Financialization and commodity excess spillovers

Liu, Lu; Zhang, Xiang

doi:10.1016/j.iref.2019.06.003

Cited by 8 publications

(3 citation statements)

References 40 publications

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“…Hamilton and Wu (2015) improve the Masters algorithm and find that the relationship discovered by Singleton (2014) between CIT positions and commodity futures becomes insignificant, using to-date data. Liu and Zhang (2019) also find that magnitude of excess spillovers across different commodities is significantly positively related to the extent of participation by financial investors.…”

Section: Introductionmentioning

confidence: 66%

Destabilizing or passive? The impact of commodity index traders on equilibrium prices

Sun

Bos

Rodrigues

2023

International Review of Economics & Finance

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Section: Introductionmentioning

confidence: 66%

Destabilizing or passive? The impact of commodity index traders on equilibrium prices

Sun

Bos

Rodrigues

2023

International Review of Economics & Finance

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“…Kang et al (2023) find that the correlation structure between the commodity market and stock market returns remains robust and persistent in the post‐Tang‐and‐Xiong period. Liu and Zhang (2019) examine the relationship between financialization and cross‐commodity linkages, emphasizing the role of managed money traders and index traders in influencing excess spillovers across multiple commodity prices. Aït‐Youcef (2019) provides the evidence of reinforcing linkages between equity and agricultural markets, correlating with institutional investors' inflows in commodity markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Financial regulatory arbitrage and the financialization of commodities

Zheng,

Zhang,

2024

Journal of Futures Markets

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We explore the effects of financial regulatory arbitrage on commodity pricing. We examine two types of financial arbitrage: capital‐control arbitrage, in which commodities are imported to circumvent capital controls and profit from disparities in interest rates between domestic and international markets, and dual‐track interest‐rate arbitrage, in which commodities are utilized as collateral to capitalize on domestic dual‐track interest‐rate spreads. Our findings demonstrate that both forms of arbitrage positively affect commodity price returns. However, they affect the inverse relationship between inventory and convenience yield differently. While capital‐control arbitrage can either amplify or weaken this relationship, dual‐track arbitrage makes it less negative.

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“…With the thematic analysis of current knowledge, this study provides a synthesis of identified moral hazards, their consequences and preventive measures. According to some studies (Liu et al 2023), moral hazard is the causal factor in every poor performance of corporate governance. This study contributes to the understanding and causes of moral hazard behavior as well as how it can be prevented in wide and varied fields that include business, finance, banking, agriculture, labour, transportation, insurance, health, environment, legal and science and technology.…”

Section: Introductionmentioning

confidence: 99%

Moral Hazard Behaviors and Mitigation Strategies: A Systematic Review

2024

JEM

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This study aims to identify the main factors that drive the moral hazard behavior in all industries and the strategies that can be used to mitigate this problem. The study employs qualitative systematic work which highlights a methodology based on Preferred Reporting Items for Systematic Reviews and Meta-Analyses. Findings from prior research were used as sourced from two journal databases, namely Web of Science and Scopus. The study established that the major sources of moral hazard behavior are lack of incentives, information asymmetry, legal and regulations, high market power, temporary ownership, and cultural behavior. It further showed that strategies to mitigate moral hazard behavior comprised the designing of appropriate incentives, implementing effective monitoring mechanisms, improving information disclosure and transparency, identifying, and managing risks associated with specific activities, introducing third parties to provide independent insight and accountability, and imposing appropriate enforcement. The study also identified the assumption of security as the primary reason society engage in moral hazard behavior, which accordingly underscores the importance of addressing this issue in any intervention measures.

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Financialization and commodity excess spillovers

Cited by 8 publications

References 40 publications

Destabilizing or passive? The impact of commodity index traders on equilibrium prices

Destabilizing or passive? The impact of commodity index traders on equilibrium prices

Financial regulatory arbitrage and the financialization of commodities

Moral Hazard Behaviors and Mitigation Strategies: A Systematic Review

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