Commodity financialisation and price co-movement: Lessons from two centuries of evidence
Document Type
Article
Source of Publication
Finance Research Letters
Publication Date
1-1-2020
Abstract
© 2020 The recent development of financialisation is argued to have led to an unprecedented rise in the dependence between commodity returns. Using 170 years’ worth of data and several novel dependency measures, we demonstrate that the recent cross-commodity correlations are neither unprecedented nor unique. Similar episodes have occurred multiple times throughout history, even as far back as the 19th century, and these events usually coincide with major economic disruptions. There is no long-run increase in the co-movement of commodity returns. Our results cast doubt on the link between the recent peak in cross-commodity correlations and market financialisation.
DOI Link
ISSN
Publisher
Elsevier Ltd
Volume
38
First Page
101492
Disciplines
Business
Keywords
Co-movement, Commodity markets, Correlation, Early security prices, Financialisation, Gerber statistic
Scopus ID
Recommended Citation
Zaremba, Adam; Umar, Zaghum; and Mikutowski, Mateusz, "Commodity financialisation and price co-movement: Lessons from two centuries of evidence" (2020). All Works. 978.
https://zuscholars.zu.ac.ae/works/978
Indexed in Scopus
yes
Open Access
no