Approaches to Price Formation in Financialised Commodity Markets

Sophie van Huellen

No 223, Working Papers from Department of Economics, SOAS University of London, UK

Abstract: A recent debate over the financialisation of commodity markets has stimulated the development of approaches to price formation which incorporate index traders as a new trader category in commodity futures markets. I survey these new approaches by retracing their emergence to traditional price formation models and show that these new models arise from a synthesis between commodity arbitrage pricing and asset pricing theories in the tradition of Keynesian inspired hedging pressure models. Based on these insights, I derive testable hypotheses to provide guidance for a growing literature that seeks to empirically evaluate the effects of index traders on price discovery and risk management in commodity futures markets.

Keywords: commodity prices; commodity futures; financialisation; index investment; speculation (search for similar items in EconPapers)
JEL-codes: D84 G13 Q02 (search for similar items in EconPapers)
Pages: 21
Date: 2019-04
New Economics Papers: this item is included in nep-hme
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.soas.ac.uk/sites/default/files/2022-10/economics-wp223.pdf (application/pdf)

Related works:
Journal Article: APPROACHES TO PRICE FORMATION IN FINANCIALIZED COMMODITY MARKETS (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:soa:wpaper:223

Access Statistics for this paper

More papers in Working Papers from Department of Economics, SOAS University of London, UK Contact information at EDIRC.
Bibliographic data for series maintained by Chandni Dwarkasing ().