Index Investment and Financialization of Commodities

摘要: This paper finds that, concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of different US became increasingly correlated each other and this trend was significantly more pronounced for two popular GSCI DJ-UBS commodity indices. finding reflects a financialization process helps explain synchronized price boom bust broad set seemingly unrelated 2006-2008. In contrast, such comovements were absent China, which refutes demands from emerging economies as driver.