Financialization and Commodity Markets Serial Dependence

被引：6
|
作者：
Da, Zhi [1 ]
Tang, Ke [2 ]
Tao, Yubo [3 ,4 ]
Yang, Liyan [5 ,6 ]
机构：
[1] Univ Notre Dame, Mendoza Coll Business, Dept Finance, Notre Dame, IN 46556 USA
[2] Tsinghua Univ, Inst Econ, Sch Social Sci, Beijing 100084, Peoples R China
[3] Univ Macau, Fac Social Sci, Dept Econ, Taipa 999078, Macau, Peoples R China
[4] Univ Macau, Asia Pacific Acad Econ & Management, Taipa 999078, Macau, Peoples R China
[5] Univ Toronto, Joseph L Rotman Sch Management, Dept Finance, Toronto, ON M5S 3E6, Canada
[6] Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China
来源：
MANAGEMENT SCIENCE | 2023年
基金：
中国国家自然科学基金;
关键词：
financialization; return autocorrelations; index trading; news sentiment; ETF arbitrage; price discovery; INVESTOR SENTIMENT; CROSS-SECTION; STOCK RETURNS; LIQUIDITY;
D O I：
10.1287/mnsc.2023.4797
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
Recent financialization in commodity markets makes it easier for institutional investors to trade a portfolio of commodities via various commodity-indexed products. We present several pieces of novel causal evidence that daily exposure to such index trading results in price overshoots and reversals, as reflected in negative daily return autocorrelations, only among commodities in that index. This is because index trading propagates non fundamental noise to all indexed commodities. We present direct evidence for such noise propagation using commodity news sentiment data.
引用
收藏
页数：23
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