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US equity and commodity futures markets: Hedging or financialization?
IPAG Business Sch, France; Vietnam Natl Univ, Vietnam.
Bilkent Univ, Turkey.
Univ Minho, Portugal; Univ Minho, Portugal; London Sch Econ and Polit Sci, England.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
2020 (English)In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 86, article id UNSP 104660Article in journal (Refereed) Published
Abstract [en]

In this paper, we investigate the hedging versus the financialization nature of commodity futures vis-avis 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. (C) 2019 Elsevier B.V. All rights reserved.

Place, publisher, year, edition, pages
ELSEVIER , 2020. Vol. 86, article id UNSP 104660
Keywords [en]
Equity returns; Commodity futures returns; Hedging; Financialization
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-166869DOI: 10.1016/j.eneco.2019.104660ISI: 000527281900071OAI: oai:DiVA.org:liu-166869DiVA, id: diva2:1444561
Note

Funding Agencies|FCT - Portuguese Foundation for Science and TechnologyPortuguese Foundation for Science and Technology [UID/ECO/03182/2019]; Jan Wallander and Tom Hedelius Foundation, Sweden [W2016:0364:1]

Available from: 2020-06-22 Created: 2020-06-22 Last updated: 2020-06-22

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CiteExportLink to record
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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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  • Other style
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  • de-DE
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  • Other locale
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Output format
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