Bahattin Buyuksahin

Bank of Canada

Research Adviser, Commodities

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 2,765

SSRN RANKINGS

Top 2,765

in Total Papers Downloads

10,569

CITATIONS
Rank 8,192

SSRN RANKINGS

Top 8,192

in Total Papers Citations

55

Scholarly Papers (22)

1.

The Role of Speculators in the Crude Oil Futures Market

Number of pages: 40 Posted: 16 Jul 2009
Jeffrey H. Harris and Bahattin Buyuksahin
American University and Bank of Canada
Downloads 1,455 (7,320)
Citation 10

Abstract:

Crude Oil, Futures Markets, Speculators, Granger Causality, Hedge Funds, Commodity Index Traders

2.

Fundamentals, Trader Activity and Derivative Pricing

EFA 2009 Bergen Meetings Paper
Number of pages: 56 Posted: 02 Mar 2007 Last Revised: 13 Feb 2009
Bank of Canada, Standard Chartered Bank, American University, affiliation not provided to SSRN and American University - Kogod School of Business
Downloads 1,382 (8,386)
Citation 14

Abstract:

Crude Oil Futures, Maturity, Segmentation, Cointegration, Trading Activity, Fundamentals

3.

Commodities and Equities: 'A Market of One'?

Number of pages: 47 Posted: 11 Dec 2007 Last Revised: 12 Nov 2009
Bahattin Buyuksahin, Michael S. Haigh and Michel A. Robe
Bank of Canada, Standard Chartered Bank and American University - Kogod School of Business
Downloads 1,240 (10,905)
Citation 6

Abstract:

Commodities, Equities, Dynamic conditional correlations, DCC, Cointegration, Extreme-events correlations

4.
Downloads 1,158 ( 13,460)
Citation 6

Speculators, Commodities and Cross-Market Linkages

Number of pages: 57 Posted: 13 Nov 2010 Last Revised: 14 Nov 2012
Bahattin Buyuksahin and Michel A. Robe
Bank of Canada and American University - Kogod School of Business
Downloads 1,158 (13,194)
Citation 6

Abstract:

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

Speculators, Commodities and Cross-Market Linkages

Journal of International Money and Finance, Vol. 42, 2014
Posted: 09 Jun 2014
Bahattin Buyuksahin and Michel A. Robe
Bank of Canada and American University - Kogod School of Business

Abstract:

5.

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

Number of pages: 53 Posted: 30 May 2011 Last Revised: 07 Nov 2014
Bahattin Buyuksahin and Michel A. Robe
Bank of Canada and American University - Kogod School of Business
Downloads 976 (14,506)
Citation 1

Abstract:

6.

Is Speculation Destabilizing?

Number of pages: 37 Posted: 22 Apr 2009
Celso Brunetti and Bahattin Buyuksahin
Board of Governors of the Federal Reserve System and Bank of Canada
Downloads 741 (23,043)
Citation 10

Abstract:

Speculation, hedge fund, swap dealer, realized volatility, price, Granger-causality

7.

Speculators, Prices and Market Volatility

Number of pages: 34 Posted: 10 Jan 2011
Celso Brunetti, Bahattin Buyuksahin and Jeffrey H. Harris
Board of Governors of the Federal Reserve System, Bank of Canada and American University
Downloads 581 (28,872)
Citation 6

Abstract:

Speculation, hedge funds, swap dealers, realized volatility, price

8.

The Prevalence, Sources, and Effects of Herding

Forthcoming, Journal of Futures Markets
Number of pages: 48 Posted: 15 Mar 2009 Last Revised: 28 Aug 2015
West Virginia University, Bank of Canada, Standard Chartered Bank and American University
Downloads 572 (33,714)
Citation 1

Abstract:

Herding, Hedge Funds, Futures Markets

9.

Do OPEC Members Know Something the Market Doesn’t? ‘Fair Price’ Pronouncements and the Market Price of Crude Oil

Number of pages: 35 Posted: 06 Aug 2010 Last Revised: 15 Mar 2015
Bank of Canada, Board of Governors of the Federal Reserve System, American University - Kogod School of Business and Commodity Futures Trading Commission (CFTC)
Downloads 321 (63,921)
Citation 1

Abstract:

Crude oil, OPEC, Fair price, Announcement, Market price, Event study, Kalman filter, Autoregressive Distributed Lag (ADL)

10.

Do Price Limits Limit Price Discovery in the Presence of Options?

Number of pages: 39 Posted: 05 Sep 2006
David Reiffen, Bahattin Buyuksahin and Michael S. Haigh
U.S. Commodity Futures Trading Commission (CFTC), Bank of Canada and Standard Chartered Bank
Downloads 301 (78,060)

Abstract:

price limits, price discovery, options, futures

11.

Error Trades in Futures Markets

Number of pages: 45 Posted: 15 Feb 2009 Last Revised: 27 May 2009
Bahattin Buyuksahin, Michael S. Haigh and Jeffrey H. Harris
Bank of Canada, Standard Chartered Bank and American University
Downloads 219 (109,488)

Abstract:

Error Trades, Futures Markets, Market Microstructure

12.
Downloads 217 (114,468)

The Financialization of Food?

Number of pages: 50 Posted: 17 Mar 2015 Last Revised: 10 Feb 2016
Valentina Bruno, Bahattin Buyuksahin and Michel A. Robe
American University - Department of Finance and Real Estate, Bank of Canada and American University - Kogod School of Business
Downloads 217 (114,078)

Abstract:

Financialization, Fundamentals, Grains, Livestock, Equities, Co-movements, ADCC, Structural VAR

The Financialization of Food?

American Journal of Agricultural Economics, Forthcoming
Posted: 22 Oct 2016
Valentina Bruno, Bahattin Buyuksahin and Michel A. Robe
American University - Department of Finance and Real Estate, Bank of Canada and American University - Kogod School of Business

Abstract:

Financialization, Fundamentals, Grains, Livestock, Equities

Does it Matter Who Trades Energy Derivatives?

FEEM (Fondazione Eni Enrico Mattei), Review of Environment, Energy and Economics (Re3), March 2012
Number of pages: 7 Posted: 28 Mar 2012
Bahattin Buyuksahin and Michel A. Robe
Bank of Canada and American University - Kogod School of Business
Downloads 126 (185,245)

Abstract:

Financial Institutions, Energy Derivatives, Speculation, Financialization, Cross-Market Linkages

Does it Matter Who Trades Energy Derivatives?

Review of Environment, Energy and Economics, March 2012
Number of pages: 8 Posted: 28 Mar 2012 Last Revised: 01 May 2012
Bahattin Buyuksahin and Michel A. Robe
Bank of Canada and American University - Kogod School of Business
Downloads 87 (241,492)

Abstract:

Financial Institutions, Energy Derivatives, Speculation, Financialization, Cross-Market Linkages

14.

Do Institutional Traders Predict Bull and Bear Markets?

Number of pages: 41 Posted: 19 Sep 2011
Bahattin Buyuksahin, Celso Brunetti and Jeffrey H. Harris
Bank of Canada, Board of Governors of the Federal Reserve System and American University
Downloads 189 (122,771)

Abstract:

Markov regime-switching, hedge fund, swap dealer, institutional positions

15.

Speculation Demystified: Virtuous Volatility

IEA Energy: The Journal of the International Energy Agency, Issue 3 (Autumn 2012), pp. 33-34
Number of pages: 2 Posted: 07 Oct 2012
Bahattin Buyuksahin
Bank of Canada
Downloads 86 (229,598)

Abstract:

Oil Prices, Speculation, Volatility, Dodd-Frank Act, Position Limit

16.

Physical Markets, Paper Markets and the WTI-Brent Spread

Energy Journal, Vol. 34, No. 3, 2013
Posted: 07 Oct 2013
Bahattin Buyuksahin, Thomas K Lee, James T. Moser and Michel A. Robe
Bank of Canada, Energy Information Administration - US DOE, American University - Kogod School of Business and American University - Kogod School of Business

Abstract:

Crude Oil, Brent, WTI, LLS, Spread, Fundamentals, Inventories, Cushing, Paper Markets, Commodity Index Trading (CIT)

17.

OPEC 'Fair Price' Pronouncements and the Market Price of Crude Oil

Energy Journal, Vol. 34, No. 4, 2013
Posted: 17 Nov 2012 Last Revised: 06 Oct 2013
Board of Governors of the Federal Reserve System, Bank of Canada, American University - Kogod School of Business and Commodity Futures Trading Commission (CFTC)

Abstract:

Crude oil, OPEC, Fair price, Market price, Event study, Autoregressive Distributed Lag (ADL)

18.

The Puzzle of Privately-Imposed Price Limits: Are the Limits Imposed by Financial Exchanges Effective

IEB International Journal of Business, January 2011
Posted: 07 Jan 2011
Bahattin Buyuksahin and David Reiffen
Bank of Canada and U.S. Commodity Futures Trading Commission (CFTC)

Abstract:

price limits, regulatory evasion, put-call parity, satellite market, price discovery

19.

Do Speculators Drive Crude Oil Futures Prices?

The Energy Journal, Vol. 32, No. 2, pp. 167-202, 2011
Posted: 20 Dec 2010
Bahattin Buyuksahin and Jeffrey H. Harris
Bank of Canada and American University

Abstract:

20.

Currency Substitution: Evidence from Turkey

Posted: 15 Feb 2010
Bahattin Buyuksahin
Bank of Canada

Abstract:

Currency Substitution, Dollarization

21.

An Information-Theoretic Approach for Image Reconstruction: The Black and White Case

BAYESIAN INFERENCE AND MAXIMUM ENTROPY METHODS IN SCIENCE AND ENGINEERING: 25TH INTERNATIONAL WORKSHOP, pp. 223-230, K. Knuth, ed., Maxent, 2005
Posted: 14 Feb 2010
Amos Golan, Avinash S Bhati and Bahattin Buyuksahin
American University - Department of Economics, The Urban Institute and Bank of Canada

Abstract:

Entropy, Estimation, Image Reconstruction, Information

22.

Commodities and Equities: Ever a 'Market of One'?

Journal of Alternative Investments, Vol. 12, No. 3, Winter 2010
Posted: 14 Nov 2009
Bahattin Buyuksahin, Michael S. Haigh and Michel A. Robe
Bank of Canada, Standard Chartered Bank and American University - Kogod School of Business

Abstract:

Commodity, Equity, DCC, Cointegration, Extreme events