Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 31, 2020 erstellt
Description:
Recent financialization in commodity markets makes it easier for institutional investors to trade a portfolio of commodities via various commodity-indexed products. We present novel causal evidence that exposure to such index trading results in negative daily return autocorrelations among commodities in that index. This is because index trading propagates nonfundamental noises to indexed commodities, giving rise to price overshoots and subsequent reversals, consistent with the prediction of a stylized model. We present direct evidence for such noise propagation using commodity news sentiment data