Financialization, crisis and commodity correlation dynamics

Silvennoinen, A; Thorp, SJ

Financialization, crisis and commodity correlation dynamics

Silvennoinen, A Thorp, SJ

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Publisher:: Financial Management Association
Publication Type:: Conference Proceeding
Citation:: Financial Management Association 2010 Meetings, 2010, pp. 1 - 47
Issue Date:: 2010-01

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Field	Value	Language
dc.contributor.author	Silvennoinen, A	en_US
dc.contributor.author	Thorp, SJ	en_US
dc.contributor.editor	al, AAE	en_US
dc.date	2010-10-20	en_US
dc.date.issued	2010-01	en_US
dc.identifier.citation	Financial Management Association 2010 Meetings, 2010, pp. 1 - 47	en_US
dc.identifier.uri	http://hdl.handle.net/10453/16685
dc.description.abstract	We study conditional volatility and correlation dynamics for returns to commodity fu- tures, stocks and bonds, from May 1990-July 2009 using DSTCC- GARCH. The models allow correlation to vary smoothly between extreme states via transition functions. Expected stock volatility (VIX) and money manager open interest in futures markets are relevant transition variables. Results show increasing integration between commodity futures and stocks: com- modity returns volatility is predicted by common factors but also by .nancial traders.open positions. We observe higher and more variable correlations between commodity futures and stock returns from mid-sample, with many series showing a structural break in the conditional correlation processes from the late 1990s.	en_US
dc.publisher	Financial Management Association	en_US
dc.relation.ispartof	Financial Management Association 2010 Meetings	en_US
dc.relation.ispartof	Financial Management Association Annual Meeting	en_US
dc.title	Financialization, crisis and commodity correlation dynamics	en_US
dc.type	Conference Proceeding
utslib.location	New York, USA	en_US
utslib.location.activity	New York, USA	en_US
utslib.for	150103 Financial Accounting	en_US
dc.location.activity	New York, USA	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Strength - CENSOC - Study of Choice
utslib.copyright.status	open_access
pubs.consider-herdc	true	en_US
pubs.place-of-publication	New York, USA	en_US
pubs.start-date	2010-10-20	en_US

Abstract:

We study conditional volatility and correlation dynamics for returns to commodity fu- tures, stocks and bonds, from May 1990-July 2009 using DSTCC- GARCH. The models allow correlation to vary smoothly between extreme states via transition functions. Expected stock volatility (VIX) and money manager open interest in futures markets are relevant transition variables. Results show increasing integration between commodity futures and stocks: com- modity returns volatility is predicted by common factors but also by .nancial traders.open positions. We observe higher and more variable correlations between commodity futures and stock returns from mid-sample, with many series showing a structural break in the conditional correlation processes from the late 1990s.

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http://hdl.handle.net/10453/16685