In this paper we analyzed cross-correlations in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The tree provides evidence for sector clusterization of investigated contracts. We also studied dynamic properties of correlations. It turned out that the ma...

In this paper, based on a description of the four major players of commodity spot and futures markets, we establish a multi-phase equilibrium model of price determination, and then analyze the influence of the entry of a large number of index investors on the risk premium, inventory management, and different traders’ positions of commodity futures. The result shows that, the correlation between...

financial markets are considered because of their role in acquiring small and large savings of national economy, optimizing the flow of financial resources and distributing these resources to consumption and investment needs of economic sectors. the aim of this study was investigating the influence of financial market extension on agriculturalsector’s development of kohgilouye and boyer ahmad p...

The paper studies the return–volatility relationship in a range of commodities. We develop commodity price model and show that volatility changes can be positively or negatively related to demand shocks. An “inverse leverage effect”—the is higher following positive shocks—is found more than half daily spot prices. effect weaker three-month futures market, period after mid-2000s monthly historic...