Speculators, Commodities and Cross-Market Linkages

By Bahattin Büyüksahin, Michel A. Robe. 2014

576 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/932699017c806c1e4d2ec467e465cfa9655d0c84

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Citations in the corpus

The Financialization of Commodity Markets (2014, background): “Büyükşahin and Robe (2011, 2013) provide further evidence linking the positive correlation between commodities and stocks to the trading of hedge funds, although this may not hold generally (Büyükşahin, Haigh, and Robe, 2010).”
The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016, background): “…indicates that oil price is see Kyle and Xiong (2001), Kodres and Pritsker (2002), Broner et al. (2006), Pavlova and Rigobon (2008), Danielsson et al. (2011), and Büyük ş ahin and Robe (2014) 5 In terms of returns, there are many reasons why the oil market and equity markets may be interrelated.”
ardl: Estimating autoregressive distributed lag and equilibrium correction models (2018, unknown): “Within the bounds, the test is inconclusive package for the estimation of single-equation ARDL and EC models.”
Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020, unknown): “The financialization of commodities has recently been a very active research field (Irwin and Sanders (2011), Singleton (2013), Cheng and Xiong (2014), Büyükşahin and Robe (2014), Henderson, Pearson and Wang (2015), Hamilton and Wu (2015) and Basak and Pavlova (2016)).”
Oil prices and financial stress: A volatility spillover analysis (2015, methodology): “This confirms Büyükşahin et al. (2010) and Büyükşahin and Robe (2014) who find decreased correlations between oil and equity markets during financial turmoils.”
Financialization and Structural Change in Commodity Futures Markets (2012, background): “Buyuksahin and Robe (2010, 2011) also find increasing correlation between commodity futures and financial returns but attribute the improvement in market integration to hedge funds rather than commodity index funds. The final avenue of rational impact we will consider here is the market for storage.”
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks (2020, background): “The oil market is now also considered as a profitable alternative investment in the portfolio decisions of financial institutions (Akram, 2009; Tang and Xiong, 2012; Silvennoinen and Thorp, 2013; Fattouh, Killian, and Mahadeva, 2013; Büyükşahin and Robe 2014, Bahloul et al., 2018).”
Can economic policy uncertainty and investors sentiment predict commodities returns and volatility (2017, background): “MARK factors are important to predict the future commodity price movements (see for example, Büyükşahin and Robe (2014), Gilbert (2010), Hamilton and Wu (2015), Irwin and Sanders (2011) and Tang and Xiong (2012).”
Forecasting oil price realized volatility using information channels from other asset classes (2017, background): “…price volatility forecasts are particularly important nowadays due to the fact that the increased participation of hedge funds in the oil market over the last decade or so has resulted in the financialisation of the market (Le Pen and Sévi, 2013; Fattouh et al., 2013; Buyuksahin and Robe, 2014).”