Index investment and financialization of commodities
By: Ke Tang, Wei Xiong
Contributors: Xiong, Wei; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16385; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16385.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "This paper finds that, concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of different commodities in the US became increasingly correlated with each other and this trend was significantly more pronounced for commodities in the two popular GSCI and DJ-UBS commodity indices.  This finding reflects a financialization process of commodities markets and helps explain the synchronized price boom and bust of a broad set of seemingly unrelated commodities in the US in 2006-2008.  In contrast, such commodity price comovements were absent in China, which refutes growing commodity demands from emerging economies as the driver"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 2/8/2011.

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