拉斯维加斯9888

金融学系列讲座（2010-10-26）

标题：Index Investment and Financialization of Commodities

汇报人：Ke Tang (RenminUniversityofChina)

功夫：10月26日（周二）10:00-11:30am

地址：拉斯维加斯9888新楼217教室

提要：This paper finds that concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of different commodities in theUSbecame increasingly correlated with each other and this trend was significantly more pronounced for commodities in the two popular GSCI and DJUBS commodity indices. This finding reflects a financialization process of commodities markets and helps explain the synchronized price boom and bust of a broad set of seemingly unrelated commodities in theUSin 2006-2008. I