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Title: Financialisation of the crude oil market: do non-commercial traders influence spot prices?

Authors: Antonio Focacci

Addresses: School of Economics, University of Bologna, Piazza Scaravilli, 2, 40126 Bologna, Italy

Abstract: Generally labelled by the term financialisation of commodity markets, integration between traditional financial asset and futures markets has spurred discussions about its supposed detrimental effect. In a revenue management perspective, commodities processors' resulting pricing policies may become more time-sensitive to physical quotations favouring potential instability in firm values. By using a recent developed multibreakpoint detection technique coupled with econometric Granger-causality, we attempt to contribute to existing literature by examining the direct relationships in the supposed influencing mechanism with a special focus on non-commercial activity.

Keywords: multibreakpoint analysis; Granger-causality; revenue management; financialisation; oil prices.

DOI: 10.1504/IJRM.2019.103024

International Journal of Revenue Management, 2019 Vol.11 No.1/2, pp.54 - 75

Received: 21 Jan 2019
Accepted: 18 Feb 2019

Published online: 11 Oct 2019 *

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