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Integration of commodity derivative markets: Has it gone too far?

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CAHIER_FDD_63.pdf (2.658Mb)
Date
2015
Dewey
Economie financière
Sujet
Financial crises; Market integration; Graph theory; Commodity markets; Derivatives; Minimum spanning tree; Centrality
JEL code
E.E4.E44; F.F1.F15; G.G0.G01; Q.Q0.Q02; Q.Q4.Q40
DOI
http://dx.doi.org/10.1007/978-1-4939-2733-3_3
Book title
Commodities, Energy and Environmental Finance
Author
Sircar, Ronnie; Ludkovski, Michael; Aïd, René
Publisher
Springer
Publisher city
Berlin Heidelberg
Year
2015
ISBN
978-1-4939-2732-6
Book URL
10.1007/978-1-4939-2733-3
URI
https://basepub.dauphine.fr/handle/123456789/13967
Collections
  • DRM : Publications
Metadata
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Author
Lautier, Delphine
1032 Dauphine Recherches en Management [DRM]
Ling, Julien
511518 Ecole Polytechnique Fédérale de Lausanne
Raynaud, Franck
511518 Ecole Polytechnique Fédérale de Lausanne
Type
Chapitre d'ouvrage
Item number of pages
65-90
Abstract (EN)
We examine the impact of two financial crises on commodity derivative markets: the subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" to the commodity markets because they occurred in the financial sphere. Still, because commodity markets are now highly integrated with each other and with other financial markets, such events could have had an impact. In order to fully comprehend this possible impact, we rely on tools inspired by the graph theory that allow for the study of large databases. We examine the daily price fluctuations recorded in 14 derivative markets from 2000 to 2009 in three dimensions: the observation time, the space dimension – the same underlying asset can be traded simultaneously in two different places – and the maturity of the transactions. We perform an event study in which we first focus on the efficiency of the price shock’s transmission to the commodity markets during the crises. Then we concentrate on whether the paths of shock transmission are modified. Finally, relying on the measure proposed by Bonacich (1987) for social networks, we focus on whether the centrality of the price system changes.

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