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van Huellen, Sophie (2020) 'Approaches to Price Formation in Financialised Commodity Markets.' Journal of Economic Surveys, 34 (1). pp. 219-237.

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Abstract

A recent debate about the financialisation of commodity markets has stimulated the development of new approaches to price formation which incorporate index traders as a new trader category. I survey these new approaches by retracing their emergence to traditional price formation models and show that they arise from a synthesis between commodity arbitrage pricing and behavioural pricing theories in the tradition of Keynesian inspired hedging pressure models. Based on these insights, I derive testable hypotheses and provide guidance for a growing literature that seeks to empirically evaluate the effects of index traders on price discovery in commodity futures markets.

Item Type: Journal Article
SOAS Departments & Centres: Departments and Subunits > Department of Economics
ISSN: 09500804
Copyright Statement: © 2019 John Wiley & Sons, Inc. This is the pre-peer reviewed version of the following article: APPROACHES TO PRICE FORMATION IN FINANCIALIZED COMMODITY MARKETS, which has been published in final form at https://doi.org/10.1111/joes.12342. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
DOI (Digital Object Identifier): https://doi.org/10.1111/joes.12342
Date Deposited: 23 Oct 2019 11:17
URI: https://eprints.soas.ac.uk/id/eprint/31692
Funders: Other

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