahattin Büyükşahin, Michel A. Robe
Jazyk:	angličtina
Rok vydání:	2024
Předmět:	financialization energy–equity market co-movements DCC Nutrition. Foods and food supply TX341-641
Zdroj:	Commodities, Vol 3, Iss 2, Pp 197-224 (2024)
Druh dokumentu:	article
ISSN:	2813-2432
DOI:	10.3390/commodities3020013
Popis:	We revisit, and document new facts regarding, the financialization of U.S. energy markets in 2000–2010. We show that, after controlling for macroeconomic factors and physical energy market fundamentals, the strength of energy markets’ co-movements with the U.S. stock market is positively related to the energy paper market activity of hedge funds that trade both asset classes. This relation weakens when credit risk is elevated. We find, in contrast, no link with the aggregate positions of commodity index traders in energy futures markets. Our findings have implications for the ongoing debate regarding the financialization of commodities.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/94f1435bdbb44ac88a9426ab049192cb Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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