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Financialization and commodity prices – an empirical analysis for coffee, cotton, wheat and oil
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Financialization and commodity prices – an empirical analysis for coffee, cotton, wheat and oil (2016)Financialization and commodity prices – a…EFFECTS OF INDEX‐FUND INVESTING ON COMMODITY FUTURES PRICES (2015)EFFECTS OF INDEX‐FUND INVESTI…THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)THE ROLE OF INVENTORIES AND S…Speculators, commodities and cross-market linkages (2013)Speculators, commodities and …Investor Flows and the 2008 Boom/Bust in Oil Prices (2013)Investor Flows and the 2008 B…Financialization of Commodity Markets (2013)Financialization of Commodity…Financialization, crisis and commodity correlation dynamics (2012)Financialization, crisis and …Testing the Masters Hypothesis in commodity futures markets (2011)Testing the Masters Hypothesi…Placing The 2006/08 Commodity Price Boom Into Perspective (2010)Placing The 2006/08 Commodity…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…How to Understand High Food Prices (2010)How to Understand High Food P…Three bubbles and a panic: An explanatory review of recent food commodity price events (2009)Three bubbles and a panic: An…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Commodity Index Investing and Commodity Futures Prices (2009)Commodity Index Investing and…The World Bank Annual Report 2008 (2008)The World Bank Annual Report …Anatomy of a crisis: the causes and consequences of surging food prices (2008)Anatomy of a crisis: the caus…A Note On Rising Food Prices (2008)A Note On Rising Food PricesOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamic Conditional Correlation (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)On the links between stock and commodity markets' volatility (2013)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)Oil prices, US stock return, and the dependence between their quantiles (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Rethinking the global food crisis: The role of trade shocks (2010)Index Funds, Financialization, and Commodity Futures Markets (2011)Volatility spillover between oil and agricultural commodity markets (2012)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (2019)What is an Oil Shock? (2000)Information Uncertainty and Stock Returns (2006)The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Limits of Arbitrage (1995)Market Liquidity and Funding Liquidity (2008)New Evidence on the Financialization of Commodity Markets (2014)Extrapolation and bubbles (2018)Food versus fuel: What do prices tell us? (2009)The Long Green Revolution (2012)A Model of Financialization of Commodities (2016)
this work references cited by second hop

References

  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 2013THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL1,439 cited
  • 2008A Note On Rising Food Prices1,100 cited
  • 2013Financialization of Commodity Markets808 cited
  • 2010How to Understand High Food Prices738 cited
  • 2008Anatomy of a crisis: the causes and consequences of surging food prices725 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 2012Financialization, crisis and commodity correlation dynamics650 cited
  • 2013Speculators, commodities and cross-market linkages617 cited
  • 2013Investor Flows and the 2008 Boom/Bust in Oil Prices616 cited
  • 2009Three bubbles and a panic: An explanatory review of recent food commodity price events461 cited
  • 2011Testing the Masters Hypothesis in commodity futures markets324 cited
  • 2010Placing The 2006/08 Commodity Price Boom Into Perspective277 cited
  • 2009Commodity Index Investing and Commodity Futures Prices273 cited
  • 2008The World Bank Annual Report 2008272 cited

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2015
EFFECTS OF INDEX‐FUND INVESTING ON COMMODITY FUTURES PRICES
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