Index investment and the financialization of commodities

Ke Tang, Wei Xiong

Research output: Contribution to journalArticle

470 Scopus citations

Abstract

The authors found that, concurrent with the rapidly growing index investment in commodity markets since the early 2000s, prices of non-energy commodity futures in the United States have become increasingly correlated with oil prices; this trend has been significantly more pronounced for commodities in two popular commodity indices. This finding reflects the financialization of the commodity markets and helps explain the large increase in the price volatility of non-energy commodities around 2008.

Original languageEnglish (US)
Pages (from-to)54-74
Number of pages21
JournalFinancial Analysts Journal
Volume68
Issue number6
DOIs
StatePublished - Nov 1 2012

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

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