Conquering Misperceptions about Commodity Futures Investing

Erb, Claude B.; Harvey, Campbell R.

doi:10.2469/faj.v72.n4.3

Cited by 26 publications

(1 citation statement)

References 8 publications

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“…An investor can gain greater bene􀅫its by combining Islamic equities indices with sustainable investment strategies, particularly during economic boom times, bullish market times, and during the subprime crisis. Erb and Harvey (2016), has studied the commodity futures returns differ overtime from traditional asset classes. the conditional correlations between commodity futures and equity returns fell in periods of market turbulence.…”

Section: Literature Reviewmentioning

confidence: 99%

Dynamic Linkages among Stocks and Commodities: A Switching Copula Approach

Abbasi¹,

Raza²

2022

J. manag. pract. humanit I am. sci

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The 􀅫luctuating behavior of 􀅫inancial markets has signi􀅫icant impact on economic variables. A relatively new modeling technique, "switching dependence copula" is employed to characterize conditional dependence among stock indices (Islamic/conventional stocks) and commodities. As the dependence may switch in between negative and positive correlation regimes with the passage of time where the copula captures dependence structure more conveniently and portrays pictures most relevantly then a single copula regime. The sample period ranges from 2011 to 2021. All the data sourced from Thomson Reuters. Overall, the results are in favor of commodities phenomenon of providing better hedging and diversi􀅫ication bene􀅫it to stock indices. Fluctuating behavior is observed for Islamic stocks and commodities pairs. According to the results, commodities are suitable as cousin during crisis period, especially during negative correlation regime; commodities perform better, providing hedging and diversi􀅫ication bene􀅫its.

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Section: Literature Reviewmentioning

confidence: 99%

Dynamic Linkages among Stocks and Commodities: A Switching Copula Approach

Abbasi¹,

Raza²

2022

J. manag. pract. humanit I am. sci

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A tale of two premiums revisited

Maréchal

2023

Journal of Futures Markets

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This paper investigates the effect of the “financialization” of commodity markets in terms of pricing. I explore whether the emergence of commodity index traders (CITs) affects weekly returns and turnover during the roll periods. I split the sample (1994–2017) into prefinancialization (1994–2003) and postfinancialization (2004–2017). I directly test whether the CIT market share (CIT/open interest) contributes to commodity returns and whether risk adjustments (based on momentum, basis, basis‐momentum, open interest, crowding, and average factors) alter liquidity and insurance premiums documented in Kang, Rouwenhorst, and Tang. I also examine how the financialization affects liquidity and insurance premiums. Finally, since previous results are obtained with Fama–MacBeth regressions, I use an alternative method to test how liquidity and insurance premiums determine commodity returns.

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The Theory of Normal Backwardation and Financialization of the Futures Markets

Carter

Revoredo‐Giha

2022

Natural Resource Management and Policy

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Conquering Misperceptions about Commodity Futures Investing

Cited by 26 publications

References 8 publications

Dynamic Linkages among Stocks and Commodities: A Switching Copula Approach

Dynamic Linkages among Stocks and Commodities: A Switching Copula Approach

A tale of two premiums revisited

The Theory of Normal Backwardation and Financialization of the Futures Markets

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