Financialisation of the crude oil market: do non-commercial traders influence spot prices?

Antonio Focacci

International Journal of Revenue Management, 2019, vol. 11, issue 1/2, 54-75

Abstract: Generally labelled by the term financialisation of commodity markets, integration between traditional financial asset and futures markets has spurred discussions about its supposed detrimental effect. In a revenue management perspective, commodities processors' resulting pricing policies may become more time-sensitive to physical quotations favouring potential instability in firm values. By using a recent developed multibreakpoint detection technique coupled with econometric Granger-causality, we attempt to contribute to existing literature by examining the direct relationships in the supposed influencing mechanism with a special focus on non-commercial activity.

Keywords: multibreakpoint analysis; Granger-causality; revenue management; financialisation; oil prices. (search for similar items in EconPapers)
Date: 2019
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