Have institutional investors stocks portfolio strategies affected oil prices in a financialization context?

Antonio Focacci

Studies in Economics and Finance, 2021, vol. 38, issue 5, 1007-1039

Abstract: Purpose - The purpose of this paper is to investigate whether management strategies implemented by non-commercial traders may be identified as a key factor in affecting oil price paths in the conventional pre- and post-financialization periods. Design/methodology/approach - By using a vector autoregressive approach the dynamic analysis of the daily stock indexes for some of the most important world economies and the oil prices is conducted starting from 1992 to the end of 2020. Findings - The findings do not support the idea that the financial markets act as a privileged conduit in transmitting the shocks to the oil spot quotations. Originality/value - Such a direct assessment has not been previously proposed in literature wherein – under a financial perspective – the returns are generally taken into consideration.

Keywords: Vector autoregressive model; Oil prices; Financialization; Impulse response analysis; C32; D84; G12; G15; Q41 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eme:sefpps:sef-02-2021-0062

DOI: 10.1108/SEF-02-2021-0062

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