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The effects of commodity financialization on commodity market volatility
16 references·1 citing·47 second hop
The effects of commodity financialization on commodity market volatility (2021)The effects of commodity financialization…Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China (2020)Volatility transmissions acro…Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…Volatility linkages between energy and agricultural commodity prices (2015)Volatility linkages between e…EFFECTS OF INDEX‐FUND INVESTING ON COMMODITY FUTURES PRICES (2015)EFFECTS OF INDEX‐FUND INVESTI…Is gold a hedge or safe haven against oil price movements? (2013)Is gold a hedge or safe haven…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Financialization and Structural Change in Commodity Futures Markets (2012)Financialization and Structur…Index Funds, Financialization, and Commodity Futures Markets (2011)Index Funds, Financialization…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…Predicting Equity Liquidity (2002)Predicting Equity LiquidityIlliquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Liquidity and stock returns: An alternative test (1998)Liquidity and stock returns: …Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)Price Volatility, Trading Vol…Trading Volume and Asset Liquidity (1989)Trading Volume and Asset Liqu…Dependence and risk management of portfolios of metals and agricultural commodity futures (2023)Dependence and risk managemen…The pricing of commodity contracts (1976)Noise Trader Risk in Financial Markets (1990)Options, Futures and Other Derivatives (2003)The Economics of Grain Price Volatility (2011)New Evidence on the Financialization of Commodity Markets (2014)Financialization in commodity markets: A passing trend or the new normal? (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)The Cross-Section of Expected Stock Returns (1992)Stock price reaction to news and no-news: drift and reversal after headlines (2003)Short sales, institutional investors and the cross-section of stock returns (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Continuous Auctions and Insider Trading (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University. (1998)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Trade size, order imbalance, and the volatility–volume relation (2000)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Financialization of Commodity Markets (2013)Speculators, commodities and cross-market linkages (2013)A Model of Financialization of Commodities (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Testing for a Unit Root in Time Series Regression (1988)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021)Geopolitical risk and dynamic connectedness between commodity markets (2022)Editor's Choice Digesting Anomalies: An Investment ApproachCommon risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Is gold a safe haven? International evidence (2010)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)The relationship between return and market value of common stocks (1981)Asset pricing and the bid-ask spread (1986)Market liquidity as a sentiment indicator (2004)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Multimarket Trading and Market Liquidity (1991)The Survival of Noise Traders in Financial Markets (1991)Is market fragmentation harming market quality? (2011)Financialization, crisis and commodity correlation dynamics (2012)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 1998Liquidity and stock returns: An alternative test1,318 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 1993Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets667 cited
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  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2011Index Funds, Financialization, and Commodity Futures Markets488 cited
  • 2013Is gold a hedge or safe haven against oil price movements?362 cited
  • 2015EFFECTS OF INDEX‐FUND INVESTING ON COMMODITY FUTURES PRICES242 cited
  • 2020Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China239 cited
  • 2012Financialization and Structural Change in Commodity Futures Markets218 cited
  • 2015Volatility linkages between energy and agricultural commodity prices

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211 cited
  • 2002Predicting Equity Liquidity189 cited
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    • 2023Dependence and risk management of portfolios of metals and agricultural commodity futures22 cited