Wykorzystanie surowców w dywersyfikacji portfela wobec zjawiska finansjalizacji
Commodities in potfolio diversification in times of financialization

Summary/Abstract: The paper consideres the benefits of passive commodity investments in the context of financialization. I investigate the implications of theincreaseing correlation between equity and commodity investments for commodity investors.The paper is composed of several parts. The first part describes the attributes of commodity investments and their benefits forthe portfolio optimization. In the second part, I define the phenomenon of the finanzialization and develop my research hypothesis. The thirdsection includes a description of data sources and research methods employed. Next, I present the results of the empirical analysis. I simulate the mean-variance spanning tests to examine the benefits of commodity investments before and after accounting for the impact of financialization. I proceed separate analyses for pre- and post-financialization period. The empirical research is based on asset classes’ returns and other related variables from years 1991-2012. Research findings indicate that financialization may have significant implications for commodity investors. Because of the increase in correlations, the inclusion of the commodity futures in the traditional stock-bond portfolio appears to be no longer reasonable.

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