Abstract

http://ssrn.com/abstract=1707103
 
 

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Speculators, Commodities and Cross-Market Linkages


Bahattin Buyuksahin


Bank of Canada

Michel A. Robe


American University - Kogod School of Business

November 8, 2012


Abstract:     
We use a unique, non-public dataset of individual trader positions in 17 U.S. commodity futures markets to provide novel evidence on those markets’ financialization in the past decade. We then show that the correlation between the rates of return on commodities and equities rises amid greater participation by speculators generally, hedge funds especially, and funds that trade in both equity and commodity markets in particular. We find no such relationship for other kinds of commodity futures traders. The predictive power of hedge fund positions is weaker in periods of generalized financial market stress. Our results indicate that who trades helps predict the joint distribution of commodity and equity returns.

Number of Pages in PDF File: 57

Keywords: Financialization, Cross-Market Linkages, Commodities, Equities, Hedge funds, Index funds, Dynamic conditional correlations (DCC)

JEL Classification: G10, G12, G13, G23

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Date posted: November 13, 2010 ; Last revised: November 14, 2012

Suggested Citation

Buyuksahin, Bahattin and Robe, Michel A., Speculators, Commodities and Cross-Market Linkages (November 8, 2012). Available at SSRN: http://ssrn.com/abstract=1707103 or http://dx.doi.org/10.2139/ssrn.1707103

Contact Information

Bahattin Buyuksahin
Bank of Canada ( email )
234 Wellington Street
Ontario, Ottawa K1A 0G9
Canada
Michel A. Robe (Contact Author)
American University - Kogod School of Business ( email )
4400 Massachusetts Avenue NW
Washington, DC 20816-8044
United States
202-885-1880 (Phone)
202-885-1946 (Fax)
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