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Spillovers between non-commercial traders’ activity and spot prices? Analysis of the financialization mechanism in the crude oil market

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  • Antonio Focacci

Abstract

Purpose - The purpose of this stud is to analyze the financialization effect on oil prices. Design/methodology/approach - This study applied the technique of multibreak point analysis with Bai and Perron test plus VAR methodology. Findings - Findings revealed that there was no effect on oil prices. Originality/value - To the best of the author’s knowledge, this is the first paper combining the multibreakpoint analysis with VAR for the period analyzed in the present work.

Suggested Citation

  • Antonio Focacci, 2023. "Spillovers between non-commercial traders’ activity and spot prices? Analysis of the financialization mechanism in the crude oil market," China Finance Review International, Emerald Group Publishing Limited, vol. 13(2), pages 157-182, January.
    • Handle: RePEc:eme:cfripp:cfri-07-2022-0110
    DOI: 10.1108/CFRI-07-2022-0110
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    Citations

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    Cited by:

    1. Foglia, Matteo & Palomba, Giulio & Tedeschi, Marco, 2023. "Disentangling the geopolitical risk and its effects on commodities. Evidence from a panel of G8 countries," Resources Policy, Elsevier, vol. 85(PB).
    2. Shi, Chunpei & Wei, Yu & Li, Xiafei & Liu, Yuntong, 2023. "Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil," Energy Economics, Elsevier, vol. 126(C).
    3. Prabhat Mittal, 2024. "Forecasting of Crude Oil Prices Using Wavelet Decomposition Based Denoising with ARMA Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(2), pages 355-365, June.
    4. Wei, Yu & Wang, Yizhi & Vigne, Samuel A. & Ma, Zhenyu, 2023. "Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).

    More about this item

    Keywords

    Financialization; Oil prices; Multibreakpoint analysis; VAR models; Linear cointegration; Threshold cointegration; C01 (Econometrics); C32 (time series models); D84 (Expectations/Speculations); G12 (Asset Pricing) G15 (International financial markets);
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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