Title

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.

ISSN

1544-6131

Publisher

Elsevier Ltd

Volume

38

First Page

101492

Disciplines

Business

Keywords

Co-movement, Commodity markets, Correlation, Early security prices, Financialisation, Gerber statistic

Scopus ID

85082771002

Indexed in Scopus

yes

Open Access

no

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