Abstract

http://ssrn.com/abstract=1990828
 
 

References (45)



 
 

Citations (4)



 


 



New Evidence on the Financialization of Commodity Markets


Brian J. Henderson


George Washington University - Department of Finance

Neil D. Pearson


University of Illinois at Urbana-Champaign - Department of Finance

Li Wang


University of Illinois at Urbana-Champaign

July 22, 2013


Abstract:     
There has been a heated debate over whether the flows of commodity index investors have affected commodity prices and returns. This paper examines the price impact of “financial” commodity investments using a novel dataset of Commodity-Linked Notes (CLNs). The investor flows into CLNs are passed through to the futures markets via CLN issuers’ hedge trades. These flows are plausibly exogenous to the contemporaneous and subsequent futures price movements, allowing identification of the flows’ price impact. They cause significant price changes in the underlying futures markets, providing direct evidence of the impact of “financial” investment on commodity futures prices.

Number of Pages in PDF File: 58

Keywords: financialization, commodity-linked notes, commodity structured products, commodity index investors, commodity futures

JEL Classification: G13, G14, G18

working papers series


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Date posted: January 25, 2012 ; Last revised: July 25, 2013

Suggested Citation

Henderson, Brian J. and Pearson, Neil D. and Wang, Li, New Evidence on the Financialization of Commodity Markets (July 22, 2013). Available at SSRN: http://ssrn.com/abstract=1990828 or http://dx.doi.org/10.2139/ssrn.1990828

Contact Information

Brian Joseph Henderson
George Washington University - Department of Finance ( email )
Department of Finance, Funger Hall
2201 G Street, NW
Washington, DC 20052
United States
202-994-3669 (Phone)
Neil D. Pearson (Contact Author)
University of Illinois at Urbana-Champaign - Department of Finance ( email )
1206 South Sixth Street
Champaign, IL 61820
United States
217-244-0490 (Phone)
217-244-9867 (Fax)
Li Wang
University of Illinois at Urbana-Champaign ( email )
601 E John St
Champaign, IL 61820
United States
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