| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069310 | Finance Research Letters | 2017 | 6 Pages |
â¢The study examines relationship between commodities funds flows and commodities market pricesâ¢A novel nonparametric causality-in-quantiles test is used.â¢Both causality in mean and variance are examined.â¢Partial evidence of one way causality running from market returns to commodities fund flows is found.â¢Substantial evidence of predictability of the variance of commodities market returns emanating from commodities fund flows is also found.
Motivated by the heated debate on commodities market financialization hypothesis we set off to examine the asymmetric relationship between commodities funds flows and commodities market prices by employing a novel nonparametric causality-in-quantiles. With respect to our results, while the linear Granger causality tests fail to provide evidence of causality in either direction the more robust causality-in-quantiles approach highlights partial evidence of one way causality running from market returns to commodities fund flows. Finally, substantial evidence of predictability of the variance of commodities market returns emanating from commodities fund flows is also reported.
