Financial investors and cross-commodity markets integration

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2025-03-15 DOI:10.1016/j.jcomm.2025.100461

Mohammad Isleimeyyeh

引用次数: 0

Abstract

This article presents a model for investigating the linkages between commodity markets arising from the operation of financial investors. The model thus examines the interactions of the physical and futures markets of one commodity with those of another commodity. The framework allows the various prices (current spot, future spot, futures prices), quantities (inventory and committed demand by processors), and futures risk premiums for two commodities to be computed, thereby enabling the price relations for any two commodities to be analyzed. Through comparative statics, I identify (i) the impact of supply and demand shocks and (ii) financialization on commodity markets. Furthermore, the model demonstrates the role of cross-commodity correlation in determining the integration between commodity markets.

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.