지은이: Ke Tang and Wei Xiong
출처: Financial Analyst Journal, Vol. 88, No. 6. 2012
※ 발췌 (excerpts):
Abstract: The authors found that, concurrent with the rapidly growing index investment in commodity markets since the early 2000s, prices of non-energy commodity futures in the US have become increasinly correalted with oil prices; this trend has been significantly more pronounced for commodities in two popular commodity indices. This finding reflects the financialization of the commodity markets and helps explain the large increase in the price volatility of non-energy commodities around 2008.
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Since the early 2000s, commodity futures have emerged as a popular asset class for many financial institutions. According to a staff report from the US Commodity Futures Trading Commission (CFTC 2008), the total value of various commodity index-related instruments purchased by institutional investors increased from an estimated $15 billion in 2003 to at least $200 billion in mid-2008. Several observes and policymakers (see, e.g., Masters 2008; US Senate Permanent Subcommittee on Investigations 2009) have expressed a strong concern that index investment as a form of financial speculation might have caused unwarranted increases in the cost of energy and food and induced excessive price volatility.
What is the economic impact of the rapid growth of commodity index investment? To answer this question, we must first recognize the concurrent development of commodity markets precipitated by the rapid growth of commodity index investment. Prior to the early 2000s, despite the liquid futures contracts traded on many commodities, commodity prices provided a risk premium for idiosyncratic commodity price risk (Bessembinder 1992; de Roon, Nijman, and Veld 2000) and had little comovement with stocks (Gorton and Rouwenhorst 2006) or each other (Erb and Harvey 2006). These aspects are in sharp contrast to the price dynamics of typical financial assets, which carry a premium for systematic risk only and are highly correlated with both market indices and each other. This contrast indicates that commodity markets were partly segmented from outside financial markets and from each other. Recognition of the potential diversification benefits of investing in the segmented commodity markets prompted the rapid growth of commodity index investment after the early 2000s and precipitated a fundamental process of financialization among commodity markets. The focus of our study was to analyze the
consequences of this financialization process.
■ Discussion of findings. In our analysis, we homed in on a salient empirical pattern of greatly increased price comovements between various commodities after 2004, when significant index investment started to flow into commodity markets. Because index investors typically focus on strategic portfolio allocation between the commodity class and other asset classes, such as stocks and bonds, they tend to trade in and out of all commodities in a given index at the same time (see, e.g., Barberis and Shleifer 2003). As a result, their increasing presence should have a greater impact on commodities in the two most popular commodity indices—the S&P GSCI and the Dow Jones-UBS Commodity Index (DJ-UBSCI)—than on commodities off the indices. Consistent with this hypothesis, we found that futures prices of non-energy commodities became increasingly correlated with oil after 2004. In particular, this trend was significantly more pronounced for indexed commodities than for off-index commodities after controlling for a set of alternative arguments. Although the trend intensified after the recent world financial crisis, triggered by the bankruptcy of Lehman Brothers in September 2008, its presence was already evident and significant before the crisis. In addition, the greater increases in the correlations of indexed commodities with oil are not simply due to the illiquidity of off-index commodities.
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