Predictability of Financialization and Co-Movement in Commodity Market: What Is the Role of Technical Indicators
Quantitative Finance , Volume 17 - Issue 5 p. 795- 812
This paper investigates the financialization and structural co-movement of 26 commodities futures by factors variance decomposition and predictability of technical indicators and macro variables. We find that financialization is still a dominated character in commodity market and recent commodity prices fluctuation can be significantly and robustly forecasted by technical analysis in terms of commodity index investment. Moreover, the co-movement of commodities is demonstrated by variance decomposition and explained as commodity index investment, which also provides the evidence of financialization. The overall empirical analysis reveals that technical indicators and macro variables can statistically and economically forecast the indexed investment and off-index trading, respectively, which manifests that they are the suitable predictors of commodity market.
|Organisation||Erasmus Research Institute of Management|
Yin, L, Yang, Q, 524656, & Su, Z. (2017). Predictability of Financialization and Co-Movement in Commodity Market: What Is the Role of Technical Indicators. Quantitative Finance, 17(5), 795–812. Retrieved from http://hdl.handle.net/1765/105247