EconPapers    
Economics at your fingertips  
 

THE GROWING INTERDEPENDENCE BETWEEN FINANCIAL AND COMMODITY MARKETS

Joerg Mayer

No 195, UNCTAD Discussion Papers from United Nations Conference on Trade and Development

Abstract: Financial investment has become increasingly important on commodity exchanges. This paper distinguishes two types of financial investors and emphasizes differences in their position taking motivation and price impacts. Index traders follow a passive strategy holding virtually only long positions. Money managers trade on both sides of the market and attempt to maximize short-term returns. Regression analysis indicates that: (i) index trader positions are particularly influenced by roll returns, while money managers emphasize spot returns; and that: (ii) money managers moved from emphasizing diversification to a more speculative strategy by taking commodity positions that are positively, rather than negatively, related to developments in equity markets. Granger-causality tests indicate that these differences translate into different price impacts: (i) index trader positions have a causal price impact particularly for agricultural commodities; and (ii) money managers had a causal impact during the sharp increases in the prices for some non-agricultural commodities.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (68)

Downloads: (external link)
https://unctad.org/system/files/official-document/osgdp20093_en.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

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:unc:dispap:195

Access Statistics for this paper

More papers in UNCTAD Discussion Papers from United Nations Conference on Trade and Development Contact information at EDIRC.
Bibliographic data for series maintained by Joerg Mayer ( this e-mail address is bad, please contact ).

 
Page updated 2025-03-22
Handle: RePEc:unc:dispap:195