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New evidence on commodity stocks
Author(s) -
Daskalaki Charoula
Publication year - 2021
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22197
Subject(s) - futures contract , commodity pool , financialization , diversification (marketing strategy) , commodity , contango , financial economics , economics , stock (firearms) , monetary economics , business , finance , market liquidity , passive management , mechanical engineering , marketing , engineering , fund of funds
This paper investigates whether commodity‐related equities (commodity stocks) should be included in investors' portfolios. In light of the recent financialization of commodity futures markets, it examines the diversification benefits derived from investing in commodity stocks and compares them with those derived from commodity futures. The empirical evidence indicates that over the prefinancialization period, commodity futures provide superior diversification benefits whereas over the postfinancialization period, commodity stock investing is more profitable. Further analysis on the relationship between commodity futures and stock markets reveals that the investor can use price‐based signals from futures markets to achieve high commodity stock returns.