Thursday, July 11, 2013
Did Long-Short Investors Destabilize Commodity Markets?
By Joëlle Miffre, PhD, Professor of Finance, EDHEC Business School, and member EDHEC Risk Institute; and Chris Brooks, Professor of Finance and Director of Research, ICMA Centre, University of Reading
Their paper contributes to the debate on the effects of the financialization of commodity futures markets by studying the conditional volatility of long-short commodity portfolios and their conditional correlation with traditional assets (stocks and bonds).
Download the full article here.
From the July 2013 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Their paper contributes to the debate on the effects of the financialization of commodity futures markets by studying the conditional volatility of long-short commodity portfolios and their conditional correlation with traditional assets (stocks and bonds).
Download the full article here.
From the July 2013 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, Commodity markets, Correlation, CTA, Financialization, Speculators, Volatility
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