Order Flows and Financial Investor Impacts in Commodity Futures Markets
利用日内数据，发现商品指数交易流对期货价格有统计上显著但短暂的影响，并揭示与商品挂钩票据相关的正回报源于内生发行而非对冲需求，支持商品金融化但强调金融投资规模对价格影响有限。
Abstract Using intraday data, we document statistically strong, but temporary, impacts of commodity index trade flows on commodity futures prices. We also examine the previously documented positive returns around the issuance of commodity-linked notes and find that these returns are an order of magnitude too large to be caused by the small trades necessary to hedge the notes. We provide new evidence that they are instead the result of endogenous issuance. Our results provide novel support for commodity financialization but highlight the importance of measuring the magnitude of financial investment, since even large financial flows have economically modest impacts on prices.