Financialization and the drivers of commodity futures returns

Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung

Beitragende

Abstract

We study how financialization changed the informativeness of drivers for commodity futures returns. Based on a broad set of commodity futures, we show that the predictive power of fundamental, financial, and uncertainty variables for commodity returns varies substantially across different stages of financialization. We relate the changing informativeness of the drivers to the presence of financial hedgers, who use commodity exposure for portfolio diversification. Using the highly financialized crude oil market as a laboratory, we find that when the market share of financial hedgers is high, the predictive power of financial variables for short-term commodity returns increases, while the informativeness of fundamental variables for longer-term returns declines.

Details

OriginalspracheEnglisch
Aufsatznummer107772
FachzeitschriftJournal of banking & finance
Jahrgang190
Frühes Online-Datum4 Juli 2026
PublikationsstatusVeröffentlicht - Sept. 2026
Peer-Review-StatusJa

Externe IDs

ORCID /0000-0003-4359-987X/work/220700422
Scopus 105044507468

Schlagworte