Does institutional trading drive commodities prices away from their fundamentals: Evidence from a nonparametric causality-in-quantiles test

Vassilios Babalos and Mehmet Balcilar

Finance Research Letters, 2017, vol. 21, issue C, 126-131

Abstract: Motivated by the heated debate on commodities market financialization hypothesis we set off to examine the asymmetric relationship between commodities funds flows and commodities market prices by employing a novel nonparametric causality-in-quantiles. With respect to our results, while the linear Granger causality tests fail to provide evidence of causality in either direction the more robust causality-in-quantiles approach highlights partial evidence of one way causality running from market returns to commodities fund flows. Finally, substantial evidence of predictability of the variance of commodities market returns emanating from commodities fund flows is also reported.

Keywords: Commodities markets; Commodities fund flows; Quantile causality; Volatility (search for similar items in EconPapers)
JEL-codes: C58 Q02 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612316303294
Full text for ScienceDirect subscribers only

Related works:
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:eee:finlet:v:21:y:2017:i:c:p:126-131

DOI: 10.1016/j.frl.2016.11.017

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().