Spillovers between non-commercial traders’ activity and spot prices? Analysis of the financialization mechanism in the crude oil market

Antonio Focacci

China Finance Review International, 2023, vol. 13, issue 2, 157-182

Abstract: Purpose - The purpose of this stud is to analyze the financialization effect on oil prices. Design/methodology/approach - This study applied the technique of multibreak point analysis with Bai and Perron test plus VAR methodology. Findings - Findings revealed that there was no effect on oil prices. Originality/value - To the best of the author’s knowledge, this is the first paper combining the multibreakpoint analysis with VAR for the period analyzed in the present work.

Keywords: Financialization; Oil prices; Multibreakpoint analysis; VAR models; Linear cointegration; Threshold cointegration; C01 (Econometrics); C32 (time series models); D84 (Expectations/Speculations); G12 (Asset Pricing) G15 (International financial markets) (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:cfripp:cfri-07-2022-0110

DOI: 10.1108/CFRI-07-2022-0110

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