U.S. equity and commodity futures markets: Hedging or financialization

buir.contributor.authorŞensoy, Ahmet
dc.citation.epage104660-15en_US
dc.citation.spage104660-1en_US
dc.citation.volumeNumber86en_US
dc.contributor.authorNguyen, D. K.
dc.contributor.authorŞensoy, Ahmet
dc.contributor.authorSousa, R. M.
dc.contributor.authorUddin, G. S.
dc.date.accessioned2021-02-20T16:27:52Z
dc.date.available2021-02-20T16:27:52Z
dc.date.issued2020
dc.departmentDepartment of Managementen_US
dc.description.abstractIn this paper, we investigate the hedging versus the financialization nature of commodity futures vis-à-vis the equity market using a ARMA filter-based correlation approach. Our results suggest that while gold futures are typically seen as a hedge against unfavorable fluctuations in the stock market, the majority of commodity futures appears to be treated as a separate asset class in line with their increasing financialization. Our results are robust to the presence of inflation, highlight the hedging role played by fuel (energy) commodity futures in the nineties, and reveal that the commodity financialization boosted since the 2000s. We also show that gold futures are partially a safe haven for equity investments in the short-term, but not in the mid-term. Finally, we uncover some hedging (financialization) of crude oil futures associated to global demand (oil supply) shocks.en_US
dc.description.provenanceSubmitted by Evrim Ergin (eergin@bilkent.edu.tr) on 2021-02-20T16:27:52Z No. of bitstreams: 1 U.S._equity_and_commodity_futures_markets_Hedging_or_financialization.pdf: 683557 bytes, checksum: 3d3e28afa58f213e48349d1e9db3a623 (MD5)en
dc.description.provenanceMade available in DSpace on 2021-02-20T16:27:52Z (GMT). No. of bitstreams: 1 U.S._equity_and_commodity_futures_markets_Hedging_or_financialization.pdf: 683557 bytes, checksum: 3d3e28afa58f213e48349d1e9db3a623 (MD5) Previous issue date: 2020-02-01en
dc.embargo.release2022-02-01
dc.identifier.doi10.1016/j.eneco.2019.104660en_US
dc.identifier.issn0140-9883
dc.identifier.urihttp://hdl.handle.net/11693/75513
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://doi.org/10.1016/j.eneco.2019.104660en_US
dc.source.titleEnergy Economicsen_US
dc.subjectEquity returnsen_US
dc.subjectCommodity futures returnsen_US
dc.subjectHedgingen_US
dc.subjectFinancializationen_US
dc.titleU.S. equity and commodity futures markets: Hedging or financializationen_US
dc.typeArticleen_US

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
U.S._equity_and_commodity_futures_markets_Hedging_or_financialization.pdf
Size:
667.54 KB
Format:
Adobe Portable Document Format
Description:

License bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description: