Financialization of Commodity Markets – Evidence from European Certificates Markets

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In view of the ongoing discussion about the influence of financialization on commodity markets, we conduct a European investigation of the impact of retail investment products on commodity prices. By using a unique dataset of 15,137 commodity linked securities (certificates) we extend previous research in two ways: First, we are able to confirm the empirical results of Henderson et al (2015) for U.S. commodity linked notes (CLNs) and relating price effects on the date of issuance and following days. Second, we also find a significant impact of the days preceding the issuance day, which gives rise to the question whether we observe a possible endogeneity prob-lem between commodity prices and investment flows when analyzing issuances of CLN and certificates.

Author(s):

Herbert Mayer    
University of Augsburg - Materials Resource Management
Germany

Andreas Rathgeber    
University of Augsburg - Materials Resource Management
Germany

Markus Ulze    
University of Augsburg - Materials Resource Management
Germany

Markus Wanner    
University of Augsburg - Materials Resource Management
Germany