Abstract
This study examines the relationship between commodity futures and global stocks. For the first time, we examine the financialization of commodity futures by employing a quantile regression approach. From 2004-2013, we confirm a strong degree of dependence in energy commodities with moderate effects in metals and lesser magnitudes in agriculturals. During the 2008-2009 global financial crisis, our findings show a strengthening in the financialization of energy commodities while there were weaker effects in agriculturals and a decoupling or de-financialization in metal markets. With the recent closure of commodity trading units in Wall Street in 2013, the findings reveal the de-financialization of metals and agricultural markets from 2014-2017. Overall, our findings cast doubt on the diversification benefits of energy-dominated commodity indices after 2013. We argue the impact of financialization on commodity futures markets is more permanent than previously thought.
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