International Journal of Financial Markets and Derivatives
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International Journal of Financial Markets and Derivatives (3 papers in press)
INSTITUTIONAL INVESTORS' STOCKS PORTFOLIO STRATEGIES AND COMMODITY PRICES: A CROSS-CORRELATION ANALYSIS IN A FINANCIALIZATION CONTEXT by Antonio Focacci Abstract: New institutional players entered the futures markets with additional important capital inflows from 2000s onwards. Generally, labelled by the term financialisation of commodity markets, integration between traditional financial assets and futures markets raised several concerns for potential spill-over effects on commodity price levels and return volatilities. The aim of this paper is to empirically investigate the plausibility of a lead-lag relationship ignited by institutional investors portfolio management strategies. In order to pursue this goal, a cross-correlation function (ccf) is applied to stock exchange indexes and main international commodity spot prices. The key findings are that the overall effects of such an increased integration/participation appear quite controversial. Oil seem to support (with weak signals detected) this reaction mechanism. Substantially, not significant results are observable for industrial and agricultural commodities. Keywords: financialisation; commodity prices; cross-correlation analysis; lead-lag relationship.
Measuring portfolio risk of non-energy commodity using Time-Varying Vine Copula by Zeineb Attafi, Ahmed Ghorbel Abstract: Few works in litterature that have used the Vine copula to measure and analyse the risk of stock indices, energetic products or cryptocurrencies portfolio (Zhang et al., 2014, Shahzad et al.,2018 and Boako et al., 2019) but there arent works that measure the risk of a portfolio composed of non-energy commodities by VaR and ES using different versions of Vine copula. Our aim in this work is to model the dependence between non-energy commomdities returns by modelling standardized residuals obtained from univariate GARCH model by different versions of time varying vine copula, to quantify risk of N-dimensional non-energy commodity portfolio by VaR and ES and to compare the predictive performance of this method with traditional and competitve traditional univariate VaR methods. Empirical results suggest that risk quantifies generated by AR-GARCH vine copula methods with Student-t distribution are sufficiently accurate at both low and high confidence levels. Given these re-sults, we recommend the application of Vine copula method to understanding the non-energy commodity behaviors which are very important to investors, producers, consumers, and poli-cymakers. Keywords: Non-energy commodity; portfolio; vine copulas; Value at Risk; Expected Shortfall and risk management.
A Performance Evaluation of Smart Beta Exchange Traded Funds by GERASIMOS ROMPOTIS Abstract: The focus of this paper is on Smart Beta ETFs, which promise enhanced returns to investors. The ability of Smart Beta ETFs to beat the market and offer material excess returns is investigated along with the impact on performance by various market factors such as size, value and profitability. The relation of returns, pricing discrepancy and volatility is assessed too. Moreover, the ability of ETFs to time the market is evaluated along with their efficiency in replicating the performance of their benchmarks. Finally, a market trend analysis examines how Smart Beta ETFs respond to the upswings and downfalls of the stock market. Results reveal that Smart Beta ETFs cannot outperform the market. Moreover, the influence of market factors on ETF performance is modest whereas performance is significantly related to contemporaneous and lagged premiums and intraday volatility. On the timing skills of ETF managers, the results show that they luck in such skills. In addition, the tracking error of ETFs is significant. Finally, the market trend analysis indicates that Smart Beta ETFs are not absolutely aligned with the overall stock market, that is, to a significant degree, ETFs move contrary to the ascending or descending paths of the market. Keywords: Smart Beta; ETFs; Performance; Factor Investing.