Mohammad Isleimeyyeh (Dauphine University) - The Role of Financial Investors on Commodity Futures Risk Premium

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Mohammad Isleimeyyeh (Dauphine University) - The Role of Financial Investors on Commodity Futures Risk Premium

23 novembre @ 14 h 00 min - 15 h 00 min

I develop and test a theoretical model to study the interaction between the commodity and stock markets. The article settles the debate between the two conflicting empirical opinions about the effect of financialization on commodity markets: one that claims there is an effect, and one that denies that effect. The theoretical model determines the futures risk premium by using three factors: the hedging pressure, the stock market returns, and the commodity-equity correlation. I test the futures risk premium in the era of financialization for three commodities in the energy market: crude oil (WTI), natural gas, and heating oil in the period from 1995 to 2015. First, I empirically confirm that the hedging pressure is a strong explanatory variable for the futures risk premium. Second, the effect of stock market became significantly important for the futures risk premium in the period after the 2008 financial crisis.

Détails

Date :
23 novembre
Heure :
14 h 00 min - 15 h 00 min