Martin T. Bohl , Scott H. Irwin , Alexander Pütz , Christoph Sulewski
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The impact of financialization on the efficiency of commodity futures markets
The pronounced inflow of financial capital from index investors over the last 15 years and the accompanying substantial fluctuations in commodity futures markets have aroused public and academic interest. A common accusation made in this context is that commodity index traders (CITs) negatively influence the quality of commodity futures markets and keep them far from fundamentally justified price levels. In this paper, we focus on quantifying market efficiency, and investigate empirically the suggested effect of CITs over the period from 1999 to 2019 for 34 commodity futures markets. In contrast to recent studies, we find empirical evidence that the financialization positively affected the market efficiency of indexed commodity futures markets. Consistently, we observe that the degree of commodity index trader activity is associated with higher degrees of informational efficiency.
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.
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