Financialization, Crisis and Commodity Correlation Dynamics

By Annastiina Silvennoinen, Susan Thorp. 2013

680 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/9afeb8fd5615d1697dfeff1de49801544fc2d5a5

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In Economics and Econometrics

Citations in the corpus

Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat (2014, background): “The recent financialization of commodity markets is providing investors with new ways to diversify their investment portfolios (e.g. Domanski and Heath, 2007; Dwyer et al., 2011; Silvennoinen and Thorp, 2013; Vivian andWohar, 2012).”
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries (2016, background): “(2010), Silvennoinen and Thorp (2010), Tang and Xiong (2010), Byuksahin”
Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020, neutral): “These capital flows gave rise initially, post-2004, to higher levels of correlations within commodities (Tang and Xiong 2012) and subsequently, post-GFC, between commodities and other asset classes (Silvennoinen and Thorp 2013), in what is widely referred as the financialization of commodities.”
Time-Varying Impact of Geopolitical Risks on Oil Prices (2020, methodology): “, 2015), while after the global crisis oil prices became more correlated with each other and with stock prices (Tang and Xiong, 2012; Silvennoinen and Thorp, 2013).”
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “Impact of stock markets on forecasting oil prices and oil price volatility Recent evidence suggests that the oil market has experienced increased financialization, especially since the start of the 2000s (see, inter alia, Büyüksahin and Robe, 2014; Silvennoinen and Thorp, 2013; Fattouh et al., 2012)”
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆ (2015, neutral): “Erb and Harvey, 2006; Domanski and Heath, 2007; Dwyer et al., 2011; Silvennoinen and Thorp, 2013; Tang and Xiong, 2012; Vivian and Wohar, 2012).”
Forecasting oil price realized volatility using information channels from other asset classes (2017, background): “In addition, we observe that financial institutions now consider the oil market as a profitable alternative investment for their portfolios, which renders the oil price volatility forecasting important (see, for example, Silvennoinen and Thorp, 2013).”
Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications (2017, neutral): “Therefore, the traditional interpretations of the relation between equities and commodities have been questioned lately (Silvennoinen and Thorp, 2013).”
Should Investors Include Commodities in Their Portfolios After All? New Evidence (2011, neutral): “…benefits, i.e. reduction of risk for any given level of expected return, may emerge.2 However, there is evidence that the growing presence of index funds in commodities markets integrates the commodity markets with the stock and bond markets (Silvennoinen and Thorp, 2010, Tang and Xiong, 2010).”
The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, background): “Three very recent papers examine correlations between equities and commodities (Silvennoinen and Thorp, 2013, Creti, Joets, and Mignon, 2013, and Mensi, Beljid, Boubaker and Managi, 2013).”
Dynamic spillovers between commodity and currency markets (2015, background): “…metals (Roberts, 2008); (iv) biofuel policy changes (Helbling et al., 2008); (v) low interest rates and effective dollar depreciation (Helbling et al., 2008) and (vi) growing financial activity by institutional investors, hedge funds and exchange-trade funds (EFTs)(Silvennoinen and Thorp, 2013).”