Financialization and Commodity Markets Serial Dependence
研究发现，机构投资者通过大宗商品指数产品进行交易会导致指数内商品价格出现超调与反转，表现为负的日收益率自相关，且这种效应源于非基本面噪声的传播。
Recent financialization in commodity markets makes it easier for institutional investors to trade a portfolio of commodities via various commodity-indexed products. We present several pieces of novel causal evidence that daily exposure to such index trading results in price overshoots and reversals, as reflected in negative daily return autocorrelations, only among commodities in that index. This is because index trading propagates nonfundamental noise to all indexed commodities. We present direct evidence for such noise propagation using commodity news sentiment data. This paper was accepted by Bruno Biais, finance. Funding: Z. Da acknowledges financial support from the Beijing Outstanding Young Scientist Program [Grant BJJWZYJH01201910034034] and the 111 Project [Grant B20094]. K. Tang acknowledges financial support from the National Natural Science Foundation of China [Grants 71973075 and 72192802]. Y. Tao acknowledges financial support from the Start-up Research Grant of University of Macau [Grant SRG2022-00016-FSS]. L. Yang acknowledges the Social Sciences and Humanities Research Council of Canada for financial support [Grants 430-2018-00173 and 435-2021-0040]. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2023.4797 .