Commodity financialization and funding liquidity in China |
| |
| Affiliation: | 1. Middle East Technical University, Department of Business Administration, 06531 Ankara, Turkey;2. Yıldırım Beyazıt University, Department of Management, Esenboğa Külliyesi, Esenboğa, 06970 Ankara, Turkey;3. Middle East Technical University, Department of Earth System Science, 06531 Ankara, Turkey;1. College of Economics and Institute of Finance, Jinan University, Guangzhou, China;2. School of Finance, Central University of Finance and Economics, Beijing, China;3. National Academy of Development and Strategy, Renmin University of China, Beijing, China;4. Chinese Academy of Finance and Development, Central University of Finance and Economics, Beijing, China |
| |
| Abstract: | This study examines commodity financialization in China through commodity futures and stock market price co-movement, captured by a dynamic conditional correlation multivariate GARCH model (DCC-MGARCH). We find a dramatic increase in correlation after 2004; however, after 2010, the correlation decreases. We further investigate how funding liquidity affectes commodity financialization and find that its effect on the industrial sector is stronger than that on the agricultural sector, which reflects commodity financialization layering. |
| |
| Keywords: | Commodity financialization Funding liquidity Futures market Stock market |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
