Fundamentals, Trader Activity and Derivative Pricing

By Bahattin Büyüksahin, Michael S. Haigh, Jeffrey H. Harris, James A. Overdahl, Michel A. Robe. 2008

127 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/741207a2a8620678c1d88f3a8e7f2fca2406068c

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Citations in the corpus

The Financialization of Commodity Markets (2014, background): “However, it does appear that correlations across contracts within commodities have increased significantly since 2004, consistent with the rise of CIT trading (Büyükşahin et al., 2008).”
Financialization in commodity markets: A passing trend or the new normal? (2015, background): “29 Büyükşahin et al. (2010) get similar results focusing on return correlations during extreme stock market changes.”
Investor Flows and the 2008 Boom/Bust in Oil Prices (2014, background): “Spread positions were the largest component of open interest during my sample period (Buyuksahin et al. (2008)), and the disaggregated COT reports show that managed money accounts showed substantial growth in spread positions.”
The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013, background): “For example, Büyük!ahin et al. (2009) emphasize that increased”
Speculators, Commodities and Cross-Market Linkages (2014, unknown): “This finding generalizes, to a cross-section of commodity futures markets, some of the observations of Büyükşahin et al (2009) in the specific case of WTI crude oil futures.”
Do Financial Investors Destabilize the Oil Price? (2011, background): “Let us substitute Equation (5) into Equation (6) to get: f t;t+ = pt G[pt; It; E(Dt;t+ )] + rt + f t (7) According to Equation (7), the observed futures price is a function of the spot price, current and expected changes related to fundamentals and the destabilizing nancial shock.”
Commodities and Equities: Ever a “Market of One”? (2009, background): “the Journal of alternative investments 77 Winter 2010 futures markets (Büyükşahin, Haigh, Harris, Overdahl, and Robe [2008]).”
Financialization and Structural Change in Commodity Futures Markets (2012, background): “11 Buyuksahin et al. (2008) show that the linkages between nearby and deferred crude oil futures contracts increased from 2001-2004.”