Financialization of commodity markets.

Summary The rise in commodity prices observed during the 2000s, which was concomitant with a greater presence of financial agents in these markets, has aroused the interest of researchers. This rise in prices has occurred with a transformation of commodity markets, whether due to the presence of new financial instruments or to greater investment in these markets. The first two chapters of this thesis study the impact on commodities of the presence of Exchange-Traded Products whose purpose is to offer financial investors passive exposure to commodities. In the course of these studies, it is shown that the mechanism (known as creation/redemption) used to deliver the performance of the underlying commodity to investors has an impact on the price of the underlying, its volatility and its correlation to the equity market. Finally, these same instruments have become the main contributors to the price discovery function, whereas traditionally this function was performed by the futures markets. The last chapter of this thesis manuscript studies the seasonality of both prices and positions of the different types of agents present in the agricultural commodities futures market. The results show that the seasonality of positions in the futures market has been modified by the increased presence of financial agents. This thesis quantifies and demonstrates that the new investment vehicles and the increased positions of these same investors in the futures market have changed the financial and fundamental characteristics of commodities.