Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach

Institutional investors have significantly increased their exposure to commodity futures after 2004 in the process of commodity market financialization, raising questions about the risk-sharing and price-discovery functions of the market. We identify some symptoms of financialization through examini...

Full description

Saved in:
Bibliographic Details
Main Authors: Qin Xiao, Meilan Yan, Dalu Zhang
Format: Default Article
Published: 2023
Subjects:
Accounting, auditing and accountability
Banking, finance and investment
Law and legal studies
Finance
Commodity market financialization
Herding
Asymmetric tail dependence
Risk-sharing
Information friction
Online Access:https://hdl.handle.net/2134/23599290.v1
Tags: Add Tag
No Tags, Be the first to tag this record!

Internet

https://hdl.handle.net/2134/23599290.v1

Similar Items