Florian SchmidFinanzialisierung von Rohstoffmärkten – methodisch neue Ansätze

About this book englishenglish

The beginning of the 21st century has seen increased investment in all commodity markets. This development has been made possible by many predominantly new investment opportunities. As a result, financial players are playing an increasingly important role in the markets concerned. This market change, in particular the increase in investment volume, is summarized by experts as the financialization of commodity markets.

This development has been viewed critically from the outset, particularly with regard to price-driving effects. The so-called Masters hypothesis plays a central role in the criticism, in which index investors are seen as a driving force behind rising commodity prices. Stricter legal regulations are also called for. The subsequent scientific analysis of the criticisms and this hypothesis comes to various conclusions. In this respect, the effects of financialization on the commodity markets have not been scientifically clarified.

This study is therefore dedicated to the research question "Do financial investors drive the commodity markets?" based on the scientific hypothesis that financial investors influence market developments in the context of financialization, in particular, the pricing and liquidity of the commodity market.

The question is answered systematically with three empirical sub-analyses:

The first study examines the influence of speculation on commodity prices. This is done using a meta-analysis, which also provides a current literature review on the topic.

The second sub-analysis examines a potential index effect in commodity indices based on the Masters hypothesis using the event study methodology. The focus here is on the annual adjustment behavior of the BCOM and S&P GSCI commodity indices.

Finally, the third analysis, building on the results of analyses one and two, examines the impact of the commodity indices' rebalancing processes on the respective commodities' market liquidity. The panel regression approach is used here.

Ihr Werk im Verlag Dr. Kovač

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