Index Investment and the Financialization of Commodities

被引：856

作者：

Tang, Ke ^{[1
]}

Xiong, Wei ^{[2
,3
]}

机构：

[1] Renmin Univ China, Beijing, Peoples R China

[2] Princeton Univ, Princeton, NJ 08544 USA

[3] Natl Bur Econ Res, Cambridge, MA 02138 USA

来源：

FINANCIAL ANALYSTS JOURNAL | 2012年 / 68卷 / 06期

关键词：

HEDGING PRESSURE; FUTURES MARKETS; PRICES; CONTAGION; PREMIUMS;

D O I：

10.2469/faj.v68.n6.5

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The authors found that, concurrent with the rapidly growing index investment in commodity markets since the early 2000s, prices of non-energy commodity futures in the United States have become increasingly correlated with oil prices; this trend has been significantly more pronounced for commodities in two popular commodity indices. This finding reflects the financialization of the commodity markets and helps explain the large increase in the price volatility of non-energy commodities around 2008.

引用

页码：54 / 74

页数：21

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