Essays on empirical testing of financialization of commodities

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Tezin Türü: Doktora

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü, Türkiye

Tezin Onay Tarihi: 2017

Öğrenci: BEYZA MİNA ORDU

Danışman: ADİL ORAN

Özet:

Over the last decade commodity derivatives market experienced a significant influx of financial institutions, which is a phenomenon referred to as financialization of commodities. The main purpose of this thesis is to investigate whether financialization bolstered the connectedness between US stock and commodity markets. Connectedness can occur in forms of either spillover or co-movement and hence we analyze each form in two essays. In the first essay, we investigate volatility spillover between 25 commodity derivatives and US stock markets. Results show that the spillover between almost all commodity and stock markets increases significantly following the financialization. Moreover, we find that the net transmitter of volatility is commodity markets during pre-financialization period, whereas transmitters happen to be stock market after the financialization. Therefore, we show that commodities do not shield the investor from downside risk in financial markets, anymore. In the second essay, we examine the explanatory power of financialization on the increasing correlations between agricultural commodities and stock markets after 2008. Even though our findings support the argument on financialization; we find that explanatory power of financialization is highly dependent upon liquidity constraints.