The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often been debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due to seasonal variations, dramatic market changes, political and regulatory decisions, or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so-called "commodities risk". Additionally, commodities price fluctuations may spread to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets.
Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Did the financialization in energy commodities occur after the 2008 Global Financial Crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets.
Sample Chapter(s)
Preface
Chapter 1: Bubbles on Bitcoin Price: The Bitcoin Rush
Contents:
- Preface
- About the Editors
- About the Contributors
- Bubbles on Bitcoin Price: The Bitcoin Rush (Dominique Guegan and Marius-Cristian Frunza)
- Investigating the Association between Oil VIX and Equity VIX: Evidence from China (Anupam Dutta, Timo Rothovius and Jussi Nikkinen)
- The Predictive Power of Oil and Commodity Prices for Equity Markets (Leila Dagher, Ibrahim Jamali and Nasser Badra)
- Time-Varying Linkage between Equities and Oil (Beyza Mina Ordu-Akkaya, Adil Oran and Uğur Soytaş)
- Has the Causal Nexus of Oil Prices and Consumer Prices Been Asymmetric in the US during the Last Fifteen Decades? (Abdulnasser Hatemi-J and Youssef El-Khatib)
- Risky Financial Assets in Financial Integration and the Impacts of Derivatives on Banking Returns (Hasan Dinçer, Serhat Yüksel, Fatih Pınarbaşı and Mehmet Ali Alhan)
- The Risk-Sharing Paradigm in Islamic Financial System: Myth or Reality? (Jamel Boukhatem and Mouldi Djelassi)
- Commodity Markets' Asset Allocation with Robust Liquidity Risk Management Optimization Parameters (Mazin A M AlJanabi)
- Comovements and Integration in African Stock Markets (El Mehdi Ferrouhi)
- Interdependence or Contagion in Equity Markets? Evidence from Past Crises (Olfa Kaabia)
- Impact of Contagion on Proxy-Hedging in Jet-Fuel Markets (Dominique Guegan, Marius-Cristian Frunza and Rostislav Haliplii)
- Index
Readership: Students and professionals interested in the field of quantitative finance, commodity markets and contagion.
Stéphane Goutte has two PhDs, one in Mathematics and one in Economics. He received his Habilitation for Supervising Scientific Research (HDR) in 2017 at University Paris Dauphine. He is Full Professor at CEMOTEV, Université Versailles St Quentin en Yveline, France. He teaches mathematics and related topics in M.Sc and B.Sc. He is also a Senior Editor of Finance Research Letters; an Associate Editor of International Review of Financial Analysis (IRFA) and Research in International Business and Finance; a Subject Editor of Journal of International Financial Markets, Institutions and Money (JIFMIM); and an Editorial member of European Management Review (EMR). His interests lie in the area of mathematical finance and econometric applied in energy or commodities. He has published more than 40 research papers in international review. He has also been a Guest Editor of various special issues of international peer-reviewed journals and Editor of many handbooks.
Dr Khaled Guesmi is a full Professor of Finance at Paris School of Business, and Head, Center of Research for Energy and Climate Change Change (CRECC). He is also Adjunct Professor at Telfer School of Management, University of Canada. He undertakes research and lectures on empirical finance, applied time-series econometrics, and commodity markets. Dr Guesmi obtained his HDR (Habilitation for Supervising Doctoral Research) in July 2015. He holds his PhD in Economics from the University Paris Nanterre (2011), and his M.Sc. in Finance from Paris I University of Sorbonne (2005). Previously, he served as Professor of Finance and Head of Environment, Climate Change, and Energy Transition Chair at IPAG Business School, as well as associate research positions at "EconomiX" laboratory at the University of Paris Ouest La Défense and "ERF" Economic Research Forum, Egypt. In 2003, Dr Guesmi joined the UNESCO as a Research Manager, and in 2008, he joined "Caisse de Dépôts et Consignations" as a Financial Analyst.
Dr Guesmi has published more than 70 articles in leading refereed journals, including the Energy Journal; International Review of Financial Analysis; Journal of International Financial Markets, Institutions & Money, Annals of Operations Research, Energy Economics and Energy Policy.
Dr Guesmi currently serves as an Associate Editor at Finance Research Letters, as international advisory board at The International Spectator. In addition, Dr Guesmi is the founder of the International Symposium on Energy and Finance Issues and the Project Manager of European Commission's Horizon 2020 Program for Research and Innovation. This program has focused on new models of cooperation between EU and the south-eastern Mediterranean region, which are expected to promote a radical re-design of these countries' energy strategies, focusing on sustainability and efficiency policies. Cooperation, for instance, could be applied to various aspects of the energy sector, including the development of renewables, energy efficiency technologies, and demand-side policies. Sustainability and efficiency are certainly the domains where EU support for these countries could bring added value.