Commodity Index Investing and Commodity Futures Prices

By Hans R. Stoll, Robert Whaley. 2009

357 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cdfc1d82a54dc2589cdc1f732525df443229c448

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Citations in the corpus

Financialization in commodity markets: A passing trend or the new normal? (2015, background): “Our paper is related to Tang and Xiong (2012) who provide evidence that financialization caused commodities in investable indices such as the GSCI to show larger responses to shocks during the financial crisis than similar commodities that are not in an index.”
The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, background): “As noted in Stoll and Whaley (2010), inclusion of commodities or commodity exchange traded funds as diversifying assets in traditional portfolios has become much more common since 1998.”
New Evidence on the Financialization of Commodity Markets (2015, background): “hypothesis that CIT flows predict commodity futures prices, and Stoll and Whaley (2010) use data for twelve agricultural futures contracts and find no evidence that lagged CIT flows”
Effects of Index-Fund Investing on Commodity Futures Prices (2013, unknown): “†jhamilton@ucsd.edu ‡Cynthia.Wu@chicagobooth.edu 1 Electronic copy available at: http://ssrn.com/abstract=2321280”
The Skewness of Commodity Futures Returns (2018, unknown): “in Stoll and Whaley (2010) and iii) two subperiods, respectively, preceding and reflecting the late 2000s financial crisis using July 2007 as approximate date, see e.g., Brunnermeier (2009). The results are found to be more or less robust: the performance of P1-P5 does not seem to be sample-specific”
The Financialization of Commodity Markets (2014, background): “…in futures prices (Brunetti and Büyükşahin, 2009; Brunetti, Büyükşahin and Harris, 2011; Büyükşahin and Harris, 2011; Irwin and Sanders, 2012; Irwin, Sanders, and Merrin 2009; Sanders and Irwin, 2011a, 2011b; Stoll and Whaley, 2010), and find little relationship in a wide basket of commodities.”
Financialization and Structural Change in Commodity Futures Markets (2012, background): “Stoll and Whaley (2010) also use a variety of tests, including Granger causality tests, and find no evidence that the position of commodity index traders increased prices in agricultural futures markets.”
Investor Flows and the 2008 Boom/Bust in Oil Prices (2014, background): “20 As noted by Stoll and Whaley (2009), patterns similar to Figure 1 (in their case for agricultural commodities) reflect the fact that a portion of the imputed position of index traders in any given commodity is 19Some information about positions was available from the CFTC and mutual funds, or…”
Convective Risk Flows in Commodity Futures Markets (2015, unknown): “…(CITs), a number of recent studies, such as Brunetti and Buyuksahin (2009), Irwin, Sanders, and Merrin (2009), Sanders, Irwin, and Merrin (2010), Stoll and Whaley (2010), Brunetti, Buyuksahin, and Harris (2011), Buyuksahin and Harris (2011), and Hamilton and Wu (2013), who argue that there is…”
The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013, unknown): “F or example, Stoll and Whaley (2010) stress that the price of commodities not traded on futures exchanges rose as much as or more than the price of exchange-traded commodities.”