ISLEIMEYYEH Mohammad

In this paper we investigate cross-commodity futures markets connectedness over different nearest-to-maturities. We thus implement time and time-frequency estimations for two constructed baskets of commodities, classified based on common delivery months. Using daily data spanning the period 1995-2020, we provide a set of stylized facts on the extent to which commodity markets are integrated or segmented. More specifically, our results show that the total connectedness is broadly insensitive to maturity. However, after 2008 financial crisis, the connectedness among commodity futures prices increases when the maturity increases. Furthermore, the overall connectedness amplifies during crises periods compared to tranquil periods. Moreover, certain pairwise markets are comparatively highly linked such as crude oil and heating oil, wheat and corn, corn and soybean, and soybean and soybean oil. The results also demonstrate that crude oil and heating oil are net transmitters all the time and across maturities, while natural gas, gold, and wheat are net receivers all the time and across maturities. More interestingly, the frequency decomposition reveals that most of periods of high total connectedness are driven mostly by high frequency components, which may indicate that commodity markets process information rapidly, except for the COVID-19 crisis period where total connectedness has been driven by lower frequency components.

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This thesis studies the role played by financial investors in commodity markets, known as commodity financialization. It consists of a theoretical and an empirical part. The research aims to study the participation of investors, holding equity portfolios, in commodity futures markets, for diversification reasons. Moreover, this diversification can be achieved by investing in a basket of commodities. The first chapter analyzes theoretically the interaction between the commodity and equity markets. The second chapter empirically studies the impact of financial investors' choice on the risk premium of commodity futures contracts. It focuses on three commodities: crude oil (WTI), heating oil and natural gas. The third chapter theoretically studies the integration of two commodity markets. We clarify some considerations regarding the effect of financialization on which the existing literature remains hesitant. We demonstrate the power of influence that investors have on the commodity market. However, this depends on the nature of the investor's position in the futures market. In general, financialization leads to higher spot prices, higher futures prices and higher inventory levels. We also show that investors represent a transmission channel between commodity markets. Their extended effects are limited to the cross-correlation of commodity markets. Finally, we show that equity market returns became a determinant of the futures risk premium after the 2008 financial crisis. This effect of equity returns is indifferent between short and long maturities.

This dissertation studies the role of financial investors on commodity markets, which is referred as financialization of commodity. The content of the dissertation splits to theoretical and empirical work. The implemented researches are motivated by the participation of investors, who own stock portfolios, in commodity futures markets for diversification reasons. Furthermore, that diversification is likely achieved by investing in a basket of commodities. The first chapter investigates, theoretically, the interaction between commodity and stock markets. The second chapter studies, empirically, the impact of financial investors on the commodities futures risk premium. It focuses on studying three commodities: crude oil (WTI), heating oil and natural gas. The third chapter examines, theoretically, the integration between two commodity markets. We clarify the hesitating of the previous literature in finding evidences of the impact of financialization. We confirm the influential power of investment in commodity market. However, that depends on the financial investors positions taken in the futures market. Generally, financialization increases the spot prices, the futures prices and inventory levels. We find, also, that investors are a transmission channel between commodity markets. Their effects spread out restricted to the cross commodity markets correlation. Finally, stock market returns became effective determinant of the futures risk premium after 2008 financial crisis. Also, the effect of the stock returns indifferent between short and long maturities.